CONTROL OF THE INTEREST RATE RISK IN A BOND PORTFOLIO AND GOAL PROGRAMMING

Sang Hoon Kim 사람과세계경영학회 1998 Global Business and Finance Review Vol.3 No.1

The interest rate risk of a bond investment is divided into the price and reinvestment risks. It has shown that reduction of one risk can be achieved only by increasing the other risk by the same amount. Therefore, control of the interest rate risk should be dealt with constructing a bond portfolio with a desirable combination of the two risks depending on expectation on future interest rates and also subject to various investment goals and constraints. This paper provides a prototype goal programming model which can be extended to control the interest rate risk of a broad range of financial assets.

Determinants of Stock Market Performance: VAR and VECM Designs in Korea and Japan

Ana Belen Tulcanaza Prieto,Younghwan Lee 사람과세계경영학회 2019 Global Business and Finance Review Vol.24 No.4

We examine commodities and macroeconomic factors of the Korean’ and Japanese’ stock market performance during the period of 1993-2017. Using both Kospi and Nikkei 225 as proxy for stock market performance, we designed a Vector Error Correction Model (VECM) which integrates the econometric model in the short- and long-run. We found that the Korean and Japanese stock market reflects both macroeconomic variables and commodity prices on stock price indices. Our results reveal that each stock market index, GDP growth, inflation rate, interest rate, exchange rate, crude oil WTI price, and gold price perform a cointegration in the long-term, suggesting that Kospi and Nikkei 225 are corrected in -19.6% and -39.6% in each quarter, respectively. In addition, GDP growth, interest rate, exchange rate, oil price, and gold price affect the Kospi short-run performance, while GDP growth, interest rate, and gold price affect Nikkei 225 in the short-term. Using impulse-response function and the variance decomposition, we identified that the most significant impulse on each stock market index is its own shock, and its magnitude declines from the short- to the long-run. Our results are mostly consistent with the experience of other countries, especially Turkey and India, meaning the stock market index has been particularly affected by its own past prices. Our paper complements the literature of corporate finance by comparing the determinants of stock market performance of two Asian countries, including different robustness tests to explain the effect on Kospi and Nikkei 225 of each independent variable. For future research, the authors suggest to include a dummy variable for structural changes to increase the power of the model.

Antecedents of Store Management Strategies and Visual Merchandising on the In-Store Engagement of Consumer Good Buyers: An Empirical Study

Pham Hung Cuong 사람과세계경영학회 2019 Global Business and Finance Review Vol.24 No.4

Visual merchandising is a presentation of merchandise as well as the store in order to attract the customer. In addition, it is an eye-catching technique by which the seller can appeal to more customers and convey the message to the customer what the store represents and offers to its potential customers. Currently, retailers are using various merchandising techniques to differentiate themselves from other competitors and to achieve market dominance by attracting the customers more effectively. Thus, the main purpose of this study is to analyze the antecedents of store management strategies and visual merchandising techniques on the in-store engagement of consumer goods buyers. The study was conducted to test how visual merchandising and exterior factors impact the store image and customer buying behavior. It is found that window display, fixture, color, and lightning are significantly associated with consumer buying behavior. Hence, in order to survive in a highly competitive market, it is important for retailers to use creative designs to efficiently present their stores to customers. The sample size of 1200 respondents was collected through primary and secondary data sources and was analyzed to achieve the aims of the study.

Effectiveness of Aid Modalities on Government Financing: with Reference to Tanzania

한송희,오진환 사람과세계경영학회 2019 Global Business and Finance Review Vol.24 No.4

This study empirically tests the effectiveness of two main aid modalities, conventional project-type aid and modern program-type aid, on a country’s economic growth and its budget expenditures. With respect to growth, neither type of aid showed a significant positive effect. In terms of fiscal response, however, both modalities indeed appeared to increase public expenditures in partner countries. This study specifically examines the case of Tanzania, among the countries where program-based approach (PBA) is most active. Tanzanian data support the abovementioned empirical findings; the country’s PBA, a specifically results-based approach (RBA) as an advanced version of PBA, is indeed positively related to government expenditures.

Impact of Facebook Usage on Firm’s Performances among Malaysian Chinese Retailers

Sulaiman Sajilan,Shehnaz Tehseen,Eiad Yafi,Xiong Ting 사람과세계경영학회 2019 Global Business and Finance Review Vol.24 No.4

Social media including Facebook has been acknowledged to play a vital role in firms achieving superior performance. Malaysia is a multicultural country in which the Malaysian Chinese are considered to be the most successful entrepreneurs. There is, however, a lack of research regarding the influence of Facebook usage on firm performance among Malaysian Chinese retailers. As such, this study had two aims. Firstly, the study investigated the influence of compatibility, cost effectiveness, trust, and interactivity on Facebook usage among Malaysian Chinese retailers. Secondly, the study assessed the impact of these retailers’ Facebook usage on their perceived financial performance, perceived non-financial performance, perceived business growth, and perceived performance relative to competitors under the moderating impact of market turbulence. This study developed a conceptual model based on the Strategic Contingency Theory (SCT) and Diffusion of Innovation (DOI) theory, and used a structured survey instrument to gather data. Using non-probability sampling techniques, 129 Malaysian Chinese retailers from Kuala Lumpur and Selangor were recruited for the study. Data was analysed using PLS-SEM techniques. The results showed that only compatibility, cost effectiveness, and interactivity have a statistically significant positive influence on Facebook usage, which in turn has a statistically significant positive influence on the retailers’ perceived financial performance, perceived non-financial performance, perceived business growth, and perceived performance relative to competitors. Moreover, market turbulence was only found to be a moderator that improves the impact of Facebook usage on perceived financial performance, perceived business growth, and perceived performance relative to competitors, but not perceived non-financial performance. These findings contribute to current literature and provide insights into the role and importance of Facebook usage on firm performance among Malaysian Chinese retailers, possibly encouraging more retailers to deploy social media in their business processes.

What Kind of Product Does the Person Who Feel Nostalgia Buy? Examine the Effect of Product Types

Hyunseung Chung 사람과세계경영학회 2019 Global Business and Finance Review Vol.24 No.3

Recently in Korea, retro style is all the vogue. The retro style began with Korean soap operas, movies, and many of famous TV shows and now it has a positive effect overall in Korea trend. Result from this trend, a lot of brands, products, and fashion which were caught on the past are enjoying a renaissance, and the people who pursue the retro style are seen at various ages. This retro style can be explained as ‘nostalgia’. Nostalgia can arouse positive emotions than negative emotions and people would recall that the past experiences were warm enough because of these positive emotions. Therefore, Nostalgia is an effective marketing strategy to induce positive responses by evoke positive emotions of consumers. On marketing field, there are many researches that focus on the various effect of nostalgia. However, existing studies have been limited to past products causing the Nostalgia, and the product itself has not been considered in various aspects. Especially, there are little researches on the types of products that affect attitude changes and purchase intention in the role of nostalgia. Therefore, this study aims to provide the theoretical and practical implications to search for what types of products that consumers want to purchase according to the type of product when the nostalgia is evoked. This research is composed of one experiment and the study and 67 undergraduates at the university in Korea and 48 participants on online survey are took part in. This study is designed by 2X2 factorial design (nostalgia and types of product). Participants were given each scenario that nostalgia situation and control situation, and show each types of product (based of goods vs based of experience) checked purchase intention and wrote amount of money that willing to pay. To test this study, I use t-test, ANOVA, and Process Modeling to analyze. The result of manipulation check was good enough and the main effect show that consumers in the context of nostalgia are more likely to purchase. Finally, the interaction effect of nostalgia and types of products shows that consumers with nostalgia were more likely to purchase experience based products than just product based ones. As in previous studies, this study also found that nostalgia increases purchase intentions. It seems that nostalgia has raised consumers' purchasing intentions by reminding them of past positive recall. And experience based products increased consumers' purchasing intention more than product based one. In other words, it would be more effective to promote products based on experience (travel, events, etc.) through advertising with nostalgic effects.

The Effectiveness of a Predictor-corrector Technique in European Currency Option Valuation

Sangwoo Heo,Jinsuk Yang,SeungCheol Lim,Peter Cashel-Cordo 사람과세계경영학회 2019 Global Business and Finance Review Vol.24 No.4

In this work, we adopt a predictor-corrector technique to examine the accuracy of the Fractional Black-Scholes (FBS) model. Compared to the standard Black-Scholes (B-S) model, FBS model involves one additional parameter, a Hurst value (H) providing information whether the time series exhibits persistent or anti-persistent behavior. The FBS model, as a result, has been shown to provide more accurate predictions of option price [Heo et al. (2017) and reference therein]. Estimation accuracy of volatility and H values are key to better option price estimates. However, volatility and Hurst values are unknown prior to the closing time; consequently, the estimation of option prices relies heavily on the accuracy of volatilities and Hurst parameter estimation. In this study we compare option price estimation accuracy using three variations of calculating H values, and two volatility measures. We estimate two H values using historic data using one-month data (21 trading days) and three-month data (63 trading days), respectively, and by using predicted volatility estimates obtained using a binomial method, as a predictor and then used them to estimate implied H values. We subsequently correct the predicted volatility measure using the implied H value, the predictor-corrector technique. We investigate the accuracy of these FBS models and examine effectiveness of this predictor-corrector technique using Euro currency option (XDE) data traded in NASDAQ from November 2007 to June 2016.

The Effect of Book-Tax Difference on Earnings Quality: Empirical Evidence from KOSPI companies in Korea

Bobur Abdullaev,Jeong hwan Park 사람과세계경영학회 2019 Global Business and Finance Review Vol.24 No.3

This paper investigates the role of temporary Book-Tax Differences(BTD) as a proxy for earnings quality using various measures to provide alternative indicators of earnings quality. Hence, it combines most frequently used hypotheses with some modifications. First, we partition total temporary BTD into its components such as large positive, large negative and small temporary BTDs. Then, we analyze the association between large temporary BTDs with discretionary accruals. Following that, the persistence of earnings will be examined when there are large positive and large negative BTDs. Lastly, the association between large temporary BTDs and future earnings will be studied to find the impact of large temporary BTDs on future earnings. Overall, the evidence suggests that temporary BTD can be a good choice for investors to analyze a particular company's earnings quality.

An Asynchronous Regime Switching GO GARCH Model for Optimal Futures Hedging

Hsiang-Tai Lee 사람과세계경영학회 2019 Global Business and Finance Review Vol.24 No.3

In this paper, an asynchronous Markov regime switching generalized orthogonal GARCH (ARSGO) model for optimal futures hedging is proposed. The proposed ARSGO is a regime switching GO GARCH such that different financial variables are governed by different state variables with the dependence of switching captured by a synchronization factor. Different from the conventional single-state-variable regime switching GO GARCH (RSGO), the multiple-state-variable ARSGO is more flexible in capturing the time-varying state-dependent correlation between spot and futures returns. ARSGO is applied to TAIEX futures to cross hedge the spot exposure of Taiwan stock sector indices. The empirical results reveal that the hedging effectiveness of ARSGO is superior to its nested models including the state-independent generalized orthogonal GARCH (GO) and the conventional single-state-variable RSGO models in terms of variance reductions and utility gains.

Inspecting the Relationship among E-service Quality, E-trust, E-customer Satisfaction and Behavioral Intentions of Online Shopping Customers

Van-Dat Tran,Quang Huy Vu 사람과세계경영학회 2019 Global Business and Finance Review Vol.24 No.3

The purpose of this study is to clarify whether there are relationships among the four key factors contributing to the success of e-business: e-service quality, e-trust e-customer satisfaction and behavioral intentions, thus make a conclusion and provide better understanding in the field of e-service and e-marketing. This study method used to evaluate and test the scale and theoretical model in the study is quantitative research with sample size N = 476 through the survey to deliver questionnaire directly to subjects. This study examined the scale by confirmatory factor analysis (CFA) and the model of theoretical research by structural equation modeling (SEM). The results of analysis and verification of measurement scales and theoretical research models show that the research scales achieve unidirectional, reliability, convergent validity and high discriminant validity. The hypotheses are accepted at 95% reliability. The study has discovered the new indirect and positive impact of e-service quality on behavioral intentions through mediators e-trust and e-customer satisfaction, as well as other sub relationships, which can be used as foundation for future researches. At the end, managerial implications and recommendations plus contributions are proposed for e-commerce firms, e-marketers and researchers.