• 대한전기학회논문지:전력기술부문A
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• 제53권9호
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• pp.487-493
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• 2004

The electric power industry throughout the world is undergoing considerable changes from the vertically integrated utility structure to the deregulated market. However, the deregulated electricity market is operated with respect to theory of economical efficiency, and therefore, the system operator requires data with fast contingency ranking for security of the bulk power system. This paper compares the weather dependant probabilistic risk index(PRI) with the system performance index for power flow in the IEEE-RTS. The system performance index for power flow presents the power system stability. This paper presents fast calculation method for determining contingency ranking using the weather dependant probabilistic risk index(PRI). The probabilistic risk index can be classified into the case of normal and adverse weather. This paper proposes calculation method using the probabilistic risk index in determining contingency ranking required for security under the deregulated electricity market.

• 한국정보시스템학회지:정보시스템연구
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• 제18권3호
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• pp.351-373
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• 2009

An index fund is a collective investment scheme that aims to replicate the movements of an index of a specific financial market regardless of market conditions. An index fund is a popular investment alternative because it is much cheaper to run than an active fund and it performs better than actively managed funds. This paper illustrates the usefulness of wavelet analysis in constructing an index fund. The wavelet analysis can decompose the time series data in frequency domain as well as in time domain. The major findings of this paper are as follows. First, the beta coefficient that represents the systematic risk has the scale dependent property. This result can provide important information to the investors with various investment time frequency. Investors can use the betas corresponding to their investment frequencies among the various scale betas estimated by wavelet analysis. Second, we can find the usefulness of wavelet analysis in constructing index fund because the wavelet technique gives less tracking error(difference between the index performance and the index fund performance) than the traditional constructing techniques. The result of this study implies that the wavelet techniques can be an important analytic method to the other financial markets such as option market, futures market, bond markets and currency market.

• 한국항해항만학회지
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• 제40권3호
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• pp.139-146
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• 2016

각 항만의 터미널별 물동량을 기반으로 허쉬만-허핀달지수를 통해 부산항과 상하이항의 시장구조 측정을 실시하였고, 시장성과를 분석하기 위해 시장성과를 수익성과 성장성의 두 가지 측면으로 구분하였다. 수익성 측면에서는 각 컨테이너 터미널 운영사들의 가격-비용 마진율(PCM)과 자산수익률(ROA), 성장성 측면에서는 각 터미널의 처리 실적과 물동량 증감률을 통해 각 터미널 운영사의 성과를 측정하였다. 측정된 결과를 바탕으로 시장구조와 터미널 운영사의 성과에 대한 상관관계를 살펴보기 위해 회귀분석을 실시하였고, 결과를 상호 비교하였다. 연구결과, 부산항의 시장구조와 컨테이너 터미널 운영사의 성장성(처리실적), 상하이항의 시장구조와 컨테이너 터미널 운영사의 수익성(PCM, ROA) 및 성장성(처리실적)과의 관계가 유의적인 관계로 나타났다.

• The Journal of Asian Finance, Economics and Business
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• 제7권11호
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• pp.117-126
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• 2020

This paper is aimed to explore the co-movement capital market in Southeast Asia and analysis the correlation of conventional and Islamic Index in the regional and global equity. This research become necessary to represent the risk on the capital market and measure market performance, as investor considers the volatility before investing. The time series daily data use from April 2012 to April 2020 both conventional and Islamic stock index in Malaysia and Indonesia. This paper examines the dynamics of conditional volatilities and correlations between those markets by using Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MGARCH). Our result shows that conventional or composite index in Malaysia less volatile than Islamic, but on the other hand, both drive correlation movement. The other output captures that Islamic Index in Indonesian capital market more gradual volatilities than the Composite Index that tends to be low in risk so that investors intend to keep the shares. Generally, the result shows a correlation in each country for conventional and the Islamic index. However, Internationally Indonesia and Malaysia composite and Islamic is low correlated. Regionally Indonesia's indices movement looks to be more correlated and it's similar to Malaysian Capital Market counterparts. In the global market distress condition, the diversification portfolio between Indonesia and Malaysia does not give many benefits.

• 경영과학
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• 제30권1호
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• pp.73-89
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• 2013

This paper develops an investment algorithm based on Markowitz's Portfolio Selection Theory, using historical stock return data, and empirically evaluates the performance of the proposed algorithm in the U.S. and the Hong Kong stock markets. The proposed investment algorithm is empirically tested with the 30 constituents of Dow Jones Industrial Average in the U.S. stock market, and the 30 constituents of Hang Seng Index in the Hong Kong stock market. During the 6-year investment period, starting on the first trading day of 2006 and ending on the last trading day of 2011, growth rates of 12.63% and 23.25% were observed for Dow Jones Industrial Average and Hang Seng Index, respectively, while the proposed investment algorithm achieved substantially higher cumulative returns of 35.7% in the U.S. stock market, and 150.62% in the Hong Kong stock market. When compared in terms of Sharpe ratio, Dow Jones Industrial Average and Hang Seng Index achieved 0.075 and 0.155 each, while the proposed investment algorithm showed superior performance, achieving 0.363 and 1.074 in the U.S. and Hong Kong stock markets, respectively. Further, performance in the U.S. stock market is shown to be less sensitive to an investor's risk preference, while aggressive performance goals are shown to achieve relatively higher performance in the Hong Kong stock market. In conclusion, this paper empirically demonstrates that an investment based on a mathematical model using objective historical stock return data for constructing optimal portfolios achieves outstanding performance, in terms of both cumulative returns and Sharpe ratios.

• 경영과학
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• 제26권2호
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• pp.19-35
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• 2009

This paper investigated performance of the Markowitz's portfolio selection model with applications to Korean stock market. We chose Samsung-Group-Funds and KOSPI index for performance comparison with the Markowitz's portfolio selection model. For the most recent one and a half year period between March 2007 and September 2008, KOSPI index almost remained the same with only 0.1% change, Samsung-Group-Funds showed 20.54% return, and Markowitz's model, which is composed of the same 17 Samsung group stocks, achieved 52% return. We performed sensitivity analysis on the duration of financial data and the frequency of portfolio change in order to maximize the return of portfolio. In conclusion, according to our empirical research results with Samsung-Group-Funds, investment by Markowitz's model, which periodically changes portfolio by using nonlinear programming with only financial data, outperformed investment by the fund managers who possess rich experiences on stock trading and actively change portfolio by the minute-by-minute market news and business information.

• 경영과학
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• 제30권1호
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• pp.167-181
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• 2013

We investigate the dynamic asset allocation problem under inflation risk when the wealth of an investor is constrained with minimum requirements. To capture the investor's risk preference, the CRRA utility function is considered and he maximizes his expected utility at predetermined date of the refund by participation in the financial market. The financial market is supposed to consist of three kinds of financial instruments which are a risk free asset, a risky asset, and an index bond. The role of an index bond is managing inflation risk represented by price process. The optimal wealth and the optimal asset allocation are derived explicitly by using the method to get the European call option pricing formula. From the numerical results, it is confirmed that the investments on index bond is high when the investor's wealth level is low. However, as his wealth increases, the investments on index bond decreases and he invests on risky asset more. Furthermore, the minimum wealth constraint induces lower investment on risky asset but the effect of the constraints is reduced as the wealth level increases.

• 대한전기학회:학술대회논문집
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• 대한전기학회 2003년도 추계학술대회 논문집 전력기술부문
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• pp.134-136
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• 2003

The deregulated electricity market is operated with respect to theory of economical efficiency, and therefore, the system operator requires data with fast contingency ranking for security of the bulk power system. This paper compares the weather dependant probabilistic risk index(PRI) with the system performance index for power flow in the IEEE-RBTS. also, the system performance index for power flow presents the power system stability. The probabilistic risk index can be classified into normal weather and adverse weather. This paper proposes calculation method using the probabilistic risk index in determining contingency ranking requiring for security under the deregulated electricity market.

• 한국조사연구학회지:조사연구
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• 제7권1호
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• pp.55-84
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• 2006

본 연구는 이동통신시장의 주요통계지표를 이용하여 이동통신시장의 산업수명주기(Industry Life Cycle)(태동기-성장기-성숙기)를 유형화 하고자 하였다. 분석 모형은 2단계로 구분되며, 1단계 분석에서는 이동전화보급률을 기준으로 이동통신시장의 발전단계를 유형화하고, 2단계 분석에서는 주요통계지표를 비교분석하여 이동통신시장의 발전단계별 시장특성을 제시한다. 1단계 분석결과 군집분석을 이용하여 이동통신시장의 발전단계(태동기-성장기-성숙기)별로 국가군이 유형화되었으며, 발전단계별 군집은 국가경제의 발전수준과 상관관계가 있는 것으로 파악되었다. 2단계 분석결과 주요통계지표에 대한 비교분석을 통한 이동통신시장의 발전단계별 시장특성은 다음과 같다. 첫째, 시장구조지표 중에서 HHI(시장집중률)은 성장기와 성숙기보다 태동기에 매우 높은 것으로 나타났다. 둘째, 시장효율성지표에서 ARPU(사용자당 평균수익)와 RPM(분당수익)은 태동기에서 성장기, 성숙기로 갈수록 높았다. 셋째, 시장성과지표인 EBITDA 마진율은 태동기에는 매우 높지만 성장기, 성숙기에는 상대적으로 낮은 것으로 파악되었다. 결과적으로 이동통신시장의 주요통계지표를 이용하여 특정 국가의 이동통신시장이 산업수명주기 상 어떤 위치에 있는지를 파악함으로써 시장환경 변화에 대응할 수 있는 정책적, 전략적 시사점을 찾을 수 있었다.

• The Journal of Asian Finance, Economics and Business
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• 제7권8호
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• pp.185-195
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• 2020

This study examines the association between governance quality at country level and stock market performance. Specifically, the study investigates the influence of control of corruption, government effectiveness, political stability and absence of violence, rule of law, regulatory quality, and voice and accountability on all-share index of the stock markets of the six Gulf Cooperation Council (GCC) countries. This study is anchored on two theories - the Efficient Market Hypothesis (EMH) and Institutional Theory. The study employs panel data spanning from 2006 to 2017. The findings show that political stability and absence of violence and rule of law exhibit a significant positive impact on stock market performance, while regulatory quality and voice and accountability have a significant, but negative relationship with stock market performance. The results imply that quality of governance in terms of rule of law and political stability devoid of violence have strong impact on stock market returns. Similarly, improved stock market returns are largely dependent on the efficiency of the institutional environment of market as investors are always wary of the inherent risks associated with the uncertainty of the market. This study has crucial policy implications for the government of the GCC countries and stock market participants.