• Communications for Statistical Applications and Methods
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• v.16 no.2
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• pp.249-264
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• 2009

Equity-indexed annuities(EIAs) provide their customers with the greater of either the return linked to the underlying index or the minimum guaranteed return. Insurance companies have developed EIAs to attract customers reluctant to buy traditional fixed annuities because of low returns and also reluctant to buy mutual funds for fear of the high volatility in the stock market. This paper proposes a new type of EIA embedded with an outside barrier option with flexible monitoring period in order to increase its participation rate. It also derives an explicit pricing formula for this proposed product, and discusses numerical examples to show relationships among participation rate, barrier level, index volatility and correlation.

• Journal of the Korean Data and Information Science Society
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• v.24 no.1
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• pp.135-150
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• 2013

This study proposes a novel option strategy by using characteristic of volatility reversion and rough set algorithm in options market. Until now, various research has been conducted on stock and future markets, but minimal research has been done in options market. Particularly, research on the option trading strategy using high frequency data is limited. This study consists of two purposes. The first is to enjoy a profit using volatility reversion model when volatility gap is occurred. The second is to pursue a more stable profit by filtering inaccurate entry point through rough set algorithm. Since options market is affected by various elements like underlying assets, volatility and interest rate, the point of this study is to hedge elements except volatility and enjoy the profit following the volatility gap.

• Proceedings of the KIEE Conference
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• 2011.07a
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• pp.598-599
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• 2011

Cap and Trade 제도 하에서 발전사업자는 탄소배출권 가격의 불확실성이라는 새로운 위험에 노출이 된다. 따라서 발전사업자가 전일 셀프스케쥴링을 실시함에 있어 전력 가격의 불확실성 뿐 아니라 탄소배출권 가격의 불확실성 또한 고려할 필요가 있다. 이에 본 논문에서는 전력 가격과 탄소 배출권 가격의 불확실성을 모두 고려한 발전사업자의 전일 셀프스케쥴링 문제를 고려하였다. 탄소배출권 시장의 거래상당 부분이 발전사업자에 의해 이루어지므로 전력 가격과 탄소 배출권 가격의 상관관계를 고려하여 셀프스케쥴링 문제를 정식화 하였다. 셀프스케쥴링의 결과로 나온 발전사업자의 기대수익과 기대수익의 변동성은 발전사업자의 위험회피정도에 따라 달라짐을 확인할 수 있었다.

• 주택과사람들
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• s.201
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• pp.94-95
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• 2007

'1.11 부동산 대책'이후 아파트 가격이 본격적으로 하락할 조짐을 보이고 있다. 이미 강남, 서초 등 고급 아파트 밀집 지역을 중심으로 아파트 값이 내림세로 돌아섰다. 심지어 재건축 시장마저 지난 8월 넷째 주에 이어 5개월 만에 하락세를 나타냈다. 분양가 상한제 등 '1.11대책'으로 인해 수익성의 악화가 예상되는 1월 부동산 시장. 아파트 값과 재건축, 전세의 동향에 대해 살펴봤다.

• The Korean Journal of Applied Statistics
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• v.25 no.1
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• pp.15-27
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• 2012

We have studied the realized variance(RV) of intra-day returns and market microstructure noise based on high-frequency stock transaction data for the four largest companies in terms of market capitalization in the KOSPI. First, non-negligible biases are observed for the RV and for the bias-corrected realized variance($RV_{AC_1}$) which is constructed by adjusting RV for the first order autocorrelation in intra-day returns. Bias is more obvious for the RV and the $RV_{AC_1}$ when intra-day returns are sampled more frequently than every 2 minutes. Transaction Time Sampling(TTS) is shown to be better than Calendar Time Sampling(CTS) in terms of biases of the RV and the $RV_{AC_1}$ for the 4 companies. The analysis reveals that market microstructure noise is temporally dependent. Second, by using the Noise-to-Signal Ratio(NSR), we estimate sampling frequencies that are optimal in terms of the Mean Square Errors(MSE) of the RV and the $RV_{AC_1}$. The optimal sampling frequencies are around 200 for RV and is around 5000 for the $RV_{AC_1}$ for all the four stock prices. For the 6 hour transaction period of the Korean stock trading, these correspond to about 2 minutes and 6 seconds.

• International Area Studies Review
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• v.22 no.4
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• pp.3-18
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• 2018

In this study, I examined capital market shock reaction effects of 29 OECD countries with the past 24 years sample period consisting of daily stock market return using T-GARCH model focused on volatility feedback hypothesis. US daily stock market return is used as a unique independent variable in this model in consideration of its characteristics of biggest market share and as an origin country of Global Financial Crisis. As a result, France, Finland, and Mexico in order are shown to be the strongest countries in the aspect of return spillovers from US. Canada, Mexico, and France are shown to be the highest countries in the aspect of explanatory power of model. The degrees of shock reaction are proved to be higher in order in Germany, Chile, Switzerland, and Denmark and those of downside shock reaction are seen higher in order in Greece, Great Britain, Australia, and Japan. Canada and Mexico belonging to NAFTA are shown to be higher in the return spillover from US and in the model explanatory power, but they are shown to be lower in the impact of shock reaction, suggesting that regional distance effect or gravity theory cannot be applied to financial spillovers any longer. In the analysis of subsample period of Global Financial Crisis, north American three countries do not show any consistent results as in the full sample period but shock reaction in the European countries are shown to record stronger, suggesting that shocks from US in the Crisis Times are transferred mainly to European region.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.15 no.12
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• pp.7018-7024
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• 2014

This study examined the squared returns and absolute returns of KOSPI 200 with GPH (Geweke and Porter-Hudak, 1983) estimators. GPH was estimated by the long-term memory preserving time series parameter d in linear regression. This called the GPH estimator, which depends on a bandwidth m. m was decided by confirming the stable section of the point estimate by validating the track of the GPH estimator according to the value of m. The result suggests that by satisfying 0< d <0.5, the squared returns and absolute returns of KOPI 200 retains long-term memory.

• The Korean Journal of Financial Studies
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• v.3 no.2
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• pp.51-66
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• 1996

금융가격별 지표의 변동성 증가에 대처하려는 보수적 투자가들이 이용할 수 있는 매력적 방안의 하나가 보험부 투자기법이다. 그러나 이 투자유형은 설계에 상당한 신축성을 보이며 이는 동시에 투자성과 구조의 신축성으로 반영된다. 주요한 설계차원의 하나가 위험투자의 손실발생시 보상차원이다. 여기에 일반적 보험개념을 적용할 때 투자가가 직면하는 선택문제의 하나는 부분보험계약형 투자설계시 공제부보험형 전략과 공동보험형 전략간의 선택이다. 일반적 보험 이론에서는 전자가 후자에 대해 우월한 유형이라는 것이 밝혀져 있다. 본 연구는 이를 보험부투자에 응용할 때도 양 전략간에 어떠한 우월관계가 존재하는 지 알아보려 시도했다. 이를 위해 효율성 평가기준의 하나인 간편한 확률적 지배기준을 적용하였으며 분석결과는 생산적이었다. 두 전략 각각의 기대수익률의 확률분포를 대상으로 기대수익률이 상대적으로 공제부보험형 전략에서 공동보험형 전략에서보다 상대적으로 높거나 최소한 같은 경우에 전자가 후자를 지배하며 그 반대조건인 경우에는 양 전략간에 우열관계가 나타나지 않는다는 결과를 얻었다.

• KDI Journal of Economic Policy
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• v.25 no.2
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• pp.137-170
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• 2003

Despite the great success of the derivatives market, several concerns were expressed regarding the additional volatilitystemming from program trading during the expiration of derivatives. This paper examines the impact of the expiration of the KOSPI 200 index derivatives on cash market of Korea Stock Exchange(KSE). The KOSPI 200 index derivatives market has a unique settlement price determination process. The settlement price for the expiration of derivatives is determined by call auction during the last 10 minutes after the trades for matured derivatives are finalized. We analyze typical expiration day effects such as price, volatility, and volume effects. With high frequency data, we find that there are strong expiration day effects in the KSE and try to interpret the results with the unique settlement procedures of the KOSPI 200 cash and derivatives markets.

• Management & Information Systems Review
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• v.38 no.4
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• pp.79-93
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• 2019

This study analyzed the information effect of KOSPI200 market and KOSPI200 futures market and volume synchronized probability of informed trading (VPIN). The data period is 760 days from July 8, 2015 to August 9, 2018, and the intraday trading data is used based on the trading period of the KOSPI 200 Index. The findings of the empirical analysis are as follows. First, as a result of regression analysis of the same parallax, when the level of VPIN is high, the return and volatility of KOSPI200 are high. Second, the KOSPI200 returns before and after the VPIN measurement and the return of the KOSPI200 future had a positive relationship with the VPIN. The cumulative returns of KOSPI200 futures were positive for about 15 minutes.Finally, we find that portfolios with high levels of VPIN showed high KOSPI200 and KOSPI200 futures return. These results confirmed the applicability of VPIN as a trading strategy index. The above results suggest that KOSPI200 and KOSPI200 futures markets will be able to explore volatility and price changes, and also be useful indicators of financial market risk.