주식수익률과 주식수익률 변동성 예측에 있어서 거래량 정보는 유용한가

정재엽 啓明大學校 産業經營硏究所 2002 經營經濟 Vol.35 No.1

This paper tests for the information effect of trading volume on the stock returns and stock returns volatility. Using GARCH model, estimation of the volatility in daily KOSPI returns and in daily trading volume changes is performed from September 1987 to December 2001. Then, whether stock returns and stock returns volatility is related with trading volume changes and trading volume changes volatility in the previous day, the relation between them is analyzed. The results of this paper are summarized as follows. First, trading volume changes and trading volume changes volatility are insignificantly related with subsequent stock returns. Second, although the relation between trading volume changes and subsequent stock returns volatility is insignificant, the relation between trading volume changes volatility and subsequent stock returns volatility is significant. These results show that the information on trading volume is useful in forecasting stock returns volatility.

저가주와 고가주가 수익률에 미치는 영향

정재엽 啓明大學校 産業經營硏究所 1997 經營經濟 Vol.30 No.2

SUMMARY This study tries to examine that the excess return of low-priced stocks shows the systematic difference from one of high-priced stocks. Sample periods are 24 months from January 1994 to December 1995. Using randomly-selected 120 stocks listed on the Korea Stock Exchange, the empirical results here show that the excess return of low-priced-stocks portfolio or high-priced-stocks portfolio is not statistically and economically significant. It is also shown that the average excess return of low-priced-stocks portfolio. And, it is confirmed that the cumulative excess returns of these portfolios do not show the systematic pattern of change. These empirical results do not stand together with the general belief that low-priced stocks have higher excess returns that high-priced stocks. The empirical evidences here may back the argument that it is not proper to deny the weak form efficiency of Korean stock market. This study tries to examine that the excess return of low-priced stocks shows the systematic difference from one of high-priced stocks. Sample periods are 24 months from January 1994 to December 1995. Using randomly-selected 120 stocks listed on the Korea Stock Exchange, the empirical results here show that the excess return of low-priced-stocks portfolio or high-priced-stocks portfolio is not statistically and economically significant. It is also shown that the average excess return of low-priced-stocks portfolio is not significantly higher than one of high-priced-stocks portfolio. And, it is confirmed that the cumulative excess returns of these portfolios do not show the systematic pattern of change. These empirical results do not stand together with the general belief that low-priced stocks have higher excess returns than high-priced stocks. The empirical evidences here may back the argument that it is not proper to deny the weak form efficiency of Korean stock market.

주식수익률 조건부 이분산성의 행태에 관한 연구

정재엽 계명대학교 산업경영연구소 2000 經營經濟 Vol.33 No.1

This paper analyze the behavior of conditional heteroscedasticity in stock returns to find seasonal patterns in volatility. Using GARCH-m and EGARCH model, estimation of the conditional heteroscedastlcity in daily excess returns of KOSPI is performed from April 1989 to March 1999. Then conditional heteroscedasticity differences between months are examined by ANOVA and multiple comparison analysis. Empirical results here show that there are statistically significant conditional heteroscedasticity differences between months. Especially, the highest conditional heteroscedasticity months are December and January. These results indicate the existence of seasonality in stock returns volatility.

기업규모와 변동성

정재엽 계명대학교 산업경영연구소 2001 經營經濟 Vol.34 No.1

This paper analyze the behavior of conditional heteroscedasticity in stock returns to find the firm size effect in volatility. Using EGARCH-M model, estimation of the conditional heteroscedasticity in monthly excess returns of size-indexes if performed from January 1980 to December 1999. then conditional heteroscedasticity difference between size-indexes is examined. Empirical results do not show statistically significant volatility difference between size-indexes. These results here cast suspicion on the existence of the firm size effect in stock returns volatility.

APM에 관한 實證的 硏究

鄭載燁 啓明大學校 産業經營硏究所 1991 經營經濟 Vol.24 No.1

Abstract Title High-performance RuO₂/CNT paper electrode as cathode for anion exchange membrane water electrolyzer

Jae-Yeop Jeong,Song Jin,Chiho Kim,Sungjun Heo,Shin-woo Myeong,Ho-seok Lee,Jae-hun Lee,Nam-in Kim,Jun Young park,Jooyoung Lee,Sung Mook Choi 한국표면공학회 2023 한국표면공학회 학술발표회 초록집 Vol.2023 No.11-1

S2MSim: Cycle-Accurate and High-Performance Simulator Based on Multi-Threading for Space Multi-Core Processor

Jae-Yeop Jeong,이철훈 한국항공우주학회 2023 International Journal of Aeronautical and Space Sc Vol.24 No.5

A processor simulator is an essential tool for developing, testing, and verifying flight software in the space domain; this tool should be capable of correctly simulating a space-grade processor with high performance and cycle-accuracy. Existing space simulators typically use single-thread-based interpretation methods to satisfy these requirements. Since these methods involve sequential core execution by a single thread, which degrades the overall performance and cycle-accuracy, they are unsuitable for multi-core processor simulations. In this study, we propose a cycle-accurate and high-performance multi-core processor simulator based on multi-threading called the Scalable Processor Architecture multi-core multi-threading simulator (S2MSim) which accurately models the working of the GR740 quad-core processor through three schemes. First, we assigned each GR740 core to a host thread to improve the performance and dynamically allocated a simulator manager to these specific host threads to minimize the overhead induced by thread communications. Second, we analyzed the inter-core interference effects and reflected the results required for each core to achieve a high cycle-accuracy. Finally, we used a fine-grained lock to provide the simulated cores with simultaneous access to shared resources and spin-lock to thread synchronization. The experimental results showed that on an average, the S2MSim could run 3.09 and 4.18 times faster than TSIM3-LEON4 and laysim-gr740, respectively. We achieved a high cycle-accuracy within a ± 3% error margin compared to that shown by the GR740 development board from Cobham Gaisler AB.

주가지수 옵션시장과 주식시장의 동태적 관련성

정재엽(Jeong, Jae Yeop) 계명대학교 산학연구소 2006 經營經濟 Vol.39 No.1

코스닥시장은 유가증권시장 보다 큰 변동성을 갖는가?

정재엽(Jeong, Jae Yeop) 계명대학교 산학연구소 2007 經營經濟 Vol.40 No.2

The object of this paper is to examine the difference of the volatility between the Stock market and the KOSDAQ market and to analyze the dynamic relations to the volatility between them. EGARCH(1, 1) model is used to estimate the volatility based on daily excess returns of KOSPI and KOSDAQ index from July 1996 to June 2006. Empirical results show that there is no statistically significant difference of the volatility between the Sock market and the KOSDAQ market, and that there is a sharp and significant increase in the volatility after 1997 foreign exchange crisis. The results of VAR approach show that there is the evidence that the volatility of the Stock market causes that of the KOSDAQ market.

주식형 펀드와 주가의 인과관계

정재엽(Jeong, Jae-Yeop) 계명대학교 산학연구소 2007 經營經濟 Vol.40 No.1

This paper tests for the causality in the relation between equity funds’ flow and stock price index. After the test for the presence of cointegration between level variables the dynamic relation is estimated by Error correction model from January 2004 to December 2006. The empirical results are summarized as follows. First, current stock price index is insignificantly related with lagged equity funds’ flow. Second, current equity funds’ flow is significantly related with lagged stock price index. These results indicate that equity funds’ flow doesn’t function in forecasting stock price.