• The Journal of Industrial Distribution & Business
• /
• v.10 no.1
• /
• pp.29-37
• /
• 2019

Purpose - We study the dynamic linkages of the economic policy uncertainty (EPU) in the US on the manufacturing stock market returns in Korea. In detail, we examine the casual link between EPU index in the US and the manufacturing stock indexes in Korea. Research design, data, and methodology - We measure mainly the distribution effect of the US EPU on the manufacturing stock market in Korea of 1990-2017 by the vector error correction model (VECM). Result - In result, we estimate the impact of the US EPU index has significantly a negative response to the manufacturing stock market in Korea such as non-metal stock index, chemical stock index, food stock index, textile·clothes stock index, automobile·shipbuilding stock index, machinery stock index, steel·metal stock index. Also the remaining variables such as electric·electronics stock index, S&P 500, and producer price index in Korea have a negative relationship with US EPU index. Conclusions - We find out that the relationship between EPU index of the US and the manufacturing stock market in Korea has the negative relationships. We determine the EPU of the US has the spillover effect on the industry stock markets in Korea.

• International Journal of Quality Innovation
• /
• v.1 no.1
• /
• pp.106-120
• /
• 2000

The purpose of this research is to understand the effects of Quality Management Award on stock prices movement and to examine the comparative advantages of quality award system in Korea and the U.S. This study compares the performances of QM Award companies in the stock market with those of the market index in both countries. We develop Korean Quality Award Index(KQA Index) based on the Baldrige Index of NIST in the U.S. We inspect three studies. Study 1 tests if the performances of MB Award winners and S&P500 index have a difference in the stock market. Study 2 tests if the performances of KQA winners and KOSPI(Korean Composite Stock Price Index) have a difference in the stock market. Study 3 tests if the performances of KQA winners and MB Award winners have a difference in the stock market. From the empirical tests, the performances of KQA winners are superior to those of KOSPI and the performances of MB Award winners are superior to those of S&P500 and the performances of MB Award winners are superior to those of KQA winners.

• The Journal of Asian Finance, Economics and Business
• /
• v.8 no.1
• /
• pp.1-6
• /
• 2021

This research examines the stock market index determinants and the prediction using the FFT curve fitting of the Jakarta Stock Exchange (JKSE) Composite Index during the COVID-19 pandemic. This paper has used daily data of Jakarta Stock Exchange (JKSE) Composite Index, interest rate, and exchange rate from 15 October 2019 to 15 September 2020, and a total of 224 observations, retrieved from Indonesia Stock Exchange (IDX), Indonesia Statistics Central Bureau and Observation & Research of Taxation. The study covers descriptive statistics, multicollinearity test, hypothesis tests, determination test, and prediction using FFT curve fitting. The results unveil four fresh and robust evidence. Partially, the interest rate has affected positively and significantly the stock market index. Partially, the exchange rate has affected negatively and significantly the stock market index. The F-test result, interest rate, and exchange rate have significantly affected the stock market index (JKSE) simultaneously. Furthermore, the FFT curve fitting has predicted that the stock market fluctuates and increases over time. The results have shown a strong influence of the independent variables and the dependent variable. The value of Adjusted R-Square is 0.719, which means that the independent variables have simultaneously impacted the dependent variable for 71.9%; other factors have influenced the remaining 28.1%.

• Journal of the Korean Data Analysis Society
• /
• v.20 no.6
• /
• pp.2759-2769
• /
• 2018

The behavioral finance view on the existence of asset pricing anomalies is based on two factors: investors' sentiment and limits to arbitrage. This paper tries to examine the effect of investors' sentiment on the stock price in the Korean stock market. In order to measure investors' sentiment, we constructed the sentiment index using principal component of five sentiment variables. By using sentiment index as an additional independent variable to three risk factors, impacts of the sentiment index on individual stocks and 25 portfolios sorted by BM-size are examined. Main results found are as follows: 1) not only all three risk factors show positive impacts on the return of individual stock, but also the sentiment index has a positive impact. SI alone explains 15% of individual return variation. 2) among four independent variables, the most important factor turned out to be the market risk factor and investors' sentiment has better explanatory power on stock price than the size effect. 3) after controlling the market risk factor, the coefficient of the sentiment index for the smallest size and highest book/market value portfolios is significantly positive. 4) all the coefficients of the sentiment index for 25 portfolios sorted by BM-size have significant positive value after controlling size or (and) value.

• The Journal of Asian Finance, Economics and Business
• /
• v.7 no.8
• /
• pp.143-150
• /
• 2020

This study aims to investigate the effect of oil price and exchange rate on the two Vietnamese stock market indices: VN index and HXN index. This study uses the daily data from August 1^st 2000 to October 25^th 2019 of the two Vietnamese stock indices: VN index and HNX index, the two oil price indices: BRENT and WTI, and the two exchange rates: US dollar to Vietnamese dong and Euro to Vietnamese dong. Due to the presence of heteroskedasticity in our data, we use GARCH (1,1) regression model to perform our analysis. Our findings show that the oil price has a significant positive effect on the two Vietnamese stock market indices. In terms of the stock index volatility, both the VN index and HNX index volatilities are negatively impacted by the return of oil price. While the conclusion about the impact of oil price remained consistent through all three robustness tests, the effect of exchange rate on Vietnamese stock market indices is not consistent. We find thatchanges of the USD/VND exchange rate significantly impact the return and volatility of HNX index only in GARCH (1,1) setting. Our analysis also survives a number of robustness tests.

• Management & Information Systems Review
• /
• v.32 no.4
• /
• pp.189-207
• /
• 2013

Using high-frequency data for 2 years, this study investigates intraday lead-lag relationship between stock index and stock index futures markets in Korea and China. We found that there are some differences in price discovery and volatility transmission between Korea and China after the stock index futures markets was introduced. Following Stoll-Whaley(1990) and Chan(1992), the multiple regression is estimated to examine the lead-lag patterns between the two markets by Newey-West's(1987) heteroskedasticity and autocorrelation consistent covariance matrix(HAC matrix). Empirical results of KOSPI 200 shows that the futures market leads the cash market and weak evidence that the cash market leads the futures market. New market information disseminates in the futures market before the stock market with index arbitrageurs then stepping in quickly to bring the cost-of-carry relation back into alignment. The regression tests for the conditional volatility which is estimated using EGARCH model do not show that there is a clear pattern of the futures market leading the stock market in terms of the volatility even though controlling nonsynchronous trading effects. This implies that information in price innovations that originate in the futures market is transmitted to the volatility of the cash market. Empirical results of CSI 300 shows that the cash market is found to play a more dominant role in the price discovery process after the Chinese index started a sharp decline immediately after the stock index futures were introduced. The new stock index futures markets does not function well in its price discovery performance at its infancy stage, apparently due to high barriers to entry into this emerging futures markets. Based on EGAECH model, the results uncover strong bi-directional dependence in the intraday volatility of both markets.

• Asian Journal of Business Environment
• /
• v.11 no.4
• /
• pp.17-29
• /
• 2021

Purpose: The aim of this study is to explore the dynamic linkage between conditional stock market volatility and macroeconomic uncertainty of Bangladesh. Research design, data, and methodology: This study uses monthly data covering the time period from January 2005 to December 2018. A comprehensive set of macroeconomic variables, namely industrial production index (IP), consumer price index (CPI), broad money supply (M2), 91-day treasury bill rate (TB), treasury bond yield (GB), exchange rate (EX), inflow of foreign remittance (RT) and stock market index of DSEX are used for analysis. Symmetric and asymmetric univariate GARCH family of models and multivariate VAR model, along with block exogeneity and impulse response functions, are implemented on conditional volatility series to discover the possible interactions and causal relations between macroeconomic forces and stock return. Results: The analysis of the study exhibits time-varying volatility and volatility persistence in all the variables of interest. Moreover, the asymmetric effect is found significant in the stock return and most of the growth series of macroeconomic fundamentals. Results from the multivariate VAR model indicate that only short-term interest rate significantly influence the stock market volatility, while conditional stock return volatility is significant in explaining the volatility of industrial production, inflation, and treasury bill rate. Conclusion: The findings suggest an increasing interdependence between the money market and equity market as well as the macroeconomic fundamentals of Bangladesh.

• Journal of Information Technology Applications and Management
• /
• v.17 no.3
• /
• pp.151-162
• /
• 2010

Recent developments in financial market liberalization and information technology are accelerating the interdependence of national stock markets. This study explores the information spillover effect of the US stock market on the overnight and daytime returns of the Korean stock market. We develop a profitable intra-day trading strategy based on the information spillover effect. Our study provides several important conclusions. First, an information spillover effect still exists from the overnight US stock market to the current Korean stock market. Second, Korean investors overreact to both good and bad news overnight from the US. Therefore, there are significant price reversals in the KOSPI 200 index futures prices from market open to market close. Third, the overreaction effect is different between weekdays and weekends. Finally, the suggested intra-day trading system based on the documented overreaction hypothesis is profitable.

• The Journal of Asian Finance, Economics and Business
• /
• v.8 no.5
• /
• pp.913-921
• /
• 2021

The objective of the study is to investigate the impact of the COVID-19 pandemic on Saudi Arabia stock market. The study relied on the data of the daily closing stock market price index Tadawul All Share Index (TASI), and the number of daily cases infected with COVID-19 during the period from March 15, 2020, to August 10, 2020. The study employs the Vector Auto-Regressive (VAR) model, the Impulse Response Function (IRF) and Autoregressive Conditional Heteroscedasticity (ARCH) models. The results of the correlation matrix and the Impulse Response Function (IRF) show that stock market returns responded negatively to the growth in COVID-19 infected cases during the pandemic. The results of ARCH model confirmed the negative impact of COVID-19 pandemic on KSA stock market returns. The results also showed that the negative market reaction was strong during the early days of the COVID-19 pandemic. The study concluded that stock market in KSA responded quickly to the COVID-19 pandemic; the response varies over time according to the stage of the pandemic. However, the Saudi government's response time and size of the stimulus package have played an important role in alleviating the impacts of the COVID-19 pandemic on Saudi Arabia Stock Market.

• The Journal of Bigdata
• /
• v.3 no.1
• /
• pp.13-20
• /
• 2018

Stock market prediction has been long dream for researchers as well as the public. Forecasting ever-changing stock market, though, proved a Herculean task. This study proposes a novel stock market sentiment lexicon acquisition system that can predict the growth (or decline) of stock market index, based on economic news. For this purpose, we have collected 3-year's economic news from January 2015 to December 2017 and adopted Word2Vec model to consider the context of words. To evaluate the result, we performed sentiment analysis to collected news data with the automated constructed lexicon and compared with closings of the KOSPI (Korea Composite Stock Price Index), the South Korean stock market index based on economic news.