• Industrial Engineering and Management Systems
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• 제11권1호
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• pp.30-38
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• 2012

This paper discusses a clearance pricing on daily perishable products considering a reference price of consumers. The daily perishable products are sometimes sold at a discount price before closing time to stimulate demand when the number of unsold products is more than initially envisioned. The discount pricing results both in an increase of the revenue of the day and in a decrease of the disposal cost. The discounting, however, also declines a reference price of consumers which is a mental price and serves as an anchor price to judge if a current sales price is loss or gain for the consumers. An excess discounting decreases the demand for the products sold at a regular price in the future and diminishes long-term profit. This study conducts a mathematical analysis on the clearance pricing problem for a single period with stochastic variations both on demand and on the inventory level at clearance time. The expected profit function especially depends on the response of consumers to the clearing price against their reference prices. A procedure is proposed to derive an optimal clearance price when consumers are loss-neutral. A sufficient condition is shown to obtain an optimal price for loss-averse and loss-seeking consumers by an analogous procedure.

• The Journal of Asian Finance, Economics and Business
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• 제7권10호
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• pp.543-553
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• 2020

This paper examines the effect of COVID-19 pandemic on the Philippine stock exchange, peso-dollar rate and retail price of diesel using robust least squares regression and vector autoregression (VAR). The robust least squares regression using MM-estimation method concluded that COVID-19 daily infection has negative and statistically significant effect on the Philippine stock exchange index, peso-dollar exchange rate and retail pump price of diesel. This is consistent with the results of correlation diagnostics. As for the VAR model, the lag values of the independent variable disclose significance in explaining the Philippine stock exchange index, peso-dollar exchange rate and retail pump price of diesel. Moreover, in the short run, the impulse response function confirmed relative effect of COVID-19 daily infections and the variance decomposition divulge that COVID-19 daily infections have accounted for only minor portion in explaining fluctuations of the Philippine stock exchange index, peso-dollar exchange and retail pump price of diesel. In the long term, the influence levels off. The Granger causality test suggests that COVID-19 daily infections cause changes in the Philippine stock exchange index and peso-dollar exchange rate in the short run. However, COVID-19 infection has no causal link with retail pump price of diesel.

• 수산경영론집
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• 제45권2호
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• pp.29-38
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• 2014

This study is to analyse the timing of the structural change of price volatility and the asymmetry of price volatility during the period before and after the timing of the structural change of price volatility using Jeju Farming Olive Flounder's production area market price data from January 1, 2007 to June 30, 2013. The analysis methods of Quandt-Andrews break point test and Threshold GARCH model are employed. The empirical results of this study are summarized as follows: First, the result of Quandt-Andrews break point test shows that a single structural change in price volatility occurred on May 4, 2010 over the sample period. Second, during the period before structural change, daily price change rate has averagely positive value which means price increase, but during the period after structural change daily price change rate has averagely negative value which means price decrease. Also, daily volatility of price change rate during the period before structural change is higher than during the period after structural change. This indicates that price volatility decreases after structural change. Third, the estimation results of Threshold GARCH Model show that the volatility response against price increase is larger during the period after structural change than during the period before structural change. Also the result shows the volatility response against price decrease is larger during the period after structural change than during the period before structural change. And, irrespective of the timing of structural change, price increase has an larger effect on volatility than price decrease. This means volatility is asymmetric at price increase.

• The Journal of Asian Finance, Economics and Business
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• 제7권11호
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• pp.45-53
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• 2020

Past literatures have not studied the impact of real-world events or information on the return and volatility of virtual currencies, particularly on the COVID-19 event, day-of-the-week effect, daily high-low price spreads and information flow rate. The study uses the ARMA-GARCH model to capture Bitcoin's return and conditional volatility, and explores the impact of information flow rate on conditional volatility in the Bitcoin market based on the Mixture Distribution Hypothesis (Clark, 1973). There were 3,064 samples collected during the period from 1^st of January 2012 to 20^th April, 2020. Empirical results show that in the Bitcoin market, a daily high-low price spread has a significant inverse relationship for daily return, and information flow rate has a significant positive relationship for condition volatility. The study supports a significant negative relationship between information asymmetry and daily return, and there is a significant positive relationship between daily trading volume and condition volatility. When Bitcoin trades on Saturday & Sunday, there is a significant reverse relationship for conditional volatility and there exists a day-of-the-week volatility effect. Under the impact of COVID-19 event, Bitcoin's condition volatility has increased significantly, indicating the risk of price changes. Finally, the Bitcoin's return has no impact on COVID-19 events and holidays (Saturday & Sunday).

• 유통과학연구
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• 제21권9호
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• pp.103-114
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• 2023

Purpose: This paper aims to assess psychological heuristics' effectiveness on cumulative returns after significant stock price changes. Specifically, it compares availability and anchoring heuristics' empirical validity due to conflicting stock return predictions. Research Design, Data, and Methodology: This paper analyzes stock price changes of Korean distribution industry stocks in the KOSPI market from January 2004 to July 2022, where daily fluctuations exceed 10%. It evaluates availability heuristics using daily KOSPI index changes and tests anchoring heuristics using 52-week high and low stock prices as reference points. Results: As a result of the empirical analysis, stock price reversals did not consistently appear alongside changes in the daily KOSPI index. By contrast, stock price drifts consistently appeared around the 52-week highest stock price and 52-week lowest stock price. The result of the multiple regression analysis which controlled for both company-specific and event-specific variables supported the anchoring heuristics. Conclusions: For stocks related to the Korean distribution industry in the KOSPI market, the anchoring heuristics theory provides a consistent explanation for stock returns after large-scale stock price fluctuations that initially appear to be random movements.

• The Journal of Asian Finance, Economics and Business
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• 제7권4호
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• pp.107-119
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• 2020

The study investigates the effect of the widened daily stock price limits on the usefulness of accounting information in Korea: 1) whether investors place a higher importance on audit quality, an indicator of the reliability of accounting information, and 2) whether there are differences in the relationships between audit quality and stock-price earning-rates two years before and after June 15, 2016. This study employs samples of two years (2013 to 2015) before the widening and two years after the widening (2016 to 2017). The samples are limited to the companies listed on the Korea Stock Exchange, accounting settled in December, collected from Fn-Guide and TS-2000 of the Korea Listed Companies Association. The results show that the positive association between audit quality and stock return was increased during the later period, compared to the preceding period. This tendency was more evident in companies with higher debt ratios and companies with lower levels of income smoothing, which is considered to have higher risks. The findings suggest that it is the first study evaluating the effect of widening daily stock price limits, made on June 15, 2015, on the usefulness of audit quality information by examining the relevance between audit quality and stock return.

• 아태비즈니스연구
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• 제14권1호
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• pp.265-279
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• 2023

Purpose - The purpose of this paper is to compare and review behavioral economics models that explain stock price changes after large-scale price shocks in the Korean stock market and to find a suitable model. In this paper, among the theories reviewed, it was confirmed that the anchoring heuristics theory has high explanatory power for stock prices after large-scale stock price fluctuations. Design/methodology/approach - This paper conducts an event study on stock price shocks in which the individual stocks that make up the KOSPI200 index show more than 10% fluctuation on a daily basis. In order to materialize the abstract predictions of heuristics theories in a varifiable form, this paper uses the daily stock price index change as a reference point for availability heuristics, and uses the 52-week highest and lowest price as reference point for anchoring heuristics. Research implications or Originality - As a result of the empirical analysis, the stock price reversals did not consistently appear for changes in the daily index. On the other hand, the stock price drifts consistently appeared around the 52-week highest and the 52-week lowest price. And in the multiple regression analysis that controlled for company-specific and event-specific variables, the results that supported the anchoring heuristics were more evident. These results suggest that it is possible to establish an investment strategy using large-scale price change in Korean stock market.

• 보건행정학회지
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• 제9권2호
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• pp.118-138
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• 1999

This study presents the variations on drug utilization for outpatients' URI, gastritis. and hypertension by the type of hospital- tertiary hospital. general hospital. hospital. clinic. It investigated drug expenses. daily drug expenses. days of medication. the highest price of the drugs used. and the number of the different drugs used for each disease and type of hospital. This study also performed analysis to see how much the variations of variables related to drug use affect the variations of drug expenses. The dependent variable was drug expenses and the independent variables were days of medication. the average price of the drugs used. and the number of the different drugs used. Analysis of the drug utilization was performed on NFMI(National Federation of Medical Insurance) 1994 medical expense claim data. Patients with secondary diseases were excluded. In this study. 379 patients with URI, 386 patients with gastritis. 1.257 patients with hypertension were included. It was founded that there were large variation on drug utilization between the types of hospital for same diseases. Days of medication were longest in tertiary hospitals and shortest in hospitals or clinics. Clinics showed the lowest daily drug expenses in all of the diseases investigated. Daily drug expenses were highest in general hospitals or hospitals. which also tended to use drugs of higher price than other types of hospital. General hospitals and hospitals had larger variations in daily drug expenses and the highest price of drugs. It suggested that drug might be utilized overly in general hospitals and hospitals and some other factors might influence on drug utilization in these hospitals. It was found that the variations of drug expenses were affected by the variations of drug price and days of medication rather than the number of the different drugs. Then the strategy to reduce the variations of drug utilization and to improve the quality of drug utilization should focus on the drug price and days of medication. Further study is needed to assess the quality as well as the variation of drug utilization and to show the factors which affect them.

• The Journal of Asian Finance, Economics and Business
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• 제9권3호
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• pp.33-42
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• 2022

Oil prices have become more volatile as a result of global economic contraction and control measures. Before and during the COVID-19 crisis, this study examines the relationship between oil price swings and daily stock returns in the power sector. The impact is investigated using a panel Vector Autoregressive (VAR) model. Granger causality tests are used to see if oil prices are effective in predicting returns. The dynamic impact of supply shocks is studied using Impulse Response Functions (IRFs). From January 2011 to May 2021, the study used daily data from all listed power sector enterprises on the Pakistan stock exchange. To investigate the differences in reactions between the Pre-COVID and COVID eras, the sample was separated into two groups. Oil shocks are inversely associated with daily firm stock returns. The conclusions are further supported by the lack of impact of stock prices on oil prices. The relationship, however, deteriorates during the COVID pandemic. We could not uncover any evidence of a significant relationship. In developing countries that rely on oil imports, the study sheds light on the utility of oil price shocks in daily stock return predictions.

• Ocean and Polar Research
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• 제37권4호
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• pp.357-368
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• 2015

This study analyzed structural changes and asymmetry of price volatility during the period before and after a point of structural change in price volatility, using the Korean fresh common squid daily retail price data from January 1, 2004 to September 30, 2015. This study utilized the following analytical methods: the unit-root test was applied to ensure the stability of the data, the Quandt-Andrews breakpoint test was applied to find the point of structural change, and the Glosten-Jagannathan-Runkle GARCH and EGARCH models were applied to investigate the asymmetry of price volatility. The empirical results of this study are as follows. First, ADF, PP, KPSS and Zivot-Andrews tests showed that the daily retail price change rate of the Korean fresh common squid differentiated by logarithm was stable. Secondly, the ARIMA (2,1,2) model was selected by information criteria such as AIC, SC, and HQ. Thirdly, the Quandt-Andrews breakpoint test found that a single structural change in price volatility occurred on June 11, 2009. Fourthly, the Glosten-Jagannathan-Runkle GARCH and EGARCH models showed that estimates of coefficients within the models were statistically significant before and after structural change and also that asymmetry as a leverage effect existed before and after structural change.