• The Korean Journal of Financial Management
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• v.24 no.2
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• pp.41-79
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• 2007

This study examines the expiration-day effects of stock index futures and options in the Korean stock market. The so-called 'expiration-day effects', which are the abnormal stock price movements on derivatives expiration days, arise mainly from cash settlement. Index arbitragers have to bear the risk of their positions unless they liquidate their index stocks on the expiration day. If many arbitragers execute large buy or sell orders on the expiration day, abnormal trading volumes are likely to be observed. If a lot of arbitragers unwind positions in the same direction, temporary trading imbalances induce abnormal stock market volatility. By contrast, if some information arrives at market, the abnormal trading activity must be considered a normal process of price discovery. Stoll and Whaley(1987) investigated the aggregate price and volume effects of the S&P 500 index on the expiration day. In a related study, Stoll and Whaley(1990) found a similarity between the price behavior of stocks that are subject to program trading and of the stocks that are not. Thus far, there have been few studies about the expiration-day effects in the Korean stock market. While previous Korean studies use the KOSPI 200 index data, we analyze the price and trading volume behavior of individual stocks as well as the index. Analyzing individual stocks is important for two reasons. First, stock index is a market average. Consequently, it cannot reflect the behavior of many individual stocks. For example, if the expiration-day effects are mainly related to a specific group, it cannot be said that the expiration of derivatives itself destabilizes the stock market. Analyzing individual stocks enables us to investigate the scope of the expiration-day effects. Second, we can find the relationship between the firm characteristics and the expiration-day effects. For example, if the expiration-day effects exist in large stocks not belonging to the KOSPI 200 index, program trading may not be related to the expiration-day effects. The examination of individual stocks has led us to the cause of the expiration-day effects. Using the intraday data during the period May 3, 1996 through December 30, 2003, we first examine the price and volume effects of the KOSPI 200 and NON-KOSPI 200 index following the Stoll and Whaley(1987) methodology. We calculate the NON-KOSPI 200 index by using the returns and market capitalization of the KOSPI and KOSPI 200 index. In individual stocks, we divide KOSPI 200 stocks by size into three groups and match NON-KOSPI 200 stocks with KOSPI 200 stocks having the closest firm characteristics. We compare KOSPI 200 stocks with NON-KOSPI 200 stocks. To test whether the expiration-day effects are related to order imbalances or new information, we check price reversals on the next day. Finally, we perform a cross-sectional regression analysis to elaborate on the impact of the firm characteristics on price reversals. The main results seem to support the expiration-day effects, especially on stock index futures expiration days. The price behavior of stocks that are subject to program trading is shown to have price effects, abnormal return volatility, and large volumes during the last half hour of trading on the expiration day. Return reversals are also found in the KOSPI 200 index and stocks. However, there is no evidence of abnormal trading volume, or price reversals in the NON-KOSPI 200 index and stocks. The expiration-day effects are proportional to the size of stocks and the nearness to the settlement time. Since program trading is often said to be concentrated in high capitalization stocks, these results imply that the expiration-day effects seem to be associated with program trading and the settlement price determination procedure. In summary, the expiration-day effects in the Korean stock market do not exist in all stocks, but in large capitalization stocks belonging to the KOSPI 200 index. Additionally, the expiration-day effects in the Korean stock market are generally due, not to information, but to trading imbalances.

• Journal of the Korea Institute of Information Security & Cryptology
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• v.23 no.2
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• pp.329-337
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• 2013

Cyber threats of the ICS(Industrial Control System) has been researched on the level to the threat to the network service as well as a specific system, even if the extent of damage was not intended. Although some range of "security" just include the protection of systems against the deliberate attacks of terrorists or cyber hackers, often more damage is done by carelessness, and equipment failures than by those deliberate attacks. This paper presented a taxonomy for classifying all abnormal behaviors of ICS, including deliberate attacks, inadvertent mistakes, equipment failures, and software problems. The classification criteria of ICS abnormal behaviors was selected to highlight commonalities and important features of deliberate attacks as well as inadvertent actions.

• Journal of the Korean Ceramic Society
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• v.32 no.5
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• pp.567-574
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• 1995

The effect of MnO2 addition to 0.1mol% Sb2O3-doped BaTiO3 ceramics on microstructure and PTCR characteristics was studied. The PTCR characteristics was observed when 0.01 and 0.02 wt% MnO2 were added and sintered at 132$0^{\circ}C$ for 1 hour. The characteristics can be explained by the changes in the number and size of the abnormal grain growth due to the liquid phase during sintering. when the amount of MnO2 addition was 0.03 wt%, the sample showed NTCR characteristics with room-temperature resistivity over 109 Ωm regardless of the sintering temperature. This behavior can be described by the microstructure change due to the abnormal grain growth and charge compensation effect by MnO2 added. The room-temperature resistivity was increased as the amount of MnO2 was increased. And the specific resistivity ratio (pmax/pmin) showed maximum at 0.02wt% MnO2.

• Korean Journal of Materials Research
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• v.26 no.2
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• pp.90-94
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• 2016

In this study, to increase the strength and enhance the sintering property of $Al_2O_3$, $Y_2O_3$ and $La_2O_3$ were added; the effects of these additions on the sintering characteristics of $Al_2O_3$ were observed. Adding 1% of $Y_2O_3$ to $Al_2O_3$ repressed the development of abnormal particles and reduced the grain boundary migration of $Al_2O_3$, curbing pores to capture particles; as such, the material showed a fine microstructure. But, when over 2% of $Y_2O_3$ was added, the sintering property was reduced because of abnormal particle grain growth and pore formation in particles. Adding 1% of $Y_2O_3$ and $La_2O_3$ to $Al_2O_3$ led to the development of abnormal particles and formed pores in the particles; when over 3% of $La_2O_3$ was added, the sintering property was reduced because the shape of the $Al_2O_3$ particles changed to angled plates.

• The Transactions of the Korean Institute of Power Electronics
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• v.26 no.6
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• pp.390-396
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• 2021

Lithium-ion batteries have been designed and used as battery packs with series and parallel combinations that are suitable for use. However, due to its internal electrochemical properties, producing the battery's condition at the same value is impossible for individual cells. In addition, the management of characteristic deviations between individual cells is essential for the safe and efficient use of batteries as aging progresses with the use of batteries. In this work, we propose a method to manage deviation properties and detect abnormal behavior in the configuration of a combined battery pack of these multiple battery cells. The proposed method can separate and detect probabilistic low-frequency information according to statistical information based on Z-score. The verification of the proposed algorithm was validated using experimental results from 10S3P battery packs, and the implemented algorithm based on Z-score was validated as a way to effectively manage multiple individual cell information.

• Asia-Pacific Journal of Business
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• v.12 no.3
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• pp.37-50
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• 2021

Purpose - This study aimed to examine the behavior surrounding the Initial Public Offering (IPO) event of firms within the same conglomerate and the impact of under-pricing and Return on Equity(ROE) on a firm's abnormal stock returns. Design/methodology - This study collected data from 166 South Korean Chaebols, consisting of 355 firms distributed as 202 listed on Korea Composite Stock Price Index (KOSPI) and 153 firms listed on Korean Securities Dealers Automated Quotations (KOSDAQ) from 2000 to 2020. The Capital Asset Pricing Model (CAPM) and the multiple regression analysis were hired to analyze the data. Findings - First, we found an adverse price reaction of IPO listing in the same chaebol group, and firms with higher under-pricing affect other firms' stock prices more adversely within the conglomerate. Next, we explored a negatively significant relation between ROE and the chaebol firms' stock returns during IPO events. Research implications - The novelty of this study is there are not many empirical studies on the impact of IPO within a conglomerate. So, the findings of this study contribute to the literature for analyzing stock's abnormal returns within a conglomerate.

• Proceedings of the Korea Society of Environmental Toocicology Conference
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• 2003.05a
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• pp.156-157
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• 2003

The goal of this study is to develop a biomarker used in monitoring abnormal behaviors of Japanese medaka (Oryzias latipes) as a model organism caused by hazardous chemicals. Japanese medaka was treated under appropriate sublethal concentrations of copper and the fish were subjected to copper treatment after starvation for 48 hr. The untreated individuals showed common behavioral characteristics (i.e., smooth and linear movements with small curvatures) in the movement behaviors.

• Proceedings of the Korea Society of Environmental Toocicology Conference
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• 2003.05a
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• pp.158-159
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• 2003

Fluoranthene, a common polycyclicaromatic hydrocarbon (PAH), exhibits phototoxicity which may affect aquatic organisms. The eventual goal of this study is to develop a biomarker used in monitoring abnormal behaviors of Japanese medaka (Oryzias latipes) as a model organism caused by hazardous chemicals that are toxic and persistent in the ecosystem. In this study, we investigated neural toxicity of fluoranthene in Japanese medaka (Oryzias latipes) which was correlated with its behaviors.

• Journal of Korea Multimedia Society
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• v.20 no.2
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• pp.216-224
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• 2017

Abnormal situation caused by aggressive behavior of pigs adversely affects the growth of pigs, and comes with an economic loss in intensive pigsties. Therefore, IT-based video surveillance system is needed to monitor the abnormal situations in pigsty continuously in order to minimize the economic demage. Recently, some advances have been made in pig monitoring; however, detecting each pig is still challenging problem. In this paper, we propose a new color image-based monitoring system for the detection of the individual pig using a fast region-based convolution neural network with consideration of detecting touching pigs in a crowed pigsty. The experimental results with the color images obtained from a pig farm located in Sejong city illustrate the efficiency of the proposed method.

• Proceedings of the Korean Powder Metallurgy Institute Conference
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• 2006.09a
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• pp.336-337
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• 2006

During sintering of cemented carbides abnormal grain growth is often observed but cannot be understood from the classical LSW-theory. A model based on 2-D nucleation of new crystalline layers and a grain-size distribution function is formulated and the equations are solved numerically. Experimental studies and computer simulations show that the initial grain size distribution has a strong effect on the grain growth behavior. For example, a fine-grained powder can grow past a coarser powder.