• Journal of the Korean Operations Research and Management Science Society
• /
• v.39 no.2
• /
• pp.83-95
• /
• 2014

In this paper, we develop a portfolio selection model that can be used to invest in markets with margin requirements such as the foreign exchange market. An investment algorithm to implement the proposed portfolio selection model based on objective historical data is also presented. We further conduct empirical analysis on the performance of a hypothetical investment in the foreign exchange market, using the proposed portfolio selection model and investment algorithm. Using 7 currency pairs that recorded the highest trading volume in the foreign exchange market during the most recent 10 years, we compare the performance of 1) the Dollar Index, 2) a 1/N Portfolio which equally allocates capital to all N assets considered for investment, and 3) a hypothetical investment portfolio selected and managed according to the portfolio selection model and investment algorithm proposed in this paper. Performance is compared in terms of accumulated returns and Sharpe ratios for the 10-year period from January 2003 to December 2012. The results show that the hypothetical investment portfolio outperforms both benchmarks, with superior performance especially during the period following financial crisis. Overall, this paper suggests that a mathematical approach for selecting and managing an optimal investment portfolio based on objective data can achieve outstanding performance in the foreign exchange market.

• Knowledge Management Research
• /
• v.23 no.1
• /
• pp.89-109
• /
• 2022

Due to COVID-19 and soaring participation of individual investors, large-scale transactions exceeding system capacity limits have been reported frequently in the capital market. The capital market IT systems, which the impact of system failure is very critical, have encountered unexpectedly tremendous transactions in 2020, resulting in a sharp increase in system failures. Despite the fact that many companies maintained large-scale system capacity planning policies, recent transaction influx suggests that a new approach to capacity planning is required. Therefore, this study developed capital market IT system capacity planning models using machine learning techniques and analyzed those performances. In addition, the performance of the best proposed model was improved by using sentiment index that can promptly reflect the behavior of investors. The model uses empirical data including the COVID-19 period, and has high performance and stability that can be used in practice. In practical significance, this study maximizes the cost-efficiency of a company, but also presents optimal parameters in consideration of the practical constraints involved in changing the system. Additionally, by proving that the sentiment index can be used as a major variable in system capacity planning, it shows that the sentiment index can be actively used for various other forecasting demands.

• International Journal of Contents
• /
• v.15 no.2
• /
• pp.44-52
• /
• 2019

This paper uses Delphi Method and statistics provided by the State Administration of Market Regulation of China, attempts to develop the scale index of language service industry in China. Coupled with practical investigation and theoretical framework of SCP paradigm, a deep analysis on market behavior, market structure, and market performance of the industry have been explored. First, the study indicates that the scale index of Chinese language services industry has experienced an upward trend from 10.481million RMB in 2008 to 351.403 million RMB in 2017. Second, majority of language services enterprises are situated in Chinese coastal provinces and there are variations in demand for language services. Third, the standardization of language services are minimal while most of the talents involve a single discipline background. Fourth, most enterprises utilize language tools while there is lack of technological innovation for utilization of language resources and enhancement of service quality. The author mainly suggests four strategies which include: cultivating multilingual services, strengthening the development of industrial informatization and technical innovation, and optimizing the industrial talents structure while also adjusting for industrial distribution and regional coordination, which propose the meaningful implications for the development of language service industry in China.

• The Journal of Asian Finance, Economics and Business
• /
• v.8 no.2
• /
• pp.725-735
• /
• 2021

This study investigates whether the Islamic Exchange-Traded Funds (ETFs) provide significant benefit to investors relative to conventional ETFs. Six pairs of Islamic and conventional ETFs with 10-year daily price data from 2010 to 2019 have been selected from major market indices like MSCI World Index, MSCI Emerging Markets, MyETF Dow Jones Islamic Market Malaysia, MSCI South East Asia and Wahed FTSE Shariah USA Index for this study. For ETFs that are launched after 2010, the price data from launch date to 2019 are used. Our results show: First, Islamic ETFs are more likely to trade at a premium rather than at a discount, implying the investors are willing to pay a premium. Second, it is also found that Islamic ETFs have a relatively shorter period of price deviation from the benchmark, implying more price stability. Third, conventional ETFs have higher return and lower tracking errors relative to Islamic ETFs. These new findings add to the stylized facts of Islamic ETFs in the extant literature for investors, plan sponsors and regulators as to the differences between the ETFs. As policy suggestion, asset management companies can design new investment products to bridge the gap between conventional and Islamic finance.

• Journal of Contemporary Eastern Asia
• /
• v.20 no.2
• /
• pp.63-84
• /
• 2021

The present study was conducted to understand the turmoil effects of COVID-19 pandemic on the Malaysian stock market during the different periods of the Movement Control Order (MCO). The present study was based on the secondary data extracted from the DataStream and Bloomberg from 2nd January 2020 to 29th May 2020 to evaluate the effects of COVID-19 pandemic on the Malaysian stock market. The findings suggested that during the different periods of the Movement Control Order (MCO) from the 1st January to 29th May 2020, the COVID-19 pandemic adversely affected the performance of KLCI index and all sectoral indices. The weakest performance indices were energy, property, and finance while the least affected indices were healthcare, technology, telecommunications, and media. This paper provides a review of the impacts of COVID-19 pandemic on the Malaysian stock market throughout the different periods of MCO.

• The Journal of Asian Finance, Economics and Business
• /
• v.8 no.4
• /
• pp.741-749
• /
• 2021

The research paper endeavors to investigate the presence of seasonal anomalies in the Indian equity market. It also aims to verify the notion that equity markets are for long-term investors. The study employs daily index data of Sensex, Bombay Stock Exchange, to understand its volatility for the period ranging from January 2001 to August 2020. To analyze the seasonal effects in the stock market of India, multiple regression techniques along with descriptive analysis, graphical analysis and various statistical tests are used. The study also employs the rolling returns at different time intervals in order to understand the underlying risks and volatility involved in equity returns. The results from the analysis reveal that daily and monthly seasonality is not present in Sensex returns i.e., investors cannot earn abnormal returns by timing their investment decisions. Hence, the major finding of this study is that the Indian stock market performance is random, and the returns are efficient. The other major conclusion of the research is that the equity returns are profitable in the long run providing investors a hope that they can make gains and compensate for the loss in one period by a superior performance in some other periods.

• Journal of Korean Society of Industrial and Systems Engineering
• /
• v.41 no.3
• /
• pp.154-161
• /
• 2018

This study conducted to predict the stock market prices based on the assumption that internet news articles might have an impact and effect on the rise and fall of stock market prices. The internet news articles were tested to evaluate the accuracy by comparing predicted values of the actual stock index and the forecasting models of the companies. This paper collected stock news from the internet, and analyzed and identified the relationship with the stock price index. Since the internet news contents consist mainly of unstructured texts, this study used text mining technique and multiple regression analysis technique to analyze news articles. A company H as a representative automobile manufacturing company was selected, and prediction models for the stock price index of company H was presented. Thus two prediction models for forecasting the upturn and decline of H stock index is derived and presented. Among the two prediction models, the error value of the prediction model (1) is low, and so the prediction performance of the model (1) is relatively better than that of the prediction model (2). As the further research, if the contents of this study are supplemented by real artificial intelligent investment decision system and applied to real investment, more practical research results will be able to be developed.

• Journal of information and communication convergence engineering
• /
• v.6 no.3
• /
• pp.323-326
• /
• 2008

Data Envelopment Analysis (DEA) is a theoretically sound framework for performance analysis that offers many advantages over traditional methods such as performance ratios and regression analysis. Largely the result of multidisciplinary research during the last three decades in economics, engineering and management, DEA is best described as an effective new way of visualizing and analyzing performance data. Besides, overseas information technology companies have aggressively tried to enter the domestic market. In the age of globalization and high competition, it is imperative that the system integration (SI) companies need to introduce the performance evaluation models of SI projects, including Capability Maturity Model and Software Process Improvement and Capability Determination, to gain a competitive advantage. Therefore, it makes our research regarding evaluation of SI projects very opportune. The purpose of the study is not only to evaluate efficiency of each project by DEA but also to gain insight into various factors such as project complexity, team members' man-months structure, and process index(project management index) that link to the projects performance.

• Proceedings of the Korean Operations and Management Science Society Conference
• /
• 2008.10a
• /
• pp.76-94
• /
• 2008

This paper investigates performance of the Markowitz's portfolio selection model with applications to Korean stock market. We choose 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 remains the same with only 0.1% change, Samsung-Group-Funds shows 20.54% return, and Markowitz's model, which is composed of the same 17 Samsung group stocks, reaches 52% return. We perform sensitivity analysis on the duration of financial data and the period 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, outperforms investment by the fund manager who possesses rich experiences on stock trading and actively changes portfolio based on minute-by-minute market news and business information.

• Journal of the Korea Academia-Industrial cooperation Society
• /
• v.16 no.10
• /
• pp.6534-6542
• /
• 2015

This study examines the relation between mutual fund performance and fund flows in Korean market using weekly and monthly data. The results are as follows. First, the relation between the two variables varies across fund types. Even the relations in equity fund and index fund are different from each other. Second, the structural change in the mutual fund market affect significantly the relation between the two variables. Third, return chasing flow is observed constantly in bond fund and it is observed only after the structural change for equity fund and MMF. However, no return chasing flow is observed for index fund. Fourth, mutual fund flows affect subsequent fund returns only in MMF after the structural change.