• Proceedings of the Safety Management and Science Conference
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• 2005.11a
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• pp.537-557
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• 2005

The estimate on volatility of stock price is related with optimum of portfolio and Important for allocation of capital asset. If the volatility of stock price is varied according to macroeconomic variables on monetary policy and industrial production, it will assist capital asset to allocate. This paper is related with stock market volatilities on macroeconomic variables in U.S. and Europe, Korea. And, it Is pertain to vary in time of this variables. Thus, this paper is related with volatilities of monetary and physical macroeconomic variables on basis of statistics. And, it is ranged front capital investment to portfolio allocation. Also, this paper takes out of sample forecast and study more after this. In case Germany, France, Italy and the Netherlands, the relative importance of monetary policy and Industrial production Is different from these countries. In case Italy and the Netherlands, monetary policy is primary factor at stabilizing for volatility of stock price. In case Korea, increasing monetary policy and industrial production is positively affected stock market. It is that the positive effect of stock price is caused by mollifying monetary policy and economic growth. Specially, this conclusion is similar to US. In Korea, gradual increase in monetary and industrial production is necessary to stability of stock market. It is different to previous results on basis of increasing stock price of money in long period.

• The Korean Journal of Financial Management
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• v.13 no.1
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• pp.341-357
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• 1996

Some empirical studies have shown that asset prices respond to announcements of economic news, however, others also have found little evidence. This study assesses how market participants of the S&P 500 Index Futures reacted to the U.S. economic news announcements. For this purpose, using a GARCH (Generalized Autoregressive Conditional Heteroscedasticity) model, we use several U.S. news variables, its each surprise component and interest rates. We find that some economic news variables affected significantly on the S&P 500 Index Futures. In other words, we find that weekend variable, lagged volatility, and surprise component of trade deficit increased level of volatility. However, interest rate, M1, unemployment announcements caused the variance of the S&P 500 Index Futures to reduce, and each of the surprise component of M1 and trade deficit increased it. The result suggests that resolution of uncertainty, through economic news announcement, while, in some cases, causes market participants to reduce their forecast of volatility, a large difference between the market's forecast and the realization of the series causes the volatility to increase.

• The Journal of Asian Finance, Economics and Business
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• v.6 no.4
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• pp.45-52
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• 2019

The current study aims to investigate the relationship between tax avoidance and firm risk in an emerging market called Iran. The study population consists of 400 observations and 80 companies listed on the Tehran Stock Exchange (TSE) over a five-year period during 2012 and 2016. The statistical model used in this study is a multivariate regression model; besides, the statistical technique used to test the hypotheses proposed in this research is panel data. The results showed that low effective tax rate (tax avoidance) is more consistent than the higher effective tax rate. Moreover, there is no significant relationship between tax avoidance and future tax rate volatility. The findings also proved that lower effective tax rates are positively associated with future stock price volatility. This implies that since Iranian firms have many financial problems because of economic sanctions, they have a tendency to delay the disclosure of bad news about their firms. Needless to say, when a huge number of negative news reaches its peak, they immediately will enter the market and lead to a remarkable fluctuation in stock prices.

• The Korean Journal of Applied Statistics
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• v.30 no.3
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• pp.323-334
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• 2017

We note that the dynamics of realized volatilities (RVs) are near the boundary between stationarity and non-stationarity because RVs have persistent long-memory and are often subject to fairly large outlying values. To forecast realized volatility, we consider a new method that adaptively use models with and without unit root according to the abnormality of observed RV: heterogeneous autoregressive (HAR) model and the Integrated HAR (IHAR) model. The resulting method is called the IHAR-O-HAR method. In an out-of-sample forecast comparison for the realized volatility datasets of the 3 major indexes of the S&P 500, the NASDAQ, and the Nikkei 225, the new IHAR-O-HAR method is shown superior to the existing HAR and IHAR method.

• East Asian Journal of Business Economics (EAJBE)
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• v.3 no.4
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• pp.9-15
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• 2015

The exchange rate is a very important macro variable that has influence on the whole economy and has, therefore, been the topic of many discussions amongst policymakers, academics and other economic agents. The issue of whether to have a fixed, pegged or floating exchange rate regime was highly debated during the 1970s. The purpose of this paper is to investigate what factors determine the exchange rate in Somalia. Quantitative research methodology has been employed to develop regression model using time series data for the period of 12 years. The regression model has been developed based on Quantity theory of money, purchasing power parity and uncovered interest rate parity theory. Somalia is on the countries where the highest exchange rate volatility exists; for example in 2012, the rate jumped 29% percent and two weak later dropped 21%, when Turkish humanitarian aid agencies injected the market a lot of U.S dollar. Based on my study using regression model for time series data of 12 years, the four factors are mainly attributable for the exchange rate volatility of Somalia; these factors include the balance of payment, inflation rate, money supply (mostly come from remittance and NGOs) and Bank profits.

• KDI Journal of Economic Policy
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• v.33 no.2
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• pp.1-39
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• 2011

This study discusses the phenomenon behind various forms of macroeconomic volatility faced by countries in terms of industrial structure through empirical analysis, and in the process attempts to validate the role of the service industry. The analysis shows that economic fluctuations in Korea have been significantly improved, mainly due to the country risk. However, Korea is still exposed to the impact of external shocks, which is attributable to the manufacturing-centered industrial structure. Under such industrial structure, it is inevitable for the Korean economy to be continuously exposed to macroeconomic fluctuations caused by global sectoral shocks. So, in order to alleviate business fluctuations, it is necessary to enhance the role of non-tradable sectors that account for most of the service industry.

• Journal of Electrical Engineering and Technology
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• v.9 no.1
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• pp.60-70
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• 2014

This paper discusses the impacts of large scale grid-connected wind farm equipped with permanent magnet synchronous generator (PMSG) on power system small signal stability (SSS) incorporating wind generation uncertainty and volatility. Firstly, a practical simplified PMSG model with rotor-flux-oriented control strategy applied is derived. In modeling PMSG generator side converter, the generator-voltage-oriented control strategy is utilized to implement the decoupled control of active and reactive power output. In modeling PMSG grid side converter, the grid-voltage-oriented control strategy is applied to realize the control of DC link voltage and the reactive power regulation. Based on the Weibull distribution of wind speed, the Monte Carlo simulation technique based is carried out on the IEEE 16-generator-68-bus test system as benchmark to study the impacts of wind generation uncertainty and volatility on small signal stability. Finally, some preliminary conclusions and comments are given.

• Proceedings of the Korean Statistical Society Conference
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• 2005.05a
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• pp.277-283
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• 2005

In general, stock prices do not follow normal distributions and mean trend indexes, volatility indexes, and volume indicators relating to these non-normal stock price are widely used as buy-sell strategies. These general buy-sell strategies are rather intuitive than statistical reasoning. The non-normality problem can be solved by normalizing process and statistical buy-sell strategy can be obtained by using mean trend and volatility indexes together with normalized stock prices. In this paper, buy-sell strategy based on mean trend and volatility index with normalized stock prices are proposed and applied to KOSPI200 data to see the feasibility of the proposed buy-sell strategy.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.11
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• pp.251-257
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• 2020

The study investigates the role of commodity prices and tax purpose recognition on bitcoin prices. Since the introduction of bitcoin in 2008, emphasis has focused on economists, policy-makers and analysts drastically increasing bitcoin's accessibility and commodity values (Dumitrescu & Firică, 2014). This study employs GARCH and EGARCH from ARCH/GARCH family on daily nature data. We measure the volatile behavior of bitcoin by employing auto-regressive conditional heteroscedasticity model with the aim to explore the relationship between major commodities and bitcoin volatility. We focus on major commodities like gold, silver, platinum, and crude oil to be regressed with bitcoin. The daily prices of commodities were retrieved from www.investing.com and bitcoin prices from www.coindesk.com for the period from 29April 2013 to 16 October 2018. Results confirmed the currency's long-term volatile behavior, which is due to its composition and market dynamics, whereas the existence of asymmetric information effect is not confirmed. Tax recognition by other countries may in future help in controlling the volatility as bitcoin is not a country-specific security. But, only silver impacts on volatility in comparison to oil prices and platinum, which is due to its similar features with gold. Eventually, bitcoin can be used for risk diversification and money making.

• Journal of Korea Port Economic Association
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• v.26 no.4
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• pp.88-100
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• 2010

This paper investigates the influence of industrial activity volatility and exchange rate volatility on import container volume of the Korea during the 1999:1- 2010:9. Conditional variance from the GARCH(1, 1) model is applied as the volatility. The Johansen multivariate cointegration method and the error correction (general-to-specific) method are applied to study the relationship between import volume and its determinants. The empirical results show that volatility has statistically significant negative effect on import volume.