• The Korean Journal of Financial Management
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• v.21 no.2
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• pp.125-151
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• 2004

This study tests the price discovery from US Treasury bond markets to Korean bond markets using the daily returns of Korean bond data (CD, 3-year T-note, 5-year T-note, 5-year corporate note) and US treasury bond markets (3-month T-bill, 5-year T-note 10-year T-bond) from July 1, 1998 to December 31, 2003. For further research, we divide full data into two sub-samples on the basis of the start-up of bond valuation system in Korean bond market July 1, 2000, employing uni-variate AR(1)-GARCH(1,1)-M model. The main results are as follows. First the volatility spillover effects from US Treasury bond markets (3-month T-bill, 5-year T-note, 10-year T-bond) to Korean Treasury and Corporate bond markets (CD, 3-year T-note, 5-year T-note, 5-year corporate note) are significantly found at 1% confidence level. Second, the price discovery function from US bond markets to Korean bond markets in the sub-data of the pre-bond valuation system exists much stronger and more persistent than those of the post-bond valuation system. In particular, the role of 10-year T-bond compared with 3-month T-bill and 5-year T-note is outstanding. We imply these findings result from the international capital market integration which is accelerated by the broad opening of Korean capital market after 1997 Korean currency crisis and the development of telecommunication skill. In addition, these results are meaningful for bond investors who are in charge of capital asset pricing valuation, risk management, and international portfolio management.

• International Commerce and Information Review
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• v.13 no.3
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• pp.77-95
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• 2011

This paper investigates the relationship between export and economic variables such as trade insurance, world economy activity, relative price, unemployment rate, exchange rate volatility, using monthly data. I employ Johansen cointegration methodology since the model must be stationary to avoid the spurious results. The results indicate that there is a long-run relationship between export and variables. Also, the empirical analysis of cointegrating vector using the CCR, DOLS, FMOLS reveals that the increases of trade insurance has positive relations and the increases of exchange rate volatility have negative relations with export. Especially, DOLS based on Monte Carlo simulations, of this estimator being superior in small samples compared to a number of alternative estimators, as well as being able not only to accommodate higher orders of integration but also to account for possible simultaneity within regressors of a potential system. This paper also applies impulse-response functions to get the additional information regarding the responses of the export to the shocks of the variables. The result indicates that export positively to trade insurance and then decay fast compare with exchange rate volatility. Consequently, trade insurance plays the role of trade policy for export promotion in Korea. Whereas, increase of exchange risk result in reduction of export. Therefore, the support of trade insurance should be expanded and the stabilization of the foreign exchange market must be done for the export promotion.

• Journal of Digital Convergence
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• v.15 no.2
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• pp.135-144
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• 2017

This study is to identify the growth rate and volatility of logistics related firms in the stock market. To do this, we used monthly data for 197 years from June 2000 to October 2016 by selecting KOSPI and Transport & Storage(T&S), KOSDAQ, Transportation(TRANS) index. The purpose of this study is to compare the T&S and TRANS stock index returns with the KOSPI and KOSDAQ index. And we are to judge whether the development potential of the logistics industry and the value of the investment of related companies in the future is high. For this purpose, we will analyze the basic statistics, correlation and growth rate of each index, and compare T&S and TRANS with market returns. Analysis result, for the past 197 months logistics related T&S and TRANS have been higher than market returns. The correlation was highly related to TRANS and T & S in KOSPI, but it was not related to KOSDAQ. TRANS represents high risk and high return, while KOSDAQ represents high risk and low return market. TRANS is considered to be an efficient investment. We expect the future development of logistics related industries and T & S and TRANS to show a high rate of increase compared to the market returns.

• The Journal of Society for e-Business Studies
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• v.26 no.3
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• pp.33-53
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• 2021

In the crossroads of social change caused by the spread of the Fourth Industrial Revolution and the prolonged COVID-19, the Korean government announced the Digital New Deal policy on July 14, 2020. The Digital New Deal policy's primary goal is to create new businesses by accelerating digital transformation in the public sector and industries around data, networks, and artificial intelligence technologies. However, in a rapidly changing social environment, information asymmetry of the future benefits of technology can cause differences in the public's ability to analyze the direction and effectiveness of policies, resulting in uncertainty about the practical effects of policies. On the other hand, the media leads the formation of discourse through communicators' role to disseminate government policies to the public and provides knowledge about specific issues through the news. In other words, as the media coverage of a particular policy increases, the issue concentration increases, which also affects public decision-making. Therefore, the purpose of this study is to verify the dynamic relationship between the media coverage and the stock market on the Korean government's digital New Deal policy using Granger causality, impulse response functions, and variance decomposition analysis. To this end, the daily stock turnover ratio, daily price-earnings ratio, and EWMA volatility of digital technology-based companies related to the digital new deal policy among KOSDAQ listed companies were set as variables. As a result, keyword search volume, daily stock turnover ratio, EWMA volatility have a bi-directional Granger causal relationship with media coverage. And an increase in media coverage has a high impact on keyword search volume on digital new deal policies. Also, the impulse response analysis on media coverage showed a sharp drop in EWMA volatility. The influence gradually increased over time and played a role in mitigating stock market volatility. Based on this study's findings, the amount of media coverage of digital new deals policy has a significant dynamic relationship with the stock market.

• Journal of the Korea Convergence Society
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• v.10 no.12
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• pp.215-221
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• 2019

The development of blockchain-based art trading platforms has not been revitalized despite the recent recovery of the cryptocurrency market. In this paper, we found that blockchain-based art trading platform is not revitalized due to the large volatility of cryptocurrency price. As a solution, we propose a trading system using dual types of cryptocurrency that one is Stablecoin and the other is legacy cryptocurrency. Through cryptocurrency dualization, the proposed system can satisfy both user's requirements of stability of art price and value growth of the blockchain system. In addition, the proposed system is expected to be able to balance the use of dual cryptocurrencies and market capitalization ratios according to market principles. Finally, the proposed cryptocurrency dualization is expected to be used in other applications that require both the stability of the value of transactions and the growth of the value of the blockchain system.

• Journal of the Korea Society for Simulation
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• v.28 no.3
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• pp.49-56
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• 2019

In this paper, we deal with two pricing of bond options using the relationship between the forward rate model and the Libor rate model. First, we derive a formula for obtaining discounted bond prices using the restrictive condition of the Ritchken and Sankarasubramanian (RS), and then use the volatility function relationship of the forward rate and the Libor rate models to find the analytic solution (AS) of bond options pricing. Second, the price of the bond options is calculated by simulating several scenarios from the presented condition using Monte Carlo Simulation (MCS). Comparing the results of the implementation of the above two pricing methods, the relative error (RE) is obtained, which means the ratio of AS and MCS. From the results, we can confirm that the RE is around 3.9%, which means that the price of the bond options can be predicted very accurately using the MCS as well as AS.

• KDI Journal of Economic Policy
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• v.31 no.2
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• pp.235-266
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• 2009

This paper investigates changes in the extent of exchange rate pass-through to export price in Korea. First, empirical results show that export prices have become less responsive to the exchange rate since the financial crisis in 1997. The decline of exchange rate pass-through to export prices suggests that Korean exporters are more likely to use profit margins to absorb part of the impact of exchange rate changes, consistent with pricing to market phenomenon. Second, this paper finds asymmetries in the response of export prices to exchange rate changes. In the post-crisis period. appreciations are more likely to be offset by markup adjustment than depreciations. Third, this paper documents that a significant portion of the decline of exchange rate pass-through is a result of both increased volatility of exchange rate and increased competition with China in the world market.

• Journal of Digital Convergence
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• v.17 no.10
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• pp.169-176
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• 2019

Recently, the Korean economy is congested with Japan's economic retaliation, the US-China trade war, the Bank of Korea's 0.25% base rate cut and Korea's economic growth forecast revision. The purpose of this study is to analyze the KOSPI, CPI, Treasury bonds(3 years) Interest rate & sales performance of all industries, and examine the impact of each index on the KOSPI. The analysis period is from January 2003 to June 2019, and the effect of each index on the KOSPI is analyzed. In numerical analysis, we performed correlation coefficients and regression analysis. In the model analysis, the distribution, quadrant, scatter, box-plot and impulse response were examined. This study examined the volatility and dynamic characteristics of each index. As a result, the KOSPI showed a high correlation with sales and Treasury bonds, but showed a very low correlation with the CPI. The KOSPI will continue to be affected by sales and interest rates.

• Journal of Digital Convergence
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• v.13 no.11
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• pp.45-55
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• 2015

This study used for KOSPI, KOSDAQ, entertainment culture and digital contents index that is related to cultural contents industry. There was investigated the each stock price index and return trends for a total 597 weeks to July 2015 from March 2004. They looked the content-related stocks about investment worth to comparative analysis the return, volatility, correlation, synchronization phenomena etc. of each stock index. When we saw the growth potential of the cultural contents industry forward, looked forward to the investment possibility of related stocks. Analysis Result cultural content related stocks showed a higher rate after the last 2008 global financial crisis. Recent as high interest in the cultural contents industry, we could see that the investment merit increases slowly. In the future, the cultural content industry is expected to continue to evolve. The increase of investments value in the cultural content related businesses is much expectation.

• Journal of the Economic Geographical Society of Korea
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• v.19 no.2
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• pp.343-359
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• 2016

The coffee price from the farm-gate level has been quite unstable in recent years because of the expansion of coffee cultivation, and the volatility of coffee price in the world market. The preference toward consumer's sustainable coffee has influenced on the coffee purchase by the world major coffee companies. With this background, Vietnam began to follow the trend of sustainable coffee cultivation by the major coffee export companies which cooperate with some certification authorities. However, a proposed program called 'Sustainable Coffee Program' in 2012 was initiated as public-private cooperation. This study attempts to examine how the program was initiated, and which organizations were involved in practice level, and what the program have achieved for sustainability. Finally, non-participant group was also considered on how they have been influenced from the existence of the 'sustainable coffee program' in direct and indirect manners.