Evaluating Usefulness of the Contrarian Investment Strategy by Recursive Mean Adjustment-A Case of Asian Markets

모영규 한국경영컨설팅학회 2013 경영컨설팅연구 Vol.13 No.1

Despite of extensive studies, empirical evidence of mean reversion in the stock price still remains elusive. This paper revisits the empirical evidence of mean reversion for asset prices by recursive mean adjustment(RMA) proposed by So and Shin(1999). Using Morgan Stanley Capital International(MSCI) for 12 Asian markets I find that the unit-root test with the RMA estimator cannot reject the null of a unit root for all markets. To extract further information on the dynamics of the stock price indices I compute RMA-based confidence intervals for persistence parameter. No stock index shows less than unity as upper bound at the 90% confidence intervals after correcting bias that implies the stock price indices deviations from reference price for Asian markets are not mean-reverting. This means that the stock price deviations may take infinite time to become halfway to the long-run equilibrium values which serves evidence against the usefulness of contrarian strategy.

Study on the Factors for Developing and Supplying e-Services for ASEAN Women

모영규 한국전문경영인학회 2015 專門經營人硏究 Vol.18 No.4

Along with the arrival of the knowledge and information society, accessibility and capacity of utilizing information and communication technology (ICT) became indispensable right in these days. Despite the continued efforts, however, women in ASEAN countries are suffering from double hardships of ICT development differences among inter countries and intra country information gap as socially underprivileged group. A survey was conducted to measure current status of the e-Service provision of the ASEAN member countries and future needs of potential demand for e-Services. By analyzing survey data collected from the ASEAN countries, we found several important implications that we should take into account when developing and providing e-Services. The first one is the importance of the public relations. Another important implication is the homogenous perception on e-Service usefulness but heterogenous demand for e-Services among ASEAN countries. Another thing to note is that internet access through computer is limited but access through mobile is widely available in this region. These factors should be considered when developing and supplying e-Services to this region.

Nonlinear Mean/Reversion in Stock Prices? A Case of Asian Markets

모영규 한국국제경영관리학회 2013 국제경영리뷰 Vol.17 No.1

One of the major assumptions of the contrarian investment strategy is the mean reversion property of the asset prices. Despite of extensive studies, however, empirical evidence of mean reversion in the stock prices still remains elusive. I revisit this issue by applying nonlinear unit root test developed by Park and Shintani (2005, 2010). Using Morgan Stanley Capital International (MSCI) stock price indices for 12 Asian markets, I find that the stock price indices deviations from reference price for Asian markets are not mean-reverting. National stock price deviations may take infinite time to become halfway to the long-run equilibrium values which serves evidence against the usefulness of contrarian strategy.

Continuous-time Model of Uncovered Interest Rate Parity with Mean-Reverting Interest Rate Differential

모영규 한국경영컨설팅학회 2016 경영컨설팅연구 Vol.16 No.2

This study investigates to what extent can an exchange rate built on continuous-time uncovered interest parity match the empirical features of the exchange rate and the interest differential data. In continuous-time, UIP is a stochastic differential equation and its solution provides the log of exchange rate as a nonlinear function of the exogenous interest differential. To obtain solution for the differential equation, I considers the case in which the interest differential follows mean-reversion process. Simulation experiments show that the model is capable of matching many important features of the data. The model is able to produce persistent dynamics of interest differential and fat-tails in exchange rate returns. Also the model is capable of endogenously producing ARCH effects in the exchange rate returns.

제조업 고용조정양식의 변화에 관한 실증분석

이주호,모영규 ( Ju Ho Lee,Young Kyu Moh ) 한국경제학회 1996 經濟學硏究 Vol.44 No.2

저압 개폐서지 특성 분석을 통한 저압기계기구 소손예방에 관한 연구

황민,모영규,우필성,김유나,김영석,송길목 대한전기학회 2023 전기학회논문지 Vol.72 No.12

Electrical equipment and products provide robustness against power surges by securing minimal electrical insulation performance to withstand power surges, even if surges occur during normal operation. However, continuous electrical surges adversely affect securing electrical safety. This paper proposes a prevention of low-voltage equipment failure by analyzing switching surges on low-voltage. To analyze the cause of damage to low-voltage electrical equipment by power surges and prepare countermeasures, this paper investigates and analyzes the occurrence of switching surge characteristics. Moreover, this paper intends to prepare reliable countermeasures through surge resistance experiments. As a result, it indicates that low-voltage products that have been used for a long-period of time have a high probability of failure due to a decrease in robustness to power surges as the insulation and surge protection elements deteriorate. To prevent this, it is recommended to protect electrical equipment and products used for a long time by installing additional surge protection systems.

The Yen Real Exchange Rate May Not be Stationary After All: New Evidence from Non-linear Unit-Root Tests

김형우,모영규 한국은행 2012 經濟分析 Vol.18 No.4

Researchers have encountered difficulties in finding empirical evidence of Purchasing Power Parity (PPP) especially when conventional linear unit root tests are employed for the Japanese yen real exchange rate. Chortareas and Kapetanios (2004), however, report strong evidence in favor of a Balassa-Samuelson type model of PPP by applying a nonlinear unit root test by Kapetanios et al. (2003) to the other G7 and Asian currencies relative to the Japanese yen, claiming that the yen real exchange rate may be (trend) stationary. We question the validity of this remark. First, we note that their claim is upset when we extend the data until 2008 even when the same nonlinear unit root test is used. Second, we apply the inf- test by Park and Shintani (2005, 2010) which does not require the Taylor approximation, and find strong evidence against stationarity for most yen real exchange rates. Our results also corroborate the findings of Kim and Moh (2010) who report a possibility of misspecification problems by using Taylor-approximation based tests.

사용후 배터리 산업 활성화와 안전 확보를 위한 제언

우필성,황민,모영규,김영석 대한전기학회 2023 전기학회논문지 P Vol.72 No.4

As part of environmental regulations and greenhouse reduction measures, electric vehicles and large-capacity ESS are expected to spread, and also the volume of discarded lithium-ion batteries is expected to increase rapidly. The market size of discarded lithium-ion batteries is expected to be 3,364 GWh ($57.4 billion) by 2030. This paper analyzes policies, standards, and R&D trends in major countries (Republic of Korea, the United States, China, Europe, Japan) regarding used Li-batteries, and then propose measures to revitalize the circular economy of Li-batteries while ensuring safety

국내 대학도서관 진흥을 위한 주요 정책과제 개발 연구

장윤금,이혜은,모영규,전경선 한국문헌정보학회 2020 한국문헌정보학회지 Vol.54 No.3

The aim of this study is to explore key strategy areas for academic library development planning in Korea. This study started with components of an academic library development plan that were identified in a literature review; those components included among others the major roles, functions, resources, and teaching and research support services of academic libraries. Upon interviewing library staff from 14 academic libraries, this study initially categorized those components into 4 overarching strategy areas and further subdivided them into 12 key components and 24 sub-components. That initial categorization was then reviewed by 6 scholars and practitioners, applying the analytic hierarchy process (AHP), by which this study analyzed the level of importance and priority of the strategy areas and various components. Based on the results, this study ultimately outlines 11 key components and 23 sub-components under the 4 strategy areas for academic libraries in Korea to take into consideration in their development planning. 본 연구는 국내 대학도서관진흥종합계획 수립을 위한 기초자료로 활용될 수 있는 주요 정책과제 개발을 목적으로 하였다. 이를 위해 국내외 대학도서관 발전계획 관련 선행연구 분석을 통해 대학도서관의 비전 및 역할, 정보자원, 연구지원, 교수학습 및 서비스 등의 기본 요인을 도출하였다. 이러한 요인을 기반으로 14개 대학 도서관 사서를 대상으로 인터뷰를 실시한 결과 1계층 4개 분야, 2계층 12개 추진과제, 3계층 24개 세부과제가 도출되었다. 인터뷰에서 도출된 정책과제에 대한 중요도 및 우선순위를 파악하기 위하여 학계 및 현장 전문가 6명을 대상으로 계층적 분석 방법(AHP)을 실시하였다. 그 결과 중요도가 높은 분야 및 추진과제를 중심으로 ‘학술정보자원 확충 및 공동 활용’, ‘학습․연구지원 큐레이션 서비스 확대’, ‘이용자 중심의 스마트 도서관 서비스 강화’, ‘법․제도적 기반 고도화’ 등 4대 분야 및 대학도서관 진흥 및 가치 제고를 위한 분야별 11개 추진과제, 23개 세부과제가 도출되었다.

Dry-air의 절연 특성 분석

방승민(Seungmin Bang),모영규(Young Kyu Mo),이온유(Onyou Lee),김준일(Junil Kim),강종오(Jong O Kang),이홍석(Hongseok Lee),남석호(Seokho Nam),강형구(Hyoungku Kang) 대한전기학회 2015 대한전기학회 학술대회 논문집 Vol.2015 No.7