• The Journal of Asian Finance, Economics and Business
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• v.4 no.2
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• pp.19-23
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• 2017

It is undisputable that crude oil and its price fluctuations are major components that affect most of the countries' economies. Recent studies have demonstrated that beside the impact that crude oil price fluctuations have on common macroeconomic indicators like gross domestic product (GDP), inflation rates, exchange rates, unemployment rate, etc., it also has a strong influence on stock markets and their performance. This relationship has been examined in a number of settings, but it is yet to be unraveled in the Omani context. Accordingly, the main purpose of this study is to examine the possible effect of the oil price fluctuations on stock price movements. The study applies Toda and Yamamoto's (1995) Granger non-causality test on the daily Oman stock index (Muscat Securities Market Index) and oil prices between the period of 2 January 2003 and 13 March 2016. The results indicated that the oil price fluctuations have a significant impact on stock index movements. However, the stock price movements do not have a significant impact on oil prices. These findings have significant implications not only for the Omani economy but also for the economy of similar countries, particularly in the Gulf Cooperation Council (GCC) countries. The latter should carefully consider their policies and strategies regarding crude oil production and the generated income allocation as it might potentially affect the financial markets performance in these countries.

• The Journal of Industrial Distribution & Business
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• v.4 no.2
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• pp.13-19
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• 2013

Purpose - The paper tested the relationship between the stock markets of the Middle East and the USA with the oil price and US dollar index as threshold variables. Research design, data, and methodology - The stock price indices of the USA, the Middle East (Abu Dhabi, Jordan), WTI spot crude oil price, and US dollar index were daily returns in the research period from May 21, 2001 to August 9, 2012. Following Hansen (1999), the panel threshold regression model was used. Results - With the US dollar index as the threshold variable, a negative relationship existed between the stock price indices of Jordan and the USA but no significant result was found between the stock price indices of Abu Dhabi and the USA. Conclusions - The USA is an economic power today:even if it has a closer relationship with the US stock market, the dynamic US economy can learn about subsequent developments and plan in advance. Conversely, if it has an estranged relationship with the US stock market, thinking in a different direction and different investment strategies will achieve good results.

• Journal of Distribution Science
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• v.15 no.12
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• pp.41-51
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• 2017

Purpose - This study proposes the impact of the US and Korean economic policy uncertainty on macroeconomy, and its effect on Korea. The economic policy uncertainty index of the US and Korea is used to represent the economic policy uncertainty on Korean economy. Research design, data, and methodology - In this paper, we collect the eight variables to find out the interrelationship among the US and Korean economic policy uncertainty index of the US and macroeconomic indicators during 1990 to 2016, and use Vector Error Correction Model. Result - The distribution industry stock index in Korea is influenced by the economic policy uncertainty index of the US rather than of Korea. All variables are related negatively to the economic policy uncertainty index of the US and Korea from Vector Error Correction Model. This study shows that the economic policy uncertainty index of the US and Korea has the dynamic relationships on the Korean economy. Conclusions - A higher economic policy uncertainty shows a greater economy recession of a country. Finally, the economic policy uncertainty of the Korea has an intensive impact on Korea economy. Particularly, the economic policy uncertainty of the US has a strong impact on distribution industry stock market in Korea.

• East Asian Journal of Business Economics (EAJBE)
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• v.8 no.1
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• pp.57-69
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• 2020

Purpose - This study examines what are the asset market fluctuations in Europe and how each economic variable affects major variables, and explore the dynamics of housing and stock market through Greece. The variables under consideration are balance on current account (BCA), index of stock (STOCK), gross domestic product (GDP), housing price indices (HOUSING), M3, real rate of interest (IR_REAL) and household credits (LOAN). We investigate the functional and causal relationships between housing and stock market. Research design, data, and methodology - Vector error correction model (VECM) is used to figure out the dynamic relationships among variables. This study also contains the augmented Dickey-Fuller unit root, cointegration, Granger causality test, and impulse response function and variance decomposition analysis by EViews 11.0. Results - The statistical tests show that all variables under consideration have one unit root and there is a longterm equilibrium relationship among variables for Greece. GDP, IR_REAL, M3, STOCK and LOAN can be considered as causal factors to affect real estate market, while GDP, LOAN, M3, BCA and HOUSING can bring direct effects to stock market in Greece. Conclusions - It can be judged that the policy that affects the lending policy of financial institutions may be more effective than the indirect variable such as monetary interest rate.

• Journal of Distribution Science
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• v.14 no.1
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• pp.93-102
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• 2016

Purpose - The purpose of paper is studying the static and dynamic side for long-term memory storage properties, and increase the explanatory power regarding the long-term memory process by looking at the long-term storage attributes, Korea Composite Stock Price Index. The reason for the use of GPH statistic is to derive the modified statistic Korea's stock market, and to research a process of long-term memory. Research design, data, and methodology - Level shifts were subjected to be an empirical analysis by applying the GPH method. It has been modified by taking into account the daily log return of the Korea Composite Stock Price Index a. The Data, used for the stock market to analyze whether deciding the action by the long-term memory process, yield daily stock price index of the Korea Composite Stock Price Index and the rate of return a log. The studies were proceeded with long-term memory and long-term semiparametric method in deriving the long-term memory estimators. Chapter 2 examines the leading research, and Chapter 3 describes the long-term memory processes and estimation methods. GPH statistics induced modifications of statistics and discussed Whittle statistic. Chapter 4 used Korea Composite Stock Price Index to estimate the long-term memory process parameters. Chapter 6 presents the conclusions and implications. Results - If the price of the time series is generated by the abnormal process, it may be located in long-term memory by a time series. However, test results by price fixed GPH method is not followed by long-term memory process or fractional differential process. In the case of the time-series level shift, the present test method for a long-term memory processes has a considerable amount of bias, and there exists a structural change in the stock distribution market. This structural change has implications in level shift. Stratum level shift assays are not considered as shifted strata. They exist distinctly in the stock secondary market as bias, and are presented in the test statistic of non-long-term memory process. It also generates an error as a long-term memory that could lead to false results. Conclusions - Changes in long-term memory characteristics associated with level shift present the following two suggestions. One, if any impact outside is flowed for a long period of time, we can know that the long-term memory processes have characteristic of the average return gradually. When the investor makes an investment, the same reasoning applies to him in the light of the characteristics of the long-term memory. It is suggested that when investors make decisions on investment, it is necessary to consider the characters of the long-term storage in reference with causing investors to increase the uncertainty and potential. The other one is the thing which must be considered variously according to time-series. The research for price-earnings ratio and investment risk should be composed of the long-term memory characters, and it would have more predictability.

• East Asian Economic Review
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• v.21 no.2
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• pp.147-165
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• 2017

This study quantifies the dynamic interrelationship between the KOSPI index return and search query data derived from the Naver DataLab. The empirical estimation using a bivariate GARCH model reveals that negative contemporaneous correlations between the stock return and the search frequency prevail during the sample period. Meanwhile, the search frequency has a negative association with the one-week- ahead stock return but not vice versa. In addition to identifying dynamic correlations, the paper also aims to serve as a test bed in which the existence of profitable trading strategies based on big data is explored. Specifically, the strategy interpreting the heightened investor attention as a negative signal for future returns appears to have been superior to the benchmark strategy in terms of the expected utility over wealth. This paper also demonstrates that the big data-based option trading strategy might be able to beat the market under certain conditions. These results highlight the possibility of big data as a potential source-which has been left largely untapped-for establishing profitable trading strategies as well as developing insights on stock market dynamics.

• Journal of Korea Multimedia Society
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• v.24 no.3
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• pp.448-459
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• 2021

In this paper, we propose a method of predicting the next-day stock price fluctuations of 10 KOSDAQ-listed companies in 5G, autonomous driving, and electricity sectors by training SVM, XGBoost, and LightGBM models from macroeconomic·financial market indicators, technical indicators, social interest indicators, and daily positive indices extracted from online news. In the three experiments to find out the usefulness of social interest indicators and daily positive indices, the average accuracy improved when each indicator and index was added to the models. In addition, when feature selection was performed to analyze the superiority of the extracted features, the average importance ranking of the social interest indicator and daily positive index was 5.45 and 1.08, respectively, it showed higher importance than the macroeconomic financial market indicators and technical indicators. With the results of these experiments, we confirmed the effectiveness of the social interest indicators as alternative data and the daily positive index for predicting stock price fluctuation.

• Journal of Korea Trade
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• v.23 no.7
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• pp.147-155
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• 2019

Purpose - As the U.S.-China trade war has become considerably worse, the Chinese government is considering applying non-tariff barriers to trade, especially local contents rule. The main purpose of this research is to check whether it is suitable for Korean investors to invest in the current Chinese capital market. Design/methodology - In order to check the stability of the recent Chinese capital market, we investigated the behavior of foreign equity investment (including Korean equity investment) in the Chinese capital market after China announced the Shanghai-Hong Kong Stock Connect (SH-HK Connect). In this paper, we researched whether international portfolio investment would or would not contribute to an increase the volatility of an emerging market's stock market (Chinese capital market) when foreign investors make investment decisions based on the objective of short-term gains by rushing into countries whose markets are booming and fleeing from countries whose markets are falling. Findings - The empirical results indicate that foreign investors show strong, negative feedback trading behavior with regard to the stock index of the Shanghai Stock Exchange (SSE), and when the performance of foreign investors in the Chinese stock market was fairly good. Also, we found evidence that the behavior of foreign investors significantly decreased volatility in SSE stock returns. Consequently, the SH-HK Connect brought on a win-win effect for both the Chinese capital market and foreign investors. Originality/value - It appeared that the Chinese capital market was very suitable for Korean investors after the China's declaration of the SH-HK Connect. However, the win-win effect was brought on by the Chinese government's aggressive capital control but the capital controls could possibly cause financial turmoil in the Chinese capital market. Therefore, Chinese reform in industrial structure and the financial sector should keep pace with suitable capital control policies.

• Culinary science and hospitality research
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• v.22 no.3
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• pp.212-223
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• 2016

The purpose of this study is to verify information spillover effects using returns of macroeconomic variables and hotel leisure stock index daily data from January 4, 2000 to December 30, 2015. The findings and implications of the research can be summarized as follows. First, based on time-varying AR(1)-GARCH(1,1) models no evidence of statistically significant conditional mean and volatility spillover effects from returns of macroeconomic variables on the hotel leisure stock index was observed. In addition, no evidence of price volatility spillover from macroeconomic variables on the hotel leisure market was observed. Second, it was discovered that there exists a significantly negative relationship between the return of ER and hotel leisure stock prices, but a positive relationship between the KOSPI and hotel leisure stock prices. Finally, the study also found that was a significantly positive relationship between the volatility of DUB and hotel leisure market, and an adversely negative relationship between the volatility of ER and hotel leisure market. The results of this study are expected to contribute by providing useful information for investment strategies, as well as for risk management for investors and managers.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.3
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• pp.1113-1119
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• 2021

This study aims to determine the impact of the news coverage of the COVID-19 pandemic on the composite stocks' movement (IHSG) in Indonesia. This study used secondary data of daily time series with an observation range of March 2020-June 2020. This study used three main variables, namely, COVID-19 news, the daily price of a composite stock market index (IHSG), and interest rate. This study clarifies pandemic news into two forms to facilitate quantitative analysis, namely, good news and bad news. Both pandemic news conditions, which have been clarified, are then processed into the index and reprocessed along with two other variables using vector autoregressive (VAR). The results showed that the good news have a dominant effect on developing the composite stock price index (IHSG) in Indonesia during the COVID-19 pandemic. Although the good news dominates the composite stock price index (IHSG) movement in Indonesia, the bad news must also be anticipated. By implementing a series of macroeconomic policies that follow the conditions of the composite stock price index (IHSG) movements on the stock exchange floor, the bad news response can decrease the potential for a decline in investor confidence, so that the financial system's macroeconomic stability is maintained.