• 자원ㆍ환경경제연구
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• 제22권4호
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• pp.759-784
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• 2013

배출권거래제에서는 할당된 배출권과 상쇄배출권을 의무준수에 이용할 수 있으며, 가격차이가 존재하면서 대체가능한 상품의 존재는 의무준수에 수반되는 총 비용을 줄일 수 있는 기회이면서 차익거래의 기회로 작용한다. 본 연구는 EU ETS의 Phase 2 전 기간을 대상으로 할당 배출권인 EUA와 상쇄배출권인 sCER 간의 가격 영향 요인을 각각 살펴보고, 두 유닛간의 차격차이를 의미하는 스프레드의 발생원인 및 결정 요인을 AR-GARCH 모형을 사용해 분석하였다. 분석결과 EUA와 sCER은 EU ETS를 중심으로 공통적인 가격 영향 요인과 상이한 가격 영향요인이 존재하는 것으로 나타났다. EUA와 sCER은 석탄가격(-), 금융위기(-)와 같은 에너지와 경제변수, 제도 운영변수에 대해서는 공통적인 영향을 받지만, 전력가격, CER 사용제한과 같은 정책변수, EUA와 ERU간의 가격차 등에 대해서는 서로 다른 영향을 받는 것으로 분석되었다. 에너지가격이 상승할 경우 탄소배출권 가격의 스프레드가 넓어지는 경향을 나타내었고, 특히 석유 가격과 전력 가격의 변동은 탄소배출권 가격의 변동 폭을 크게 하는 것으로 분석되었다. 한편, EUA와 ERU의 가격 차이가 커질수록 스프레드가 넓어지는 현상을 나타냈는데, 이러한 결과는 EU ETS의 운영상 특징으로 인해 EUA와 ERU의 가격차이가 sCER의 가격과 음(-)의 관계를 갖는 것으로 판단된다. 본 연구는 EU ETS의 Phase 2를 전 기간을 대상으로 탄소배출권 가격 스프레드의 변동 원인을 실증 분석하여, 2012년도에 EUA와 sCER의 스프레드가 급속히 증가하는 원인을 설명했다는 의의를 갖는다. 아울러 이러한 원인들이 대부분 정책적인 변화라는 측면에서 향후 우리나라에서 도입예정인 ETS에 대해서도 에너지 가격 등의 구조적인 요인들과 함께 정책적인 측면도 가격 변동의 주요 원인이 될 수 있다는 점을 간접적으로 설명하였다.

• Management Science and Financial Engineering
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• 제18권2호
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• pp.1-4
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• 2012

We study optimal trading strategy of a market maker with stock inventory. Following Avellaneda and Stoikov (2008), we assume the stock price follows a normal distribution. However, we take a constant expected rate of the stock return and assume that the stock volatility is an inverse function of the stock price level. We show that the optimal bid-ask spread of the market maker is wider for a higher expected rate of stock returns.

• 동아시아식생활학회지
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• 제25권4호
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• pp.607-615
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• 2015

Our final goal was to manufacture low-calorie healthy seafood spreads using high pressure processing. Prior to developing the spread products, we performed a nationwide survey of consumers aged in their teens and twenties (n=585). The questionnaire was designed to gain insights from consumers on spread products, including Importance-Performance Analysis (IPA), recipes, market prospects, etc. Consumers responded that 'price, calorie, fat content, sanitary, nutrition, and food additive' should be improved, in that order. They also thought that fruits and vegetables are highly acceptable in recipes of seafood spreads. In addition, consumers pointed that we should concentrate on 'taste, sanitary, flavor, nutrition, and price' to make spreads more successful. Regarding market prospects, consumers rated spreads with scores over 2.96/5.00, which means the market for seafood spreads is sufficient. The consumers' response provided guidelines for developing and manufacturing low-calorie healthy seafood spreads.

• 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).

• Management Science and Financial Engineering
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• 제20권1호
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• pp.11-16
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• 2014

Extending from Grossman and Stiglitz (1980), we provide an asset pricing model of a synchronously traded cross-listed pair under information asymmetry. Following Garbade and Silber (1983), the model further embraces multi-market price discovery in a dynamic framework. The implications are as follows: The price sensitivity of holdings is higher for informed traders than for uninformed traders; the largest cross-border price spread occurs in the absence of arbitrageurs; price discovery is more likely in markets with a larger population of informed traders; and parity convergence accelerates with a higher price elasticity of demand of arbitrageurs.

• 한국건축시공학회:학술대회논문집
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• 한국건축시공학회 2016년도 춘계 학술논문 발표대회
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• pp.257-258
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• 2016

Construction of Multi-Family Housing(MFH) was rapidly spread in the 1990s, it has been mostly passed more than 20 years and it is faced to aging time. Remodeling has emerged a major issue in the construction industry as an alternative of improvement and recovery the initial performance of the deteriorated MFH. But, Many decision-makers are struggling to determine whether to conduct a remodeling because of profitability. In this context, this research was conducted as the following steps to achieve this research goal, i) remodeled MFH cases and comparative cases were collected, ii) the price information based on three time frames (i.e., before remodeling, after remodeling, and present) was collected, and iii) the relative price variation of the remodeled cases was analyzed and finally it is revealed that there are four patterns of price variation.

• The Journal of Asian Finance, Economics and Business
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• 제7권12호
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• pp.605-613
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• 2020

In unfrictionless markets, one measure of asset pricing is its height of friction. This study develops a three-factor model by loosening the assumptions about stocks without friction, without risk, and perfectly liquid. Friction is used as an indicator of transaction costs to be included in the model as a variable that will reduce individual profits. This approach is used to estimate return, beta and other variable for firms listed on the Indonesian Stock Exchange (IDX). To test the efficacy of friction-adjusted three-factor model, we use intraday data from July 2016 to October 2018. The sample includes all listed firms; intraday data chosen purposively from regular market are sorted by capitalization, which represents each tick size from the biggest to smallest. We run 3,065,835 intraday data of asking price, bid price, and trading price to get proportional quoted half-spread and proportional effective half-spread. We find evidence of adjusted friction on the three-factor model. High/low trading friction will cause a significant/insignificant return difference before and after adjustment. The difference in average beta that reflects market risk is able to explain the existence of trading friction, while the difference between SMB and HML in all observation periods cannot explain returns and the existence of trading friction.

• ETRI Journal
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• 제10권1호
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• pp.39-52
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• 1988

통신서비스의 확산을 예측하기 위한 확산모형을 제시하였다. Bass모형을 기본으로 하여 가격과 소득을 고려한 확장된 확산모형을 제시하였고, 이 모형을 이용하여 우리나라 전화의 확산에 대한 실증분석을 하였다.

• 정보처리학회논문지D
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• 제14D권4호
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• pp.395-406
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• 2007

과도한 가격할인은 기존의 이론과는 달리 하프플라자가 시도한 선착순 경매의 형태로 소비자에게 제공될 때는 가치를 높게 지각하게 하고, 위험을 덜 지각하게 하는 결과를 보였다. 이렇듯이 과도한 가격할인이 다양한 마케팅 형태로 제공될 때는 소비자가 비합리적 의사결정을 내릴 가능성이 높기 때문에 정책적으로 보호하는 방침이 세워져야 한다.

• 신재생에너지
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• 제17권2호
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• pp.1-8
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• 2021

We estimated the price range of electricity transactions under the prosumer system, considering the spread of renewable energy and the prospect of introducing a surplus power trading system between power consumers in Korea. The range (min/max) of power transaction prices was estimated by prosumers and consumers who could purchase electricity from utilities if needed. It is assumed that utilities purchased electricity from prosumers and consumers under a Time-of-Use (TOU) rate, trading at a monthly price. The range of available transaction prices according to the amount of power purchased from utilities and the amount of transaction power was also estimated. The price range that can be traded is expected to vary depending on variables such as the TOU rate, purchased and surplus power, levelized cost of electricity, etc.