• The Transactions of the Korean Institute of Electrical Engineers A
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• v.53 no.9
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• pp.487-493
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• 2004

The electric power industry throughout the world is undergoing considerable changes from the vertically integrated utility structure to the deregulated market. However, the deregulated electricity market is operated with respect to theory of economical efficiency, and therefore, the system operator requires data with fast contingency ranking for security of the bulk power system. This paper compares the weather dependant probabilistic risk index(PRI) with the system performance index for power flow in the IEEE-RTS. The system performance index for power flow presents the power system stability. This paper presents fast calculation method for determining contingency ranking using the weather dependant probabilistic risk index(PRI). The probabilistic risk index can be classified into the case of normal and adverse weather. This paper proposes calculation method using the probabilistic risk index in determining contingency ranking required for security under the deregulated electricity market.

• The Journal of Information Systems
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• v.18 no.3
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• pp.351-373
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• 2009

An index fund is a collective investment scheme that aims to replicate the movements of an index of a specific financial market regardless of market conditions. An index fund is a popular investment alternative because it is much cheaper to run than an active fund and it performs better than actively managed funds. This paper illustrates the usefulness of wavelet analysis in constructing an index fund. The wavelet analysis can decompose the time series data in frequency domain as well as in time domain. The major findings of this paper are as follows. First, the beta coefficient that represents the systematic risk has the scale dependent property. This result can provide important information to the investors with various investment time frequency. Investors can use the betas corresponding to their investment frequencies among the various scale betas estimated by wavelet analysis. Second, we can find the usefulness of wavelet analysis in constructing index fund because the wavelet technique gives less tracking error(difference between the index performance and the index fund performance) than the traditional constructing techniques. The result of this study implies that the wavelet techniques can be an important analytic method to the other financial markets such as option market, futures market, bond markets and currency market.

• Journal of Navigation and Port Research
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• v.40 no.3
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• pp.139-146
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• 2016

Due to the continuous increasement of the container cargoes, each container port market has been growing as well. Moreover, the competition among container terminal operators located in the same port is also growing in order to attract more container cargoes. This paper looked into the market structures, market conducts and market performances of container ports in Busan and Shanghai. The index which has been most widely used to measure market structure, the Hirschman-Herfindahl Index (HHI), is computed by squaring each supplier's market share, then adding the squared shares. This paper estimated the market performance as profitability (PCM, ROA), growth (total TEU, rate of the increasement of TEU) and examined the effects of the HHI on the profitability and growth in a container terminal operators in Korea and China. The major findings of this study is that the market structure has effects on market performance in Busan port (total TEU) and Shanghai port (PCM, ROA and total TEU). As a result of analysing this study, market structure has an effect on market performance in Busan and Shanghai port, but the power of influence can be changed by market concentration index and various market conduct of companies.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.11
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• pp.117-126
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• 2020

This paper is aimed to explore the co-movement capital market in Southeast Asia and analysis the correlation of conventional and Islamic Index in the regional and global equity. This research become necessary to represent the risk on the capital market and measure market performance, as investor considers the volatility before investing. The time series daily data use from April 2012 to April 2020 both conventional and Islamic stock index in Malaysia and Indonesia. This paper examines the dynamics of conditional volatilities and correlations between those markets by using Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MGARCH). Our result shows that conventional or composite index in Malaysia less volatile than Islamic, but on the other hand, both drive correlation movement. The other output captures that Islamic Index in Indonesian capital market more gradual volatilities than the Composite Index that tends to be low in risk so that investors intend to keep the shares. Generally, the result shows a correlation in each country for conventional and the Islamic index. However, Internationally Indonesia and Malaysia composite and Islamic is low correlated. Regionally Indonesia's indices movement looks to be more correlated and it's similar to Malaysian Capital Market counterparts. In the global market distress condition, the diversification portfolio between Indonesia and Malaysia does not give many benefits.

• Korean Management Science Review
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• v.30 no.1
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• pp.73-89
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• 2013

This paper develops an investment algorithm based on Markowitz's Portfolio Selection Theory, using historical stock return data, and empirically evaluates the performance of the proposed algorithm in the U.S. and the Hong Kong stock markets. The proposed investment algorithm is empirically tested with the 30 constituents of Dow Jones Industrial Average in the U.S. stock market, and the 30 constituents of Hang Seng Index in the Hong Kong stock market. During the 6-year investment period, starting on the first trading day of 2006 and ending on the last trading day of 2011, growth rates of 12.63% and 23.25% were observed for Dow Jones Industrial Average and Hang Seng Index, respectively, while the proposed investment algorithm achieved substantially higher cumulative returns of 35.7% in the U.S. stock market, and 150.62% in the Hong Kong stock market. When compared in terms of Sharpe ratio, Dow Jones Industrial Average and Hang Seng Index achieved 0.075 and 0.155 each, while the proposed investment algorithm showed superior performance, achieving 0.363 and 1.074 in the U.S. and Hong Kong stock markets, respectively. Further, performance in the U.S. stock market is shown to be less sensitive to an investor's risk preference, while aggressive performance goals are shown to achieve relatively higher performance in the Hong Kong stock market. In conclusion, this paper empirically demonstrates that an investment based on a mathematical model using objective historical stock return data for constructing optimal portfolios achieves outstanding performance, in terms of both cumulative returns and Sharpe ratios.

• Korean Management Science Review
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• v.26 no.2
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• pp.19-35
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• 2009

This paper investigated performance of the Markowitz's portfolio selection model with applications to Korean stock market. We chose Samsung-Group-Funds and KOSPI index for performance comparison with the Markowitz's portfolio selection model. For the most recent one and a half year period between March 2007 and September 2008, KOSPI index almost remained the same with only 0.1% change, Samsung-Group-Funds showed 20.54% return, and Markowitz's model, which is composed of the same 17 Samsung group stocks, achieved 52% return. We performed sensitivity analysis on the duration of financial data and the frequency of portfolio change in order to maximize the return of portfolio. In conclusion, according to our empirical research results with Samsung-Group-Funds, investment by Markowitz's model, which periodically changes portfolio by using nonlinear programming with only financial data, outperformed investment by the fund managers who possess rich experiences on stock trading and actively change portfolio by the minute-by-minute market news and business information.

• Korean Management Science Review
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• v.30 no.1
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• pp.167-181
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• 2013

We investigate the dynamic asset allocation problem under inflation risk when the wealth of an investor is constrained with minimum requirements. To capture the investor's risk preference, the CRRA utility function is considered and he maximizes his expected utility at predetermined date of the refund by participation in the financial market. The financial market is supposed to consist of three kinds of financial instruments which are a risk free asset, a risky asset, and an index bond. The role of an index bond is managing inflation risk represented by price process. The optimal wealth and the optimal asset allocation are derived explicitly by using the method to get the European call option pricing formula. From the numerical results, it is confirmed that the investments on index bond is high when the investor's wealth level is low. However, as his wealth increases, the investments on index bond decreases and he invests on risky asset more. Furthermore, the minimum wealth constraint induces lower investment on risky asset but the effect of the constraints is reduced as the wealth level increases.

• Proceedings of the KIEE Conference
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• 2003.11a
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• pp.134-136
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• 2003

The deregulated electricity market is operated with respect to theory of economical efficiency, and therefore, the system operator requires data with fast contingency ranking for security of the bulk power system. This paper compares the weather dependant probabilistic risk index(PRI) with the system performance index for power flow in the IEEE-RBTS. also, the system performance index for power flow presents the power system stability. The probabilistic risk index can be classified into normal weather and adverse weather. This paper proposes calculation method using the probabilistic risk index in determining contingency ranking requiring for security under the deregulated electricity market.

• Survey Research
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• v.7 no.1
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• pp.55-84
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• 2006

This study has classified development stages (Embryonic-Growth-Maturity) of mobile telecommunication industry based on Industry Life Cycle theory. There are two steps to be analyzed in this study, In the first step, cluster was investigated through cluster analysis using mobile density to categorize development stages of mobile telecommunication industry. In the second step, we compared on indexes of market structure, market efficiency and market performance to find out characteristics of each stage of development. The results are as follows. First, HHI is higher at embryonic stage than at growth and maturity stages, Second, ARPU(Average Revenue Per User) and RPM(Revenue Per Minute) are getting higher as the stages move on. Third, EBITDA margins, an index of market performance, is decreasing along the three stages. Finally, this study presents a clue to define the stage of development of mobile telecommunication industry and build a proper strategy for the market change.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.8
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• pp.185-195
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• 2020

This study examines the association between governance quality at country level and stock market performance. Specifically, the study investigates the influence of control of corruption, government effectiveness, political stability and absence of violence, rule of law, regulatory quality, and voice and accountability on all-share index of the stock markets of the six Gulf Cooperation Council (GCC) countries. This study is anchored on two theories - the Efficient Market Hypothesis (EMH) and Institutional Theory. The study employs panel data spanning from 2006 to 2017. The findings show that political stability and absence of violence and rule of law exhibit a significant positive impact on stock market performance, while regulatory quality and voice and accountability have a significant, but negative relationship with stock market performance. The results imply that quality of governance in terms of rule of law and political stability devoid of violence have strong impact on stock market returns. Similarly, improved stock market returns are largely dependent on the efficiency of the institutional environment of market as investors are always wary of the inherent risks associated with the uncertainty of the market. This study has crucial policy implications for the government of the GCC countries and stock market participants.