• Journal of Korea Society of Industrial Information Systems
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• v.18 no.1
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• pp.81-89
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• 2013

The purpose of this study is to analyze the information effect about the pricing using the ETF price, the benchmark index, and the total tracking error between the ETF price and the benchmark index on the index ETF market and sector ETF markets. Furthermore, the total tracking error is distinguished between the market tracking error and the NAV tracking error. Summary of this study are as follows: First, While KODEX200 don't have impact factors on the price, the most sectors of ETF have the factors affecting the pricing decision. They are the day before the total tracking error or market tracking error. Second, for the ETF price of the most industry, we find that the day before the market tracking error have the price discovery function because it is a negative(-) coefficients. But NAV tracking error could not find such a feature. Finally, the sector ETF price of energy chemical, construction, IT, and semiconductor industries affected of the day before positive(+) impact by the benchmark index price.

• Journal of Environmental Policy
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• v.14 no.3
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• pp.41-73
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• 2015

The Korea Emissions Trading System that was launched in Jan. 2015 is expected to be a crucial policy measure to abate domestic $CO_2$ emission. For accomplishing its purpose, prior information on the price discovery process needs to be presented in order to facilitate the trading of spot allowances with different vintages. We develope a customized pricing method for Korean ETS using the concept of term structure and the cost of carry model.

• Proceedings of the Korean Fiber Society Conference
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• 1998.10a
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• pp.57-60
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• 1998

전도성 고분자들은 그 도전성과 제전성에 주목을 받아 다양한 공액계에 유래하는 많은 기능이 발견되면서 가공성과 안정성이 개선된 새로운 폴리머가 출현되어 다양한 용도 전개가 실현되고 있다. 특히 전도성을 지닌 의류소재 개발을 위한 다양한 고분자들 중 최근 합성이 쉽고 가격이 싸며 우수한 전도도와 물성을 부여하는 Polyaniline에 관한 관심이 집중되고 있어 이에 관한 활발한 응용 연구가 진행되고 있다. (중략)

• The Korean Journal of Financial Management
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• v.21 no.2
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• pp.125-151
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• 2004

This study tests the price discovery from US Treasury bond markets to Korean bond markets using the daily returns of Korean bond data (CD, 3-year T-note, 5-year T-note, 5-year corporate note) and US treasury bond markets (3-month T-bill, 5-year T-note 10-year T-bond) from July 1, 1998 to December 31, 2003. For further research, we divide full data into two sub-samples on the basis of the start-up of bond valuation system in Korean bond market July 1, 2000, employing uni-variate AR(1)-GARCH(1,1)-M model. The main results are as follows. First the volatility spillover effects from US Treasury bond markets (3-month T-bill, 5-year T-note, 10-year T-bond) to Korean Treasury and Corporate bond markets (CD, 3-year T-note, 5-year T-note, 5-year corporate note) are significantly found at 1% confidence level. Second, the price discovery function from US bond markets to Korean bond markets in the sub-data of the pre-bond valuation system exists much stronger and more persistent than those of the post-bond valuation system. In particular, the role of 10-year T-bond compared with 3-month T-bill and 5-year T-note is outstanding. We imply these findings result from the international capital market integration which is accelerated by the broad opening of Korean capital market after 1997 Korean currency crisis and the development of telecommunication skill. In addition, these results are meaningful for bond investors who are in charge of capital asset pricing valuation, risk management, and international portfolio management.

• The Korean Journal of Financial Management
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• v.27 no.1
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• pp.1-30
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• 2010

This paper tested the lead-lag relationship as well as the symmetric and asymmetric volatility spillover effects between international currency futures markets and cash markets. We use five kinds of currency spot and futures markets such as British pound, Australian and Canadian dollar, Brasilian Real and won/dollar spot and futures markets. daily closing prices covering from September 15, 2003 to July 30, 2009. For this purpose we employed dynamic time series models such as the Granger causality based on VAR and time-varying MA(1)-GJR-GARCH(1, 1)-M. The main empirical results are as follows; First, according to Granger causality test, we find that the bilateral lead-lag relationship between the five countries' currency spot and futures market. The price discover effect from currency futures markets to spot market is relatively stronger than that from currency spot to futures markets. Second, based on the time varying GARCH model, we find that there is a bilateral conditional mean spillover effects between the five currency spot and futures markets. Third, we also find that there is a bilateral asymmetric volatility spillover effects between British pound, Canadian dollar, Brasilian Real and won/dollar spot and futures market. However there is a unilateral asymmetric volatility spillover effect from Australian dollar futures to cash market, not vice versa. From these empirical results we infer that most of currency futures markets have a much better price discovery function than currency cash market and are inefficient to the information.

• The Journal of Fisheries Business Administration
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• v.37 no.1 s.70
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• pp.95-110
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• 2006

Japan's frozen shrimp future market is the only fisheries future commodity market in the world. This empirical study examines the lead and lag relationship between Japan frozen shrimp spot and future markets using the daily prices from August 1, 2002 to December 31, 2005. Frozen shrimp future contract is listed on Japan Kansai Commodities Exchange. Japan imports approximately 250,000 tons of frozen shrimp annually, of which just under 70,000 tons, nearly 30%, are black tiger shrimp. Approximately 90% of black tiger shrimp are caught in Indonesia, India, Thailand and Vietnam, and the two largest consumers of these shrimp are Japan and the U.S.A. Kansai Commodities Exchange adopts the India black tiger shrimp as standard future commodity. We use unit root test, Johansen cointegration test, Granger causality test, Vector autoregressive analysis and Impulse response analysis. However, considering the long - term relationships between the level variables of frozen shrimp spot and futures, we introduced Vector Error Correction Model. We find that the price change of frozen shrimp futures with next 1, 2, 3, 4, 5 month maturity have a strong predictive power to the change of frozen shrimp spot and the change of frozen shrimp spot also have a predictive power to the change of frozen shrimp with next 1, 2, 3 month maturity. But, the explanatory power of the frozen shrimp futures is relatively greater than that of frozen shrimp spot.

• Korean journal of communication and information
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• v.68
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• pp.7-33
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• 2014

Using data from an online survey in Korea, this study examines factors affecting college students' intention to use wearable device based on an extended Unified Theory of Acceptance and Use Technology (UTAUT) (UTAUT2 Model). The results of the regression analysis suggest that performance expectancy, social influence, and facilitating conditions from original UTAUT are statistically significant variables to explain college students' intention to use wearable device. Also, the results of the data analysis reveal that added factors from UTAUT2 like hedonic motivation and price value are influential factors to explain intention to use wearable device. In addition, this study suggests that future studies need to test the UTAUT2 model in the context of new information and communication technologies.

• Proceedings of the KIEE Conference
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• 2009.07a
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• pp.529_530
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• 2009

전통적인 굴뚝산업으로 대표되는 전력산업에서 경쟁과 효율에 입각한 시장경제 지향의 전력산업구조를 선택하게 되는 배경에는 디지털경제 시대의 도래에 따른 정보통신기술의 비약적인 발전과 인터넷을 이용한 e-Business가 전력거래 업무의 주된 흐름으로 정착되고, 효율적인 발전기술의 등장으로 전력산업에 경쟁적인 거래구조의 도입이 가능하기 때문이다. 본 연구에서는 전기에너지 전자상거래를 위한 통합된 포탈시스템(e-Marketplace)의 구축으로 전기에너지 전자상거래(e-Business)의 주요 기능에 부합되는 전력공급입찰, 전력시장가격 조회, 전력거래대금 청구 및 대금결제 서비스를 종합적으로 제공하는 전력거래 e-Marketplace를 구현할 수 있음을 제시하였으며, 전력거래 업무현장에 전기에너지 전자상거래(e-Business) 비즈니스 모델을 적용함으로써 e-비즈니스 전략에 맞는 인프라와 프로세스를 확보할 수 있고, e-비즈니스 추진결과에 따른 전력거래 고객만족도 향상, 비용절감 등 부가가치 증진 요소가 지속적으로 발견될 수 있음을 제시하였다.

• Management & Information Systems Review
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• v.36 no.3
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• pp.37-49
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• 2017

This study investigates the dynamic relationship between KOSPI200 stock index and stock index futures and stock index option markets which is its derived from KOSPI200 stock index. We use 5-minutes rate of return data from 2012. 06 to 2014. 12. To empirical analysis, this study use autocorrelation and cross-correlation analysis as a preliminary analysis and then following Stoll and Whaley(1990) and Chan(1992), the multiple regression is estimated to examine the lead-lag patterns between the stock index and stock index futures and option markets by Newey and West's(1987) Empirical results of our study shows as follows. First, there exist a strong autocorrelation in the KOSPI200 stock index before 10minutes but a very weak autocorrelation in the stock index futures and option markets. Second, there is a strong evidence that stock index future and option markets lead KOSPI200 stock index in the cross-correlation analysis. Third, based on the multiple regression, the stock index futures and option markets lead the stock index prior to 10-15 minutes and weak evidence that the stock index leads the future and option markets. This results show that the market efficient of KOSPI200 stock index market is improved as compared to the early stage of stock index future and option market.

• Information Systems Review
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• v.22 no.1
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• pp.91-111
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• 2020

E-book markets are currently moving through a period of disequilibrium as new pricing structures (i.e., flat-fee subscriptions) are rapidly embraced by major vendors. On the basis of a novel dataset, we investigate how the availability of "all-you-can-read" pricing programs influences consumers' tariff choice and contract renewal behaviors. Consistent with the rational choice framework, the findings suggest that most e-book consumers significantly gain from subscription-based tariffs. Power readers prefer flat-fee subscriptions, and those that have economically benefited renew their subscription. However, we also find some other intriguing results. Among the three subscription designs examined, the 1-week plan affords consumers more economic benefits than do 1-day or 1-month programs. Finally, iOS users are more inclined to select subscription models than are Android users because of the absence of in-app purchase functionalities for the former. The unavailability of in-app purchase affects tariff choices and transaction patterns as it increases transaction costs.