Comparisons of Liquidity Measures in the Stock Markets

Hyuk Choe,Cheol-Won Yang 한국재무학회 2008 한국재무학회 학술대회 Vol.2008 No.05

The notion of liquidity is widely used in the finance area, such as in the studies of market microstructure and asset pricing. However, there are so many liquidity measures that it is difficult for researchers to decide which measure they should adopt. There is no consensus on which measure is the most appropriate as well. This paper compares various liquidity measures to find which of these measures is the most appropriate in the stock market. Analyses are performed on the nonfinancial firms listed in the Korea Exchange and the NYSE/AMEX for the period 1993~2004. Two methodologies are employed. One is a correlation check that will reveal the internal consistency between measures. The other method is to investigate the relation between risk-adjusted returns and liquidity measures by using the asset pricing framework of Brennan, Chordia, and Subrahmanyam (1998) (BCS). This paper provides us several kinds of new knowledge about liquidity measures. First, most liquidity measures are highly correlated with each other, except for the Pastor and Stambaugh (2003) measure. Therefore, we do not need to be severely concerned about the conflicts of the liquidity measures. Second, the Amihud (2002) measure and its modified measure perform distinguishably well. Third, researchers are interested in a liquidity measure which can replace the high-frequency measure, such as the bid-ask spread. This paper concludes that the most reliable solution is the Amihud (2002) measure.

Features of Liquid Radwaste Level Measurement Based on Differential Pressure

Yoon-do Oh,Hyun-myoung Jung,Hae-min Park,Dae-seok Hong,Dong-su Kim 한국방사성폐기물학회 2023 한국방사성폐기물학회 학술논문요약집 Vol.21 No.1

Level measurement of liquid radwaste is essential for inventory management of treatment system. Among various methods, level measurement based on differential pressure has many advantages. First, it is possible to measure the liquid level of the system regardless of liquid type. Second, as the instrument doesn’t need to be installed near the tank, there is no need to contact the tank when managing it. Therefore, workers’ radiation dose from the system can be decreased. Finally, although it depends on the accuracy, the price of the instrument is relatively low. With these advantages, in general, liquid radwaste level in a tank is measured using differential pressure in the treatment system. Not only the advantages described above, there are some disadvantages. As the liquid in the system is waste, it is not pure but has some suspended materials. These materials can be accumulated in tanks and pipes where the liquids move to come into direct contact with pneumatic pipes that are essential in differential pressure instruments. As a result, in case of a treatment using heat source, the accumulated materials may become sludge causing interference in pneumatic pipes. And this can change the pressure which also affects the level measured. In conclusion, in case of liquid storage tanks in which the situation cannot be checked, the proficiency of an operator becomes important.

Liquidity and Skewness Risk in Stock Market: Does Measurement of Liquidity Matter?

Massaporn CHEUATHONGHUA(Massaporn CHEUATHONGHUA ),Woraphon WATTANATORN(Woraphon WATTANATORN ),Sarayut NATHAPHAN(Sarayut NATHAPHAN ) 한국유통과학회 2022 유통과학연구 Vol.20 No.12

Purpose: This study aims to explore the relationship between stock liquidity and skewness risk—tail risk (stock price crash risk) in an emerging market, in which problems on liquidity are more severe than in developed markets. Research design, data, and methodology: Based on the Thai market stock exchange over the period of 2000 to 2019, our sample include 13,462 firm-period observations. We employ a panel regression models regarding to five liquidity measures. These five liquidity measures cover three dimensions of liquidity namely the volume-based, price-based, and transaction cost-based measures for the liquidity-tail risk relationship. Results: We find a positively significant relationship between stock liquidity and tail risk in all cases. The finding here shows that the higher the stock liquidity, the larger the tail risk is. Conclusion: As the prior studies show inconclusive effect of stock liquidity on stock price crash risk, we demonstrate that mixed results found in prior studies are probably driven from the type of liquidity measure. The stock liquidity-tail risk association is present in the Stock Exchange of Thailand. The results remain the same regardless of the definition of tail risk and liquidity factors. An endogeneity issue is addressed by employing the two-stage least squares regression.

DSC를 이용한 이온성 액체 열용량 측정 기술 현황

조예림,김기섭,박병흥,Jo, Ye Lim,Kim, Ki-Sub,Park, Byung Heung 한국교통대학교 융복합기술연구소 2014 융ㆍ복합기술연구소 논문집 Vol.4 No.1

Recently ionic liquids received much attention as novel materials capable of replacing traditional solvents. The applicability of the ionic liquids should be determined based on their physico-chemical properties. Heat capacity is one of the most important properties to be considered when a process is developed using the ionic liquids and currently DSC has been proved as an effective technique to measure the heat capacity. Micro DSCII can measure heat capacities of various liquids by both an isothermal step method and a scanning method. DSC Q100 and MDSC are able to measure heat capacities of several ionic liquids. For each ionic liquid linear regression of the heat capacity as a function of temperature has been performed to increase accuracy. To investigate the feasibility of ionic liquids as PCMs, their heat capacities have been measured by using Pysis I DSC. This paper briefly summarizes the present techniques of measuring heat capacities of ionic liquids by DSC.

과거사청산방식의 문제점과 입법적 개선방향: 「과거사정리법」을 중심으로

박범영 ( Park Poem-young ) 한국의회발전연구회 2024 의정연구 Vol.30 No.1

Korea’s past liquidation legislation is divided into comprehensive past liquidation law and individual past liquidation law. The general trend in recent past liquidation legislation has been toward comprehensive past liquidation. However, Truth and Reconciliation Act, which is the representative law of comprehensive past liquidation, has problems with its effectiveness. In terms of legislation, it is necessary to increase the enforceability of the right to investigate the truth and secure a sufficient investigation period. It is also necessary to increase the specificity and reality of recommended measures, clarify the state’s responsibility structure, and increase the receptivity of state institutions to recommended measures. In addition, the role and weight of conciliatory measures should be increased and the conciliation process should be rationalized. Finally, it is necessary to tailor preventive measures and compensation measures for victims according to the type of state illegality and to prevent the abuse of statutes of limitations.

A ²³⁵U mass measurement method for UO₂ rod assembly based on the n/γ joint measurement system

Yang, Jianqing,Zhang, Quanhu,Su, Xianghua,Li, Sufen,Zhuang, Lin,Hou, Suxia,Huo, Yonggang,Zhou, Hao,Liu, Guorong Korean Nuclear Society 2020 Nuclear Engineering and Technology Vol.52 No.5

Fast-Neutron Multiplicity Counter based on Liquid Scintillator Detector can directly measure the fast neutron multiplicity emitted by UO₂ rod. HPGe gamma spectrometer; which has superior energy resolution; is routinely used for the gamma energy spectrum measurement. Combing Fast-Neutron Multiplicity Counter and HPGe γ-spectrometer, the n/γ joint measurement system is developed. The fast neutron multiplicity and gamma energy spectrum of UO₂ rod assemblies under different conditions are measured by the n/γ joint measurement system. The induced fission rate and the ²³⁵U abundance, thereby the ²³⁵U mass; can be obtained for UO₂ rod assemblies. The ²³⁵U mass deviation of the measured value from the reference value is less than 5%. The results show that the n/γ joint measurement system is effective and applicable in the measurement of the ²³⁵U mass in samples.

액체결정을 이용한 온도측정

김욱,고영주,이경진,김신 제주대학교 공과대학 첨단기술연구소 2003 尖端技術硏究所論文集 Vol.14 No.2

Temperature is one of the most important variables in thermal-hydraulic system. Many methods like, thermo couple, thermistor, semi-conduct sensor and so on have been divised for the temperature measurement. Recently optical method has attracted much interest due to its insensibility to electromagnetic environment. When liquid crystal film is attached to an object, its color changes sensitively as according to the temperature of the object. If a specific light is flashed on the film, the amount of light reflection depends on the color of the film. The purpose of this study is to develop an optical temperature measuring system using liquid crystal film.

열전달 실험에 사용되는 감온액정의 보정곡선에 미치는 인자 연구

장차오,강희찬 한국에너지학회 2014 한국에너지공학회 학술발표회 Vol.2014 No.11

This study performed parameter test for the calibration curve of liquid-crystal used in the heat transfer experiment. The parameters such as light angle, existence of window and reflector, type of camera and light, number of painting are tested individually. The hue of the liquid crystal is well correlated with the arc tangent function of surface temperature with three coefficients. The experimental conditions and guide line in the use of the liquid crystal are suggested.

국내 주식시장에서 유동성 프리미엄의 장기적 변화에 대한 연구

전용호(Yong-Ho Cheon) 강원대학교 경영경제연구소 2019 Asia-Pacific Journal of Business Vol.10 No.2

Following the methodology of Ben-Rephael, Kadan and Wohl (2015), this paper examines whether firm-level liquidity premium exists and whether the premium exhibits a long-term trend in the Korean stock market. The results show that over the whole sample period (1998-2018), a liquidity premium of 0.083% exists in the cross-section of stocks. Interestingly, the pricing of liquidity declines significantly over the sample period. Sub-period analysis indicates that liquidity is priced mainly in the first sub-period (1998-2004) with a significant monthly premium of 0.304%, while the pricing of liquidity becomes weaker or insignificant in the second (2005-2011) and the third (2012-2018) period. I also find that the significance of the liquidity premium in the first period is attributed to small stocks. To explore underlying reasons that might affect the decline in the liquidity premium, I decompose liquidity premium into the product of firm-level liquidity and the sensitivity of expected stock returns on liquidity. The results reveal that the long-term decline is explained by both an increase in firm-level liquidity and a decrease in the sensitivity of expected returns on liquidity.

유신헌법 제53조와 긴급조치의 위헌심사에 대한 검토- 헌재 2010헌바70・132・170 결정과 대법원 2010도5986 판결을 중심으로 -

이재희 헌법재판연구원 2015 헌법재판연구 Vol.2 No.1

In the Republic of Korea, there was a Self-cou of military authority and the president who had done the Cou, made so called “Yushin Constitution” in 1972. The regime of the Yushin Constitution was unlawful and unconstitutional both in the process of amendment and in the contents of the Constitution. Because it has been proved that there were many provisions which abridged fundamental human rights and violated the principle of rule of law. Especially Art. 53 of Yushin Constitution gave the president special, unlimited and super-constitutional authorities of urgent measures. Under the regime, there were many victims of unlawful judgement, who were judged guilty in violation of urgent measures which were based on and combined with Art. 53 of Yushin Constitution. Until the decision of Supreme Court of 2010(2010Do5986), unlawful judgements had been effective and general courts and Constitutional Court had negative tendency in the retrials and constitutional appeals in such cases. At last in 2010, the Supreme Court made monumental decision(2010Do5986). The court said that it had the power to review on the urgent measures because the measures were in the status under parliamentary legislation, and the urgent measure was unconstitutional, so that the applicant of retrial should be sentenced to not gulity. After that decision, in 2013, Constitutional Court said that the Constitutional Court had the authority to review urgent measures taken under the Yushin Constitution because the measures were in the same stage of parliamentary legislation or even over that. And then the court decided that the urgent measures were unconstitutional on the basis of current Constitution(2010Hun-Ba70・132・170). Actually, based on the substantial effect, Urgent measures seemed to have effect as the same level of legislation or even as the Constitution. In my opinion, the Constitutional Court, the political judiciary which has the ultimate right to interpret Constitution, should have the jurisdiction not only on the review of unconstitutionality of urgent measures but also Art. 53 of Yushin Constitution, the provision of unconstitutional Constitution. However, the Constitutional Court deferred their decision on the provision of Yushin Constitution. The Constitutional Court should have decided unconstitutionality of the Art. 53 of Yushin Constitution to fulfill its responsibility of defending constitutionality and protecting fundamental human rights. 군부정권의 자기쿠데타 및 헌정정지로 성립한 1972년 유신헌법 체제는 성립절차적으로도 불법적이었을뿐 아니라 그 내용에 있어서도 기본권을 중대하게 침해하고 권력분립에 위배되며 반입헌주의적인 것으로서불법적인 것이었다. 유신헌법 체제하에서 유신헌법 제53조에 따라 발령된 대통령 긴급조치에 따라 다수의불법적 판결이 내려졌다. 불법판결의 피해자들을 위해 여전히 유효하게 남아 있던 유죄판결의 효력을 없애고 피해자들을 구제하는 과거사청산이 요청되었지만 법원과 헌법재판소를 포함하는 사법부는 긴급조치에대한 재심 또는 위헌심사에 소극적으로 대응해 왔다. 2010년 대법원은 긴급조치에 대하여 국회 관여권이행사되지 않아 법률의 단계로 볼 수 없고 따라서 법률이하규범에 대한 규범통제권한이 있는 대법원에 심사권한이 있다고 본 다음 긴급조치를 유신헌법과 현행헌법 모두에 반하여 위헌이라고 판단하고 재심에서 긴급조치 유죄판결 피해자에 대해 무죄를 선고했다. 그리고 2013년 헌법재판소는 긴급조치는 최소한 법률과같은 효력이 있기 때문에 헌법재판소가 규범통제권한을 가진다고 하고, 현행헌법을 기준으로 심사하여 긴급조치 제1호, 제2호, 제9호에 대하여 위헌이라고 결정하였다. 긴급조치는 개별적으로 법률 또는 헌법의 효력을 갖는 것이고 유신헌법 제53조와 필수적으로 결합된 관계임을 고려할 때 헌법적 효력을 갖는 것으로볼 수 있으며, 이러한 긴급조치와 유신헌법 제53조의 위헌심사는 헌법재판소의 권한으로 보는 것이 옳다. 그러나 2013년 결정에서 헌법재판소는 유신헌법 제53조에 대하여는 심사권한 행사를 유보했다. 유신헌법제53조와 긴급조치는 결합된 관계로 보아야 하고, 중대한 입헌주의의 예외에 해당하는 유신헌법 조항에 대해서 헌법재판소는 심사를 회피하지 말고 헌법수호와 기본권 보호의 임무를 다해야 했다는 점에서 2013년헌법재판소 결정은 비판받을 수 있다.