• The Korean Journal of Financial Management
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• v.23 no.1
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• pp.243-266
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• 2006

This paper tests cross hedging performance of the KOSPI 200 stock index futures to hedge the downside risk of the KOSPI, KOSPI 200 and KOSDAQ50 spot market. For this purpose we introduce the minimum variance hedge model, bivariate GARCH(1,1) and EGARCH(1,1) model as hedge models. The main results are as follows; First, we find that the direct hedge performance of KOSPI 200 index futures is better than those of indirect hedge performance. second, in case or cross hedge performance the hedge effect of KOSPI 200 stock index futures market against KOSPI 200 stock index spot market is relatively better than those of KOSPI 200 index futures against KOSPI and KOSDAQ spot position. Third, for the out-sample, hedging effectiveness of the risk-minimization with constant hedge ratios is higher than those of the time varying bivariate GARCH(1,1) and EGARCH(1,1) model. In conclusion, investors are encouraged to use simple risk-minimization model rather than the time varying hedge models like GARCH and EGARCH model to hedge the position of the Korean stock index cash markets.

• Journal of Korea Trade
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• v.26 no.3
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• pp.45-62
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• 2022

Purpose - Using unexpected changes in geopolitical tensions on the Korean peninsula as a quasi-natural experimental setting, we examine whether and how geopolitical risks travel across borders through firm-level imports and exports linkages. We also test whether the effects are driven by either imports or exports and assess whether firms can effectively hedge themselves against geopolitical risks. Design/methodology - We focus on a series of unanticipated geopolitical events taken place in Korea in 2018. Making use of the shocks to geopolitical climate, we identify five milestone events toward peace talks. We employ the event studies methodology. We examine heterogenous firm-level stock price reactions around key event dates depending on firms' exposure to geopolitical risks. As a measure of firms' exposure to geopolitical risks in Korea, we utilize a text-based measure of firm-level trade links. When a firm announces and discusses its purchase of inputs from Korea or sales of outputs to Korea in their annual disclosure filings, we define a firm to have a trade relationship with Korea and have exposure to Korean geopolitical risks. Similarly, we use a measure of a firm's hedging policies based on a firm's textual mention of the use of foreign exchange derivatives in their annual disclosure. Findings - We find that U.S. firms that have direct trade links to Korea gained significantly more value when the intensity of geopolitical risks drops compared to firms without such trade links to Korea. The effects are pronounced for firms purchasing inputs from or selling outputs to Korea. We find that the effectiveness of foreign exchange hedging against geopolitical risks is limited. Originality/value - We document the international transmission of geopolitical uncertainty through trade linkages. Export links as well as import links serve as important nexus of transmission of geopolitical risks across borders. Hedging strategies involving foreign-exchanges derivatives do not seem to insulate firms again geopolitical risks. With the recent movements of localization and reshuffling of the global value chain, our results suggest a significant impact of geopolitical risks in Korea on the construction of the global value chain.

• Food Science of Animal Resources
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• v.42 no.2
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• pp.280-294
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• 2022

This study aimed to evaluate the effectiveness of propolis extract as a natural preservative for livestock products in term of chemical and microbiological characteristics by meta-analysis. The stages carried out in this study were identification, selection, checking suitability, and the resulting selected articles were used in the meta-analysis. The selection results obtained a total of 22 selected journal articles consisting of 9 articles for analysis of the antimicrobial activity of propolis extract and 13 articles for analysis of the chemical and mirobiological characteristics of livestock products. The articles were obtained from electronic databases, namely Science Direct and Google Scholar. The model used in this study is the random-effect model involving two groups, control and experimental. Heterogeneity and effect size values were carried out in this study using Hedge's obtained through openMEE software. Forest plot tests and data validation on publication bias was obtained using Kendall's test throught JASP 0.14.1 software. The results showed that there is a significant relationship between propolis extract with the results of the antimicrobial activity (p<0.05). In addition, the results of the application of propolis extract on the livestock products for the test microbes and the value of thiobarbituric acid reactive substances (TBARs) showed significant results (p<0.05). Conclusion based on the random-effect model on the effectiveness of antimicrobial activity of propolis extract and their apllication as a natural preservative of the chemical and microbiological characteristics of livestock products is valid by Kendall's test (p>0.05). Propolis in this case effectively used as natural preservatives in livestock products.