• The Journal of Asian Finance, Economics and Business
• /
• 제4권2호
• /
• pp.19-23
• /
• 2017

It is undisputable that crude oil and its price fluctuations are major components that affect most of the countries' economies. Recent studies have demonstrated that beside the impact that crude oil price fluctuations have on common macroeconomic indicators like gross domestic product (GDP), inflation rates, exchange rates, unemployment rate, etc., it also has a strong influence on stock markets and their performance. This relationship has been examined in a number of settings, but it is yet to be unraveled in the Omani context. Accordingly, the main purpose of this study is to examine the possible effect of the oil price fluctuations on stock price movements. The study applies Toda and Yamamoto's (1995) Granger non-causality test on the daily Oman stock index (Muscat Securities Market Index) and oil prices between the period of 2 January 2003 and 13 March 2016. The results indicated that the oil price fluctuations have a significant impact on stock index movements. However, the stock price movements do not have a significant impact on oil prices. These findings have significant implications not only for the Omani economy but also for the economy of similar countries, particularly in the Gulf Cooperation Council (GCC) countries. The latter should carefully consider their policies and strategies regarding crude oil production and the generated income allocation as it might potentially affect the financial markets performance in these countries.

• The Journal of Asian Finance, Economics and Business
• /
• 제8권10호
• /
• pp.219-228
• /
• 2021

The study examines the behavior of stock prices after large price changes. It further examines the effect of firm size on stock returns, and the presence of the disposition effect. The study employs the event study methodology using daily price data from Pakistan Stock Exchange (PSX) for the period January 2001 to July 2012. Furthermore, to examine the factors that explain stock price behavior after large price movements, the study employs a two-way fixed-effect model that allows for the analysis of unobservable company and time fixed effects that explain market reversals or continuation. The findings suggest that winners perform better than losers after experiencing large price shocks thus showing a momentum behavior. In addition, the winners remain the winner, while the losers continue to lose more. This suggests that most of the investors in PSX behave rationally. Further, the study finds no evidence of disposition effect in PSX. The investors underreact to new information and the prices continue to move in the direction of initial change. The pooled regression estimates show that firm size is positively related to post-event abnormal returns while the fixed-effect model reveals the presence of unobservable firm-specific and time-specific effects that account for price continuation.

• KSII Transactions on Internet and Information Systems (TIIS)
• /
• 제16권12호
• /
• pp.3923-3942
• /
• 2022

Environment, price, regulation, and other factors influence the price of agricultural products, which is a social signal of product supply and demand. The price of many agricultural products fluctuates greatly due to the asymmetry between production and marketing details. Horticultural goods are particularly price sensitive because they cannot be stored for long periods of time. It is very important and helpful to forecast the price of horticultural products which is crucial in designing a cropping plan. The proposed method guides the farmers in agricultural product production and harvesting plans. Farmers can benefit from long-term forecasting since it helps them plan their planting and harvesting schedules. Customers can also profit from daily average price estimates for the short term. This paper study the time series models such as ARIMA, SARIMA, and neural network models such as BPN, LSTM and are used for wheat cost prediction in India. A large scale available data set is collected and tested. The results shows that since ARIMA and SARIMA models are well suited for small-scale, continuous, and periodic data, the BPN and LSTM provide more accurate and faster results for predicting well weekly and monthly trends of price fluctuation.

• 유통과학연구
• /
• 제16권4호
• /
• pp.83-88
• /
• 2018

Purpose - This study conducts an empirical analysis on gasoline pricing of Korean retail gas stations focusing on spatial effects. Unlike previous studies, the study uses an official land price for a proxy of the importance of location, and also allows the spatial effects from other competing gas stations as well. Research design, data, and methodology - In collection of data, we obtain more abundant data than those of previous studies. The gasoline prices used in the study are 909,084 observations as daily data from January 1 to July 31 of the year 2016. A proxy for the land price is collected by linking official public land price data with address information on each gas station. For the estimation, the study employs the Panel Spatial Dubin Model to make the best use of the collected location information. Results - As expected, spatial properties of gas stations have significant effects on the gasoline price. As the price per square meter increases by 100 thousands won, the price of gasoline rises 9 won per liter. Among other characteristics, the price increases by 16 won per liter if the station has a convenience store, and about 5 won if it has a car wash service. Gasoline price in Singapore accounted for 26% of variations in domestic gasoline prices. SK Energy and GS Caltex are the top brands in terms of price. The study also finds prices and other important properties of competing gas stations have significant effects on others' prices. Prices of competing gas station have a positive relationship with those of others. If a competing gas station raises the price, the gas station also raises the price, and lowering the price lower the price. Among brands, GS Caltex has the greatest downward pressure on nearby gas stations. Conclusions - The study confirms that location value of gas stations affect their gasoline prices, and the prices of the competing gas stations also have a significant effects on their prices. It suggests that the prices in the competing retail areas tend to be synchronized with each other.

• 재무관리연구
• /
• 제22권2호
• /
• pp.107-133
• /
• 2005

본 논문은 신용평가기관의 신용등급 변경공시 정보가 주식시장과 채권시장에 어떠한 영향을 주는 지를 1993년 1월에서 2001년 2월까지의 주식시장과 2000년 7월에서 2001년 2월까지의 채권시장에서의 자료를 이용하여 사건연구를 통하여 살펴본다. 주식시장의 경우를 살펴보면, 등급이 상승하는 경우는 신용등급 공시전이나 공시 후 유의한 반응이 관찰되지 않았다. 그러나 신용등급이 2등급 이상 하락한 경우는 등급 변경 공시 이전과 등급 공시일과 이후 모두에 유의한 반응을 나타냈으며 등급이 1등급 하락한 경우는 사건이 발생한 이후의 경우에서만 유의한 반응을 나타내었다. 채권시장에서는 등급이 상승하는 경우에는 투자수익률이 상승하고, 만기수익률이 하락하는 것이 관찰되며, 등급이 하락한 경우에는 투자수익률이 하락하고, 만기수익률이 상승하는 것이 관찰된다. 또한, 등급이 하락하는 경우가 상승하는 경우보다 그 변동이 크다.

• 한국융합학회논문지
• /
• 제10권1호
• /
• pp.7-12
• /
• 2019

신경회로망은 적합한 수학적 모델에 대한 가정 없이 데이터로부터 유용한 정보를 추출해서 예측에 필요한 입출력 관계를 정의할 수 있어서 주가 예측에 널리 사용되어 왔다. 본 논문에서는 신경회로망 모델을 사용하여 일별 KOrea composite Stock Price Index (KOSPI) 종가를 예측한다. 예측된 종가를 기반으로 KOSPI에 연동해 변동하는 Exchange Traded Funds (ETFs)의 거래를 위한 알파 매매를 제안한다. 본 논문에 제안된 방법으로 KOSPI 예측 신경회로망 모델들을 구현하고 예측 정확도를 평가한다. 구현된 신경회로망 모델(NN1)의 학습 오차(MAPE)는 0.427, 평가 오차는 0.627이다. 평가용 데이터를 사용해 알파 매매를 시뮬레이션하면 수익률은 7.16 ~ 15.29 %를 보인다. 이는 125 거래일 데이터로 거둔 수익률로 제안된 알파 매매가 효과적임을 보인다.

• 한국전자거래학회지
• /
• 제19권3호
• /
• pp.143-158
• /
• 2014

경쟁이 치열한 온라인 마켓에서의 가격결정은 판매자에게 있어서 매우 중요한 업무이다. 가격비교 사이트의 등장으로 동일한 상품에 대한 소비자들의 가격 민감도가 더 높아졌기 때문에 가격조정의 중요성은 점점 커지고 있다. 본 연구는 온라인마켓에서 시간의 흐름에 따른 판매자들 간의 가격조정 패턴을 분석하고자 하였다. 연구를 위하여 가격비교사이트에 올라온 컴퓨터 주변기기에 대한 가격 데이터를 수집하였다. 그리고 몬테카를로 시뮬레이션을 개발하고 판매자들 간의 가격조정 타이밍이 비슷한지를 분석하여 가격담합의 가능성을 탐색하였다. 분석결과는 판매자들 간의 가격조정 타이밍이 비슷하게 나타나는 가격담합현상을 보였으며, 판매자들 간의 가격의존도가 주 단위가 아닌 일 단위가 더 높다는 것이 발견되었다.

• 자원ㆍ환경경제연구
• /
• 제21권3호
• /
• pp.493-517
• /
• 2012

본 연구는 우리나라 정유사 주유소의 보통휘발유 가격간의 인과관계를 분석하여 정유사 주유소간의 가격발견과정을 연구하였다. 벡터오차수정모형과 비순환성 그래프(DAG)를 활용하여 주유소 휘발유 가격 간의 동시적 인과관계를 분석하였다. 2008년 4월 15일부터 2009년 5월 31일까지 기간과 2011년 1월 1일부터 20011년 12월 31일까지의 두 기간의 시계열에 대해 구분하여 분석하였다. 동시적 인과관계의 분석결과, 전기에서 S-OIL이 외생성을 보이며 가격정보를 주도하는 양상을 보였으나, 후기에서는 SK에너지가 가격정보흐름을 주도하고 있는 것으로 나타났다. 상대적으로 저렴한 가격의 NH-OIL 주유소의 휘발유시장에 대한 신규 참여가 타 정유사 주유소의 가격하락에 영향을 주지는 않는 것으로 보인다.

• The Journal of Asian Finance, Economics and Business
• /
• 제7권9호
• /
• pp.125-134
• /
• 2020

This study examines the nominal price anomaly in the Vietnamese stock market, that is, whether stocks with low nominal price outperform stocks with high nominal price. Using a sample of all 351 companies listed on the Ho Chi Minh Stock Exchange (HOSE) from June 2009 to March 2018, we confirm our hypothesis and document that cheaper stocks yield higher subsequent abnormal returns. The results are robust after controlling for various stock characteristics that have been documented to be value-relevant in prior literature, including firm size, book-to-market ratio, intermediate-term momentum, short-term reversal, skewness, market risk, idiosyncratic risk, illiquidity and extreme daily returns, using both the portfolio analysis and the Fama-MacBeth cross-sectional regression. The negative effect persists in the long term (i.e., after up to 12 months), implying a slow adjustment of stock prices to their intrinsic value. Further analysis show that the observed nominal price anomaly is mainly driven by mispricing but not a latent risk factor proxied by stock price, thus the observed anomaly reflects a mispricing but not a fundamental risk. The study highlights the irrational behaviour of investors and market inefficiency in the Vietnamese stock market and provides important implication for investors in the market.

• The Journal of Asian Finance, Economics and Business
• /
• 제7권8호
• /
• pp.143-150
• /
• 2020

This study aims to investigate the effect of oil price and exchange rate on the two Vietnamese stock market indices: VN index and HXN index. This study uses the daily data from August 1^st 2000 to October 25^th 2019 of the two Vietnamese stock indices: VN index and HNX index, the two oil price indices: BRENT and WTI, and the two exchange rates: US dollar to Vietnamese dong and Euro to Vietnamese dong. Due to the presence of heteroskedasticity in our data, we use GARCH (1,1) regression model to perform our analysis. Our findings show that the oil price has a significant positive effect on the two Vietnamese stock market indices. In terms of the stock index volatility, both the VN index and HNX index volatilities are negatively impacted by the return of oil price. While the conclusion about the impact of oil price remained consistent through all three robustness tests, the effect of exchange rate on Vietnamese stock market indices is not consistent. We find thatchanges of the USD/VND exchange rate significantly impact the return and volatility of HNX index only in GARCH (1,1) setting. Our analysis also survives a number of robustness tests.