한우는 언제 비쌀까?

• 영문명: On Which Day is Hanwoo the Most Expensive?
• 발행기관: 한국농식품정책학회
• 저자명: 김민경 김진년 조원주
• 간행물 정보: 『농업경영.정책연구』49권 4호, 641~658쪽, 전체 18쪽
• 주제분류: 자연과학 > 생활/식품과학
• 파일형태: PDF
• 발행일자: 2022.12.30

영문 초록

The objective of the study is to examine the structural characteristics of Hanwoo price volatility. GJR-GARCH is employed to analyze the asymmetric price volatility in response to good and bad news. And two competing hypotheses, mixed distribution hypotheses (MDH) and sequential information arrival hypothesis (SIAH), are utilized to test how information dissemination affects price volatility through trading volume. The results reveal that calendar effects exist in both the volatility and the rate of change in Hanwoo price. In particular, after the implementation of a five-day week, a decreasing rate of price is higher on Monday than on any other days of the week and Tuesday shows the highest price increasing rate. And also unlike the financial market, Hanwoo price exhibits a reverse leverage phenomenon in which price volatility decreases when bad news occurs. This asymmetry rapidly reduces the effect of short-term shock, but the shock persists for a long time.

목차

Ⅰ. 서 론

Ⅱ. 분석모형 및 자료

Ⅲ. 한우가격의 변동성 및 요일효과 검정 모형 추정결과

Ⅳ. 요약 및 결론

참고문헌

키워드

Hanwoo Price GJR-GARCH Mixed Distribution Hypothesis (MDH) Sequential Information Arrival Hypothesis (SIAH) Calendar Effect Five-day Week