• The Journal of Asian Finance, Economics and Business
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• 제8권8호
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• pp.297-309
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• 2021

In this study, to capture the skewness and kurtosis detected in both conditional and unconditional return distributions of the stock markets of Kazakhstan and Russia, two versions of normal mixture GARCH models are employed. The data set consists of daily observations of the Kazakhstan and Russia stock prices, and world crude oil price, covering the period from 1 June 2006 through 1 March 2021. From the empirical results, incorporating the long memory effect on the returns not only provides better descriptions of dynamic behaviors of the stock market prices but also plays a significant role in improving a better understanding of the return dynamics. In addition, normal mixture models for time-varying volatility provide a better fit to the conditional densities than the usual GARCH specifications and has an important advantage that the conditional higher moments are time-varying. This implies that the volatility skews implied by normal mixture models are more likely to exhibit the features of risk and the direction of the information flow is regime-dependent. The findings of this study contain useful information for diverse purposes of cross-border stock market players such as asset allocation, portfolio management, risk management, and market regulations.

• Management Science and Financial Engineering
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• 제21권2호
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• pp.13-23
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• 2015

This study addresses the question as to whether the option prices have useful predictive information on the direction of stock markets by investigating a forecasting power of volatility curvatures and skewness premiums implicit in S&P 500 index option prices traded in Chicago Board Options Exchange. We begin by estimating implied volatility functions and risk neutral price densities every minute based on non-parametric method and then calculate volatility curvature and skewness premium using them. The rationale is that high volatility curvature or high skewness premium often leads to strong bullish sentiment among market participants. We found that the rate of return on the signal following trading strategy was significantly higher than that on the intraday buy-and-hold strategy, which indicates that the S&P500 index option prices have a strong forecasting power on the direction of stock index market. Another major finding is that the information contents of S&P 500 index option prices disappear within one minute, and so one minute-delayed signal following trading strategy would not lead to any excess return compared to a simple buy-and-hold strategy.

• 국제학술발표논문집
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• The 5th International Conference on Construction Engineering and Project Management
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• pp.602-607
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• 2013

Financial risks associated with capital investments are often measured with different feasibility indicators such as the net present value (NPV), the internal rate of return (IRR), the payback period (PBP), and the benefit-cost ratio (BCR). This paper aims at demonstrating practical applications of probabilistic feasibility analysis techniques for an integrated feasibility evaluation of the IRR and PBP. The IRR and PBP are concurrently analyzed in order to measure the profitability and liquidity, respectively, of a cash flow. The cash flow data of a real wind turbine project is used in the study. The presented approach consists of two phases. First, two newly reported analysis techniques are used to carry out a series of what-if analyses for the IRR and PBP. Second, the relationship between the IRR and PBP is identified using Monte Carlo simulation. The results demonstrate that the integrated feasibility evaluation of stochastic cash flows becomes a more viable option with the aide of newly developed probabilistic analysis techniques. It is also shown that the relationship between the IRR and PBP for the wind turbine project can be used as a predictive model for the actual IRR at the end of the service life based on the actual PBP of the project early in the service life.

• 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.

• The Journal of Asian Finance, Economics and Business
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• 제7권6호
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• pp.29-37
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• 2020

This research seeks to determine the influence of investment opportunity set (IOS); profitability (Return on Assets - ROA), liquidity, business risk and firm size on debt policy. We used 42 manufacturing companies registered on the Indonesian Stock Exchange (Bursa Efek Indonesia) as object research. We used purposive sampling method to determined samples, consider the period observation from 2012 to 2016, and produce 168 units analysis. Data analysis uses the multiple regressions with the SPSS tools. The results of the study found that companies' debt policies in Indonesia are negatively affected by the liquidity. Investment opportunity set (IOS) has negative effect on debt policy. Meanwhile, ROA, Return on Invested Capital (ROIC), and firm size of a company has no impact on debt policy. These findings indicate that Indonesian manufacture companies do not see the high investment opportunity set and profitability as a policy basis for increasing debt. Moreover, the high profitability also does not cause companies to increase their debt ratio. Our study indicates that Indonesian manufacture companies use internal funds to fund their investment. This finding is a concern for creditors, as they can now see the ability of the companies, and especially their performance, in determining their credit policies.

• Journal of Preventive Medicine and Public Health
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• 제52권4호
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• pp.234-241
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• 2019

Objectives: To identify simultaneous behavioral changes in alcohol consumption, smoking, and weight using a fixed-effect model and to characterize their associations with disease status. Methods: This study included 7 000 529 individuals who participated in the national biennial health-screening program every 2 years from 2009 to 2016 and were aged 40 or more. We reconstructed the data into an individual-level panel dataset with 4 waves. We used a fixed-effect model for smoking, heavy alcohol drinking, and overweight. The independent variables were sex, age, lifestyle factors, insurance contribution, employment status, and disease status. Results: Becoming a high-risk drinker and losing weight were associated with initiation or resumption of smoking. Initiation or resumption of smoking and weight gain were associated with non-high-risk drinkers becoming high-risk drinkers. Smoking cessation and becoming a high-risk drinker were associated with normal-weight participants becoming overweight. Participants with newly acquired diabetes mellitus, ischemic heart disease, stroke, and cancer tended to stop smoking, discontinue high-risk drinking, and return to a normal weight. Conclusions: These results obtained using a large-scale population-based database documented interactions among lifestyle factors over time.

• 응용통계연구
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• 제28권3호
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• pp.541-559
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• 2015

VaR는 금융위험을 측정하고 관리하기위한 중요한 도구로 현재 널리 사용되고 있다. 특히 금융자산 수익률의 변동성에 적합한 모형을 찾는 것은 VaR의 정확한 측정을 위해 중요한 과제이다. 본 연구에서는 한국의 코스피, 중국의 항셍, 일본의 니케이지수들로 구성된 포트폴리오의 VaR를 측정하기 위한 변동성모형으로 다양한 일변량모형들과 다변량모형들을 함께 고려하여 그 성과를 비교하였다. 사후검증을 통해 전체적으로 일변량모형들보다는 다변량모형들이 VaR의 측정에 더 적합한 것으로 보여 졌으며 특히 DCC와 ADCC모형이 더욱 우수한 것으로 나타났다.

• 한국항해항만학회지
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• 제41권2호
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• pp.71-78
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• 2017

This paper aims to investigate the time-varying systematic risk of the stocks of Korean logistics firms. For this purpose, the period from January 1991 to October 2016 was examined with respect to 21 logistics companies that are listed on the Korea Exchange. The systematic risk of the logistics stocks is measured in terms of the Capital Asset Pricing Model (CAPM) beta for which the sensitivity of a stock is compared to the return changes of the whole market. Overall, the betas of the stocks of the Korean logistics companies are significantly lower than those of the market unity; however, it was revealed that the logistics betas are not constant, but are actually time-varying according to different economic regimes, which is consistent with the previous empirical findings. This finding is robust across different measurements of the logistics betas. In addition, the impact of macroeconomic factors on the logistics betas was examined. The present study shows that the logistics betas are positively associated with foreign exchange-rate changes.

• 한국수자원학회논문집
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• 제38권12호
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• pp.1029-1037
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• 2005

본 연구는 도시 우수관망 설계 시 주어진 설계유량을 효율적이고 경제적인 단면 구성과 관망에 따른 우수배제 능력을 극대화시키기 위해 최적화 기법인 동적계획법(Dynamic Programming : DP)의 특수한 방법인 이산미분형 동적계획법(Discrete Differential Dynamic programming DDDP)를 이용해 최적화된 설계조건을 구할 수 있도록 하였다. 이산미분형 동적계획법의 기법은 설계유량과 맨홀의 위치가 결정되면 그에 따른 최적 우수시스템이 될 수 있는 관의 용량, 경사, 수위, 수심, 위험도, 회수비용 등을 결정할 수 있는 방법으로 이는 공사비용에 따를 최소비용을 목적함수로 위험도 분석을 통하여 최적화된 조건을 찾는 방법으로 모형개발을 하였다. 개발된 모형을 실제 단지계획의 합리식으로 설계된 우수관망 계획과 비교 검증하여 보다 경제적이고 효율적인 우수관망 시스템을 구축하는 모형을 제시하였다.

• 한국건설관리학회논문집
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• 제13권2호
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• pp.102-109
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• 2012

민간투자사업의 핵심 성공요인은 민간사업자와 정부 간의 적절한 위험 분담과 민간사업자가 부담하는 위험 대비 적절한 수익의 제공이다. 현재 국내 민간투자사업은 민간사업자가 대부분의 위험을 부담하는 수익형 민자사업(BTO)과 정부가 대부분의 위험을 부담하는 임대형 민자사업(BTL)로 구분되어 있을 뿐, 정부와 민간사업자가 위험을 다양한 형태로 분담하는 방식은 아직 도입되어 있지 않은 상태이다. 이 결과 도로, 항만 등 수익형 민간투자사업 방식으로 진행되는 사업에 대한 과다한 위험부담으로 인해 민간사업자의 수익형 민간투자사업에의 참여가 극도로 저조한 상황이다. 본 연구에서는 민간투자사업 위험 중 가장 큰 위험인 수요위험(demand risk)을 정부와 민간사업자가 분담하는 새로운 방식의 민간투자사업을 살펴보고자 한다. 보다 구체적으로 본 연구에서는 민간투자사업의 운영수입을 모두 정부에 귀속시킨 후 운영수입 수준에 따라 민간사업자에게 계단형으로 지급되는 방식을 살펴보고자 한다. 민간사업자가 부담하는 위험 대비 적절한 수준의 정부지급금을 실물옵션 모형 및 위험중립적(risk neutral) 방법론을 통해 산출하고, 산출된 구간별 정부지급금에 반영된 사업수익률을 추정하고자 한다. 본 연구에서 사용한 방법론 및 결과는 향후 국내에 다양한 방식의 민간투자사업이 도입되는데 도움을 줄 수 있을 뿐만 아니라, 민간이 제시하는 다양한 방식에 대한 평가 기준을 설정하는데 도움을 줄 수 있을 것으로 기대된다.