• The Journal of Asian Finance, Economics and Business
• /
• v.7 no.9
• /
• pp.39-49
• /
• 2020

This study empirically examines herd behavior for fast moving consumer goods (FMCG) sector stocks under varied market return conditions and the period during the global financial crisis and its aftermath. We examine the sample of stocks trading on the Nifty FMCG Index of the Indian equity market from January 2008 up to December 2018 using the dispersion measure of cross sectional absolute deviation and examine its relationship with the market return to explore herd phenomenon. Quantile regression estimate is used and the results of the study validate rational asset pricing models as the sector does not display herding. In contrast, anti-herd behavior at lower and median quantile values is observed. A possible reason can be the non-cyclical nature of the industry where investors rely more on the fundamentals rather than crowd chasing. We also findthe absence of herd phenomenon during the market asymmetries of bull and bear phases, extreme movements, the period of the global financial crisis, and afterward. We further examine herding under the impact of the information technology (IT) industry and conclude that significant return movements in IT sector impact dispersions in the FMCG industry. Also, there is a co-varying risk between the two sectors confirming the spillover in an integrated market.

• The Journal of Asian Finance, Economics and Business
• /
• v.7 no.7
• /
• pp.95-104
• /
• 2020

This study examines the effect of fintech on retail banks stock return listed in Indonesia Stock Exchange for the period of 2016-2018 as today's new technology lead to the emergence of fintech companies playing the same role as retail banks in the financial industry. This study is conducted quantitatively using monthly data from January 2016 to October 2018 and uses fintech as independent variable, proxied by fintech funding frequency and fintech funding value. Data transformation is conducted due to data volatility. The data of fintech funding, both frequency and value, is transformed into standardized fintech funding and growth of fintech funding. The data is obtained from Crunchbase, while the data of stock returns is obtained from Investing. This study further analyzes the data using Fama French Three-Factor Model and panel data regression. We found that fintech has no significant effect on retail banks' stock returns listed in Indonesia Stock Exchange for the period of 2016-2018. The findings of the study provide some useful insights in understanding fintech companies' current position to retail banks in Indonesia. This study also suggests banking institutions, fintech companies, policy-makers, and others to take advantageous steps in building inclusive financial sectors.

• Journal of the Korean Society for Marine Environment & Energy
• /
• v.7 no.1
• /
• pp.47-55
• /
• 2004

In this paper, The statistical properties of ocean waves in the sea area of Hong-do, Korea are examined based on 1998-2002's wave data from a directional wave buoy. Wave data aquisition rate, mean wave heights, frequency of wave direction are summarized. Wave height and period scatter diagrams and n-year return period wave heights are estimated. Wave periods of maximum wave heights are also estimated. Large amplitude wave characteristics during the typhoon Prapiroon in 2000, Rusa in 2002 are also examined.

• The Journal of Asian Finance, Economics and Business
• /
• v.8 no.3
• /
• pp.39-47
• /
• 2021

This research aims to confirm if the COVID-19 pandemic has had an impact on existing sectors, and how that affects the Indonesian Stock Exchange (IDX) market returns. The research method used is an event study employing market models in nine sectors of the Exchange with purposive sampling technique, and supported by Ordinary Least Square (OLS) regression. Based on the calculation of abnormal returns in the period of 30 days before up to 30 days after, the financial property, real estate, and construction sector results show a decreased abnormal return value. The infrastructure, utilities, and transportation sectors also show an abnormal return value that tends to be constant, while the abnormal return value increases in other sectors. Judging from the cumulative value of abnormal returns, the most affected sector is financials, followed by the trade, service, and investment sectors. The consumer goods and mining industry sectors are still optimistic, while other sectors show temporary negative sentiment. Overall, the stocks on the Indonesia Stock Exchange (IDX) were affected by the COVID-19 pandemic with a cumulative negative value of the average abnormal return sample. The results using OLS regression also strengthen the relationships between the COVID-19 pandemic, and negative and significant market returns.

• The Journal of Asian Finance, Economics and Business
• /
• v.8 no.2
• /
• pp.57-64
• /
• 2021

This research attempts to formulate a new mean-risk model to replace the Markowitz mean-variance model by altering the risk measurement using ARCH variance instead of the original variance. In building the portfolio, samples used are closing prices of Indonesia Composite Stock Index and Indonesia Composite Bonds Index from 2013 to 2018. This study is a qualitative study using secondary data from the Indonesia Stock Exchange and Indonesia Bonds Pricing Agency. This research found that Markowitz's model is still superior when utilized in daily data, while the mean-ARCH model is appropriate with wider gap data like monthly observation. The Historical return has also proven to be more appropriate as a benchmark in selecting an optimal portfolio rather than a risk-free rate in an inefficient market. Therefore Mean-ARCH is more appropriate when utilized under data that have a wider gap between the period. The research findings show that the portfolio combination produced is inefficient due to the market inefficiency indicated by the meager return of the stock, while bears notable standard deviation. Therefore, the researcher of this study proposed to replace the risk-free rate as a benchmark with the historical return. The Historical return proved to be more realistic than the risk-free rate in inefficient market conditions.

• Safety and Health at Work
• /
• v.13 no.3
• /
• pp.286-293
• /
• 2022

Background: The death rate of workers due to industrial accidents in South Korea (3.61 persons in 2017) is higher than the Organization for Economic Cooperation and Development average (2.43) and the fifth highest among Organization for Economic Cooperation and Development member countries. Although the pandemic of novel coronavirus (COVID-19) has changed, the socioeconomic aspects of Korean society, the number of Koreans suffering accidents and the number of deaths in 2020 have increased. It is necessary to take measures to prevent accidents and make comprehensive efforts to return to work. This study proposes research questions about the effect of workers' positive perception on whether to work after accidents and the impact of the experience of rehabilitation services on the return to work. Methods: This research performed a panel logistic regression analysis using data on workers' compensation insurance in Korea for two years (2018-2019). Results: This research finds that workers' positive perceptions of workability and life satisfaction contributed affirmatively to their re-employment. Several factors related to employment (e.g., work period, the number of job qualifications) also positively affect their return to work. However, the experience of rehabilitation services did not have a significant effect on re-employment. The variables of their health conditions (e.g., disability grade, feelings of health problems, age) negatively influenced their return to jobs. Conclusion: These results suggest the importance of workers' mental recovery and the need to innovate rehabilitation services for their employment. Positive thinking and self-rehabilitation could be critical for workers, parallel with social welfare policies.

• Journal of Korea Water Resources Association
• /
• v.33 no.3
• /
• pp.307-314
• /
• 2000

This study is to investigate the recurrence characteristics of wet and dry years using over 200 year records of annual rainfall depth including Chosun Age in Korea. As well as analyzing the correlation structure of the raw data, recurrence trends of wet and dry year has been investigated based on several truncation levels (mean, $mean{\pm}0.25stdv.,\;mean{\pm}O.5stdv.,\;mean{\pm}O.75stdv.,\;mean{\pm}stdv.$). Also the transition probability among wet, dry and normal years has been derived for the same truncation levels. and finally the average return periods based on the steady-state probabilities were obtained. This analysis has been applied to not only the entire data but also partial data set of before- and after-the long dry period around 1900 in order to compare and detect the possible difference between the Chukwooki (an old raingauge invented in Chosun age) and the modem flip-bucket style. As a result, Similar pattern of dry and wet year recurrence has been found, but the return period of extremely dry years after the dry period shown longer than that before the dry period. Assuming that the dry and wet years can be defined as $mean{\pm}$ standard deviations, respectively, the return period of the wet years is shown to be about 5~6 years and that of the dry years about 6~7 years.

• Steel and Composite Structures
• /
• v.18 no.1
• /
• pp.121-134
• /
• 2015

This paper is to investigate the potentials of the elastic seismic design of twisted high-rise steel diagrid frame buildings in the strong wind and moderate/low seismicity regions. First, the prototypes of high-rise steel diagrid frames with architectural plans that have a twist angle of 0 (regular-shaped), 1, and 2 degrees were designed to resist wind. Then, the effects of the twist angle on the estimated quantities and structural redundancies of the diagrid frames were examined. Second, the seismic performance of the wind-designed prototype buildings under a low seismicity was evaluated. The response spectrum analysis was conducted for the service level earthquake (SLE) having 43-year return period and the maximum considered earthquake (MCE) having 2475-year return period. The evaluation resulted that the twisted high-rise steel diagrid frames resisted the service level earthquake elastically and most of their diagrid members remained elastic even under the maximum considered earthquake.

• Journal of Distribution Science
• /
• v.13 no.9
• /
• pp.5-11
• /
• 2015

Purpose - The purpose of this research is to provide insights that can be used for deliberate decision making around challenging big data investments by measuring the economic value of such big data implementations. Research design, data, and methodology - We perform empirical research through an event study. To this end, we measure actual abnormal returns of companies that are triggered by their investment announcements in big data, or firm size information, during the three-year research period. The research period targets a timeframe after the introduction of big data at Korean firms listed on the Korea stock markets. Results - Our empirical findings discover that on the event day and the day after, the abnormal returns are significantly positive. In addition, our further examination of firm size impacts on the abnormal returns does not show any evidence of an effect. Conclusions - Our research suggests that an event study can be useful as an alternative means to measure the return on investment (ROI) for big data in order to lessen the difficulties or decision making around big data investments.

• Earthquakes and Structures
• /
• v.15 no.1
• /
• pp.9-17
• /
• 2018

This paper provides recommendations for setting performance requirements for the seismic design of building structures in Hong Kong. Fundamental issues relating to the required level of structural safety will be addressed, which is then followed with a recommended seismic action model for structural design purposes in Hong Kong. The choice of suitable performance criteria of structures and the return period of the design seismic actions are first discussed. The development of the seismic hazard model for Hong Kong is then reviewed. The determination of the design response spectrum and the choice of design parameters for structures of different importance classes will also be presented.