개별기업 주가와 거래량간의 인과관계 연구

이윤학 ( Yun Hak Lee ) 한국금융공학회 2006 금융공학연구 Vol.5 No.1

본 연구의 목적은 거래량과 주가의 인과관계를 밝히는데 목적이 있다. 선행연구들이 거래량과 주가지수와의 인과관계를 검증한데 반해, 본 연구는 개별기업 주가에 대한 거래량의 정보관계를 분석하고자 하였다. 또한 거래량도 선행연구에서 사용한 `일반적거래량`이 아닌 본 연구에서 새롭게 정의한 거래량, 즉 `순가격변화거래량`과 주가와의 인과관계를 분석하는데 초점을 맞추었다. 본 연구는 순가격변화거래량과 일반적 거래량으로 나누어서 인과관계를 분석하였으며, 세부적으로는 종합주가지수와 개별기업 주가로 나누어서 Granger 인과관계모형으로 검증하였다. 검증결과, 일반적거래량과 주가수익률의 인과관계는 개별기업뿐 아니라 종합주가지수에서도 인과성이 상당히 적은 것을 나타났다. 그러나 순가격변화거래량과 주가수익률에 대한 인과관계를 검증한 결과, 종합주가지수에서는 인과관계를 확인하지 못하였지만, 상당수의 개별기업에 있어서 일정 정도 순가격변화거래량이 주가수익률에 영향을 미친다는 점을 확인하였다. 따라서 개별기업에 있어서는 거래량이 적극적인 매수(매도) 의사가 내재된 거래의 결과라고 보고, 거래량이 변화되면서 가격변화를 유발한다는 증권시장의 믿음이 상당부분 의미가 있는 것으로 해석된다. 즉, 순가격변화거래량은 의미있는 거래량으로서 개별기업의 주가를 설명하는 정보가치가 상당부분 존재하는 것으로 판단된다. The object of the following study is to analyze the causal relationship between trading volume on share prices. However, unlike previous analyses that focused on the effects of volume on indices, this paper focuses on the effects of trading volume on shares of individual firms. Unlike previous studies that measured simple net volume, the current research analyzes the relationship of a newly defined measure of volume, namely, net price change volume. Net price change volume measures the difference between upward share price volume and downward share price volume. There is a widely held preconception in the stock market that volume is a reflection of investor sentiment and subsequently drives intraday share price movement. Many investors believe share prices fluctuate on changes in volume and that volume is a reflection of investor sentiment, simply put that net price change volume has an effect on share prices. This paper analyzes the validity of the causality between volume and share price movements, measures the causality between net price change volume and share price movements and examines the significance of changes in trading volume to share prices. This paper analyzes the effects of volume on stock market indices and on individual firms. While previous volume analysis used simple net volume to measure the effects of volume on market indices, the current analysis broadens the study to include individual firms in addition to market indices using the more detailed net price change volume. First, the focus of this paper is to examine the causality between net price change volume and stock price, while the relationship betweennet price change volume and stock price in the market index could not be observed, a relationship between the two factors was evident in a significant number of individual firms. With the existence of the relationship, we reject the hull hypothesis, net price change volume does not Granger cause stock price. We consider net price change volume as an important measure of volume in terms of its effects on share price movements. Second, considering there is no significant causality between simple net volume and the stock price of the market index or of shares of individual firms, we consider simple net volume to be of little importance. Third, considering there is an observable relationship between volume and stock price, but that there was no observable relationship between simple net volume and stock price, it was observed that net price change volume had a significant relationship with share price movements. As such, we believe previous studies utilizing simple net volume are flawed, and assert the importance of net price change volume to share price movements. While previous analyses detected a relationship between simple net volume and stock price, in the current analysis, excluding the minimal relationship detected between simple net volume and stock price of the market index, there was little to no relationship detected with the share price movements of individual firms. As such, we can expect further analyses which contradict earlier papers that have asserted that shares will increase on expanding volume and decrease on contracting volume. This paper confirms the importance of net price change volume on share price movements, contrary to previous studies that concluded simple net volume affected share prices. While, net price change volume does not have an infallible relationship to the share price movements of individual firms, it has an observable and significant relationship. Additionally, while volume does have an effect on share price movement, net price change volume has a stronger causal relationship to simple net volume on share prices, and as such share prices are more sensitive to changes in net price change volume than in simple net volume.

관골 단독 골절에서 안구 용적 변화의 정량적 분석

정한주,강석주,김진우,김영환,선욱 대한성형외과학회 2011 Archives of Plastic Surgery Vol.38 No.6

Purpose: The zygoma (Zygomaticomaxillary) complexes make up a large portion of the orbital floor and lateral orbital walls. Zygoma fracture frequently causes the posteromedial displacement of bone fragments, and the collapse or overlapping of internal orbital walls. This process consequently can lead to the orbital volume change. The reduction of zygoma in an anterolateral direction may influence on the potential bone defect area of the internal orbital walls. Thus we performed the quantitative analysis of orbital volume change in zygoma fracture before and after operation. Methods: We conducted a retrospective study of preoperative and postoperative three-dimensional computed tomography scans in 39 patients with zygoma fractures who had not carried out orbital wall reconstruction. Orbital volume measurement was obtained through Aquarius Ver. 4.3.6 program and we compared the orbital volume change of injured orbit with that of the normal contralateral orbit. Results: The average orbital volume of normal orbit was 19.68 cm3. Before the operation, the average orbital volume of injured orbit was 18.42 cm3. The difference of the orbital volume between the injured orbit and the normal orbit was 1.18 cm3 (6.01%) on average. After operation, the average orbital volume of injured orbit was 20.81 cm3. The difference of the orbital volume between the injured orbit and the normal orbit was 1.17 cm3 (5.92%) on average. Conclusion: There are considerable volume changes in zygoma fracture which did not accompany internal orbital wall fracture before and after operation. Our study reflects the change of bony frame, also that of all parts of the orbital wall, in addition to the bony defect area of orbital floor, in an isolated zygoma fracture so that it evaluates orbital volume change more accurately. Thus, the measurement of orbital volume in isolated zygoma fractures helps predict the degree of enophthalmos and decide a surgical plan.

근육 부피 변화에 따른 손동작 분류 알고리즘을 기반으로 한 HCI 시스템의 개발

조은일(Eunil Cho),허정현(Jung Hyun Heo),이정직(Jeongjick Lee),윤영로(Young Ro Yoon) 대한인간공학회 2016 대한인간공학회 학술대회논문집 Vol.2016 No.11

Objective: The aim of this study is to propose alternative method about sensing muscle activity to classify hand gesture. When human act hand gesture, muscles will be contracted or relaxed. So we use ‘Conductive Rubber Cord’ to measure muscle volume change. Background: Different hand gesture shows different muscle volume change. And about same hand gesture shows very similar muscle volume change. Method: We determine 5 kinds of hand gestures and measure muscle volume change. So we suggest a parameter based on muscle volume change measured by conductive rubber cord. The work is based on two facts. One is that hand gesture or motion is controlled by fore arm and the other is that volume change of forearm occurs by doing hand motion. Based on these facts, we assume that a variety of hand gesture results in various volume change of forearm case by case. Results: The sensitivity of the classification used for the 5 kinds of hand gestures was 96.39%. Conclusion: Muscle volume change is not affected by electric signal or feature of human body. So it didn’t need preprocessing for separate parameter from undesirable signals. This means Muscle volume change is more useful than sEMG or other bio signal. Application: The results of this study might help to determine alternative method about sensing muscle activity. And it can be applied to develop controller for virtual-reality system.

다양한 이변량 GARCH모형을 통한 코스피 200현/선물시장의 거래 변화량과 변동성간의 동적 관련성

문규현 ( Gyu Hyen Moon ) 한국금융공학회 2010 금융공학연구 Vol.9 No.2

본 연구는 2000년 1월 4일부터 2005년 12월 19일까지 일별자료를 이용하여 코스피 200 주가지수 수익률과 거래변화량 및 코스피 200 주가지수선물 수익률과 거래변화량간의 정보이전효과를 실증분석하는 데 있다. 분석모형은 다양한 이변량 GARCH모형을 사용하였으며 분석결과는 다음과 같다. 첫째, 코스피 200 현물수익률과 거래변화량간에는 피드백적인 정보이전효과가 있었으며, 코스피 200 현물수익률의 변동성이 거래변화량의 변동성에 영향을 미치는 것으로 나타났다. 둘째, 코스피 200 현물수익률과 선물거래 변화량간에는 현물수익률은 선물거래변화량에 영향을 주었으며, 선물거래변화량에서 발생한 충격(shock)은 현물거래변화량에 음(-)의 방향으로 영향을 주는 결과를 보였다. 셋째, 코스피 200 선물수익률과 현물거래변화량간의 결과에서는 선물수익률이 현물거래변화량에 영향을 미치는 것으로 나타났다. 변동성에 있어서는 한 변수의 충격(innovation)이 다른 변수에 음(-)의 영향을 주었다. 넷째, 코스피 200 현물거래변화량과 선물거래변화량간에는 현물거래변화량이 선물거래변화량에 영향을, 시차5에서는 반대현상을 보였다. 또한 현물거래변화량의 오차(error)가 선물거래변화량에 통계적으로 유의한 영향을 미치는 것으로 나타났다. 마지막으로 코스피 200 선물수익률과 거래변화량간에는 선물수익률이 시차1, 시차2 및 시차3에 걸쳐 선물거래변화량에 영향을 미쳤으며, 변동성에서는 선물거래변화량에서 발생한 충격(shock)이 선물수익률에 음(-)의 영향을, 선물거래변화량의 분산은 선물수익률에 양(+)의 영향을 미치는 것으로 나타났다. 이러한 결과들을 종합해 볼 때 코스피 200 현선물의 거래변화량도 수익률의 변화를 예측하는데 도움이 될 수 있음을 제시해 주고 있다. 특히 선물거래변화량의 현물수익률에 영향을 주는 것과 선물거래변화량의 현물거래변화량에 영향을 준다는 점에서 본 연구의 유용성을 찾을 수 있을 것으로 판단된다. 따라서 본 연구의 분석결과는 Karpoff(1987) 연구 등이 제시한 거래량의 유용성이 국내 주식시장에서도 증명됨을 추론해 볼 수 있다. This paper tests whether the volume and volatility of KOSPI 200 stock and futures contract can effect the returns of them. The sample period covers from January 4, 2000 to December 19, 2005 with the closing price returns and volume change of the KOSPI 200 spot and the nearby contract the KOSPI 200 index futures. The various bivariate GARCH models are employed for the dynamic empirical tests. We find the volume change of both KOSPI 200 spot and futures can have the function to forecast the price change of both KOSPI 200 spot and futures. In particular, the volume change of the KOSPI 200 futures contract can effect both price change and volume change of KOSPI 200 spot market.

하악 전돌증 환자의 악교정 수술에서 기도 공간의 부피변화에 관한 3차원적 분석

이지호,팽준영,명훈,황순정,서병무,최진영,이종호,정필훈,김명진,Lee, Jee-Ho,Paeng, Jun-Young,Myoung, Hoon,Hwang, Soon-Jung,Seo, Byoung-Moo,Choi, Jin-Young,Lee, Jong-Ho,Choung, Pill-Hoon,Kim, Myung-Jin 대한악안면성형재건외과학회 2005 Maxillofacial Plastic Reconstructive Surgery Vol.27 No.6

Orthognathic surgery changes patient's mandibular position and environment of related anatomic structures. Many clinicians were interested in these changes and studied about this problem. However, most of them were based on two dimensional cephalogram. According to the development of image and computer system, it would be possible that the airway change is analyzed with three dimensional CT. So we tried to measure the volumetric change of airway and analyzed the relationship between the airway structure and volumetric change. Nineteen patients who experienced orthognathic surgery due to mandibular prognathism were analyzed with 3D CT data (preoperative and postoperative 6 months) and 2D lateral cephalometry. Volumetric change was measured and 3 dimensional change of related structure was assessed with simulation program ($V-works^{(R)}$, 4.0 Cybermed, Korea). Ten patients showed the decrease of airway volume change and nine showed the increase of airway volume change. Volumetric change was determined by dimensional change of mandible and hyoid bone. The dimensional positions of mandible and hyoid bone were the key factor for determining the airway change after surgery. Airway change is also predictable with the dimensional change of mandible and hyoid bone.

창원시 지가변동률에 미치는 영향 요인에 관한 연구

성주한(Sung, Joo Han),정상철(Jeong, Sang Cheol) 한국부동산학회 2022 不動産學報 Vol.86 No.-

본 연구는 창원시 지가변동률에 가장 큰 영향을 미치는 영향 요인이 무엇인지를 알아보고자 VEC(1) 모형을 통해 충격반응분석과 분산분해분석을 하였다. 본 연구결과를 요약하면 다음과 같다. 창원시 지가변동률에 미치는 영향에서 자체 변수를 제외한 지가변동률에 가장 큰 영향을 미치는 요인은 창원 토지거래량 변화율(GLTV)이고, 그 다음 순서는 창원 아파트매매가격 변화율(GAPTSALE)의 순서로 충격반응과 분산분해의 설명력이 크게 나타나는 것으로 파악되었다. 그 외의 변수는 지가변동률에 큰 의미를 가지지 못한 것으로 파악되었다. 본 연구의 시사점은 창원 지가변동률의 변화를 예측할 수 있는 토대를 마련할 수 있다는 점에서 큰 의미가 있는 것으로 판단된다. 1. CONTENTS (1) RESEARCH OBJECTIVES The purpose of this study is to identify the important factors affecting the land price change rate in Changwon City. (2) RESEARCH METHOD This study employed VEC model to achieve the major objectives of this study. (3) RESEARCH FINDINGS The implication of this study is that the influence of interest rates and money supply shown in other previous studies has no significant effect on the change in land price in Changwon, and real estate variables in Changwon, which are the rate of change in Changwon land transaction volume and change in Changwon apartment sale price, have a great influence. 2. RESULTS In this study, the VEC(1) model was used to find out which factors have the greatest influence on the land price change rate in Changwon City. The results of this study are summarized as follows. The factor that has the greatest effect on the land price change rate excluding its own variables in the impact on the land price change rate in Changwon is the Changwon land transaction volume change rate (GLTV), followed by the Impact Response and variance decomposition in the order of the Changwon apartment sale price change rate (GAPTSALE). It was found that the explanatory power of Other variables were found to have no significant meaning in the rate of land price change.

Predicting distributional change of forest cover and volume in future climate of South Korea

이우균,곽두안,손요환,최성호,유성진,정동준,이승호,김성호,최정기,이영진,변우혁 한국산림과학회 2012 Forest Science And Technology Vol.8 No.2

This study was performed to estimate the forest cover and volume change using the potential forest cover map and National Forest Inventory (NFI) data of South Korea. The regression models were developed to predict mean diameter at breast height (DBH), tree height (h) and number of trees (Nha) for Pinus densiflora, Pinus koraiensis, Pinus rigida, Larix kaempferi, Castanea crenata and Quercus spp. stand using NFI data. The second step was to prepare potential forest cover maps after 50 and 100 years using the Hydrological and Thermal Analogy Groups (HyTAGs), and then we compared the produced map with the present forest cover map. For the area where forest cover is changed after 50 years, therefore, the volume could be calculated using regression models and DBH and tree height estimated by ‘‘age class 1’’ in this study. On the other hand, the volume of unchanged forest area could be predicted with DBHkþ5 and Nhakþ5 adding age class 5 (50 years) to the present age class k on the forest cover map. The forest volume after 100 years was also calculated with the same process of after-50 years. As a result, it was predicted that the forest cover would be changed rapidly into Quercus spp. forests for the coming 100 years, accompanying the diminution of coniferous forest. The forest volume would dramatically decrease by 358,719,160 m3 for the coming 50 years because about 80% of coniferous forests are changed into young forests of Quercus spp. by climate change. The forest volume after 100 years would increase to 315,810,920 m3 due to the growth of young forest during 50 years. However, it should be noted that the change of forest cover and volume was estimated without the consideration of mortality, thinning, and tree planting in this study.

Influences of thermal volume changes in LiMn 2 O 4 particles on the performance of a Li-ion battery

윤성민,김철 대한기계학회 2018 JOURNAL OF MECHANICAL SCIENCE AND TECHNOLOGY Vol.32 No.7

The influence of thermal volume changes in the particles of an anode material, LiMn 2 O 4 , on the battery performances such as electric capacity, voltage and ion concentration on a level of a Li-ion battery was investigated systematically during charge and discharge, based on 1-D and 2-D thermal analysis models coupled with experimental temperature-volume data. The mathematical battery models were solved numerically and analyses were performed for many cases. Each thermal effect was compared with the cases not considering thermal volume changes. When temperature variations and volume changes are taken into account, the voltage and Li-ion concentration of a battery cell increases by about 1.0 % further than those of the cases neglecting particle volume changes. These results can be considered to be reasonable in light of that the largest experimental volume change due to temperature variation is about 0.7 %.

일본 금융상품거래법상 대량보유보고제도의 최근 동향과 시사점

홍운기,손영기 가천대학교 법학연구소 2015 가천법학 Vol.8 No.1

The system of reports of possession of large volume under the Act on Sales of Financial Products in Japan is a system introduced in 1990 to provide investors with information on stocks, etc. possession of large volume from the viewpoint that the status of stocks, etc. possession of large volume is critical to investors in terms of supply and demand in market and influence on management. This system obliges a person who holds stocks, etc. of any stock-listed corporation exceeding 5% of the total number of stocks, etc. to submit a ‘report of possession of large volume’ indicating the holding ratio, the purpose of holding, matters on funds for acquisition; and to offer it for public inspection. It has great significance in that it discloses information on a change in the control of a stock-listed corporation, etc., information that may affect management, or information on supply and demand in the market, from the perspective of securing the soundness of capital market and protecting investors. Recently, Japan revised matters on this system including ‘own stocks’, ‘descriptions in the case that the submitter is an individual’, ‘applicable scope and descriptions’ of a report on short-term possession of large volume, ‘obligation to simultaneously submit’ a report on change, ‘methods of notification’ to the corporation issuing a report of possession of large volume, and ‘a period of public inspection’ of a corrective report; and has their enforcement ahead. This paper will sum up the system of report of possession of large volume under the Act on Sales of Financial Products in Japan, examine trends of the recent revision, and review implications for Korea’s Financial Investment Services and Capital Markets Act. 일본의 「금융상품거래법」상 대량보유보고제도는 경영에 대한 영향력 및 시장에서의 수급이라는 관점에서 주권 등의 보유 상황이 투자자에게는 중요한 정보에 해당하기 때문에, 해당 정보를 투자자에게 제공하기 위해 1990년에 도입된 제도이다. 본 제도는 주권상장법인이 발행한 주권 등의 발행 주식 등의 총수의 5% 이상을 보유하는 자에 대해서, 보유비율⋅보유목적⋅취득자금 등에 관한 사항을 기재한 대량보유보고서의 제출을 의무화 하고 이를 공시하는 것을 그 내용으로 한다. 이는 주권상장법인에 대한 지배권의 변경이나 경영에 영향을 미칠 가능성이 있는 정보 또는 시장에서의 수급에 관한 정보를 공시하도록 하여 기업지배권경쟁의 공정성 및 증권시장의 투명성을 제고함으로써 자본시장의 건전성 확보 및 투자자를 보호하기 위한 제도로서 그 중요성이 크다. 최근 일본의 대량보유보고제도는 증권시장에서의 공정성이나 투명성에 유의하면서, 대량보유보고제도 보고의무자의 업무 부담의 경감을 위한 대책으로서 대량보유보고서의 제출자가 개인인 경우의 기재사항, 변경보고서의 동시제출의무, 발행인에 대한 대량보유보고서의 통지방법, 정정보고서의 공시기간, 자기주식, 단기대량양도보고의 적용범위⋅기재사항에 관한 내용들을 개정하고 그 시행을 앞두고 있다. 이에 본 논문에서는 일본 금융상품거래법상의 대량보유보고제도를 개괄하고 최근 개정 동향을 살펴본 후, 우리나라 「자본시장과 금융투자업에 관한 법률」에 대한 시사점을 검토하고자 한다.

일본 금융상품거래법상 대량보유보고제도의 최근 동향과 시사점

홍운기,손영기 가천대학교 법학연구소 2015 가천법학 Vol.8 No.1

일본의 「금융상품거래법」상 대량보유보고제도는 경영에 대한 영향력 및 시장에서의 수급이라는 관점에서 주권 등의 보유 상황이 투자자에게는 중요한 정보에 해당하기 때문에, 해당 정보를 투자자에게 제공하기 위해 1990년에 도입된 제도이다. 본 제도는 주권상장법인이 발행한 주권 등의 발행 주식 등의 총수의 5% 이상을 보유하는 자에 대해서, 보유비율⋅보유목적⋅취득자금 등에 관한 사항을 기재한 대량보유보고서의 제출을 의무화 하고 이를 공시하는 것을 그 내용으로 한다. 이는 주권상장법인에 대한 지배권의 변경이나 경영에 영향을 미칠 가능성이 있는 정보 또는 시장에서의 수급에 관한 정보를 공시하도록 하여 기업지배권경쟁의 공정성 및 증권시장의 투명성을 제고함으로써 자본시장의 건전성 확보 및 투자자를 보호하기 위한 제도로서 그 중요성이 크다. 최근 일본의 대량보유보고제도는 증권시장에서의 공정성이나 투명성에 유의하면서, 대량보유보고제도 보고의무자의 업무 부담의 경감을 위한 대책으로서 대량보유보고서의 제출자가 개인인 경우의 기재사항, 변경보고서의 동시제출 의무, 발행인에 대한 대량보유보고서의 통지방법, 정정보고서의 공시기간, 자기주식, 단기대량양도보고의 적용범위⋅기재사항에 관한 내용들을 개정하고 그 시행을 앞두고 있다. 이에 본 논문에서는 일본 금융상품거래법상의 대량보유보고제도를 개괄하고 최근 개정 동향을 살펴본 후, 우리나라 「자본시장과 금융투자업에 관한 법률」에 대한 시사점을 검토하고자 한다. The system of reports of possession of large volume under the Act on Sales of Financial Products in Japan is a system introduced in 1990 to provide investors with information on stocks, etc. possession of large volume from the viewpoint that the status of stocks, etc. possession of large volume is critical to investors in terms of supply and demand in market and influence on management. This system obliges a person who holds stocks, etc. of any stock-listed corporation exceeding 5% of the total number of stocks, etc. to submit a ‘report of possession of large volume’ indicating the holding ratio, the purpose of holding, matters on funds for acquisition; and to offer it for public inspection. It has great significance in that it discloses information on a change in the control of a stock-listed corporation, etc., information that may affect management, or information on supply and demand in the market, from the perspective of securing the soundness of capital market and protecting investors. Recently, Japan revised matters on this system including ‘own stocks’, ‘descriptions in the case that the submitter is an individual’, ‘applicable scope and descriptions’ of a report on short-term possession of large volume, ‘obligation to simultaneously submit’ a report on change, ‘methods of notification’ to the corporation issuing a report of possession of large volume, and ‘a period of public inspection’ of a corrective report; and has their enforcement ahead. This paper will sum up the system of report of possession of large volume under the Act on Sales of Financial Products in Japan, examine trends of the recent revision, and review implications for Korea’s Financial Investment Services and Capital Markets Act.