• 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.

• 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.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.11
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• pp.95-100
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• 2020

Nifty Bank Index has started trading in futures and options (F&O) segment from 13^th June 2005 in National Stock Exchange. The purpose of the study is to enhance the literature by examining expiration effect on the price volatility and price reversal of Underlying Index in India. Historical data used for the current study primarily comprise of daily close prices of Nifty Bank which is the only equity sectoral index in India which is traded in derivatives market and its Future contract value is derived from the underlying CNX Bank Index during the period 1^st January 2010 till 31^st March 2020. To check stationarity of the data, Augmented Dicky Fuller test was used. The study employed ARMA- EGARCH model for analysing the data. The empirical results revealed that there is no effect on the mean returns of underlying Index and EGARCH (1,1) model furthermore shows there is existence of leverage effect in the Bank Index i.e., negative shocks causes more fluctuations in the Index than positive news of similar magnitude. The outcome of the study specifies that there is no effect on volatility on the underlying sectoral index due to expiration days and also observed no price reversal effect once the expiration days are over.

• Journal of the Korea Society of Computer and Information
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• v.7 no.2
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• pp.196-204
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• 2002

This paper examines the price discovery role of the KOSPI 200 futures index for its cash index. It was used the intrady data for KOSPI 200 and futures index from July 1998 to June 2001. The existing Preceding study for KOSPI 200 futures index was used the data of early market installation, but this study is distinguished to use a recent data accompanied with the great volume of transaction and various investors. We established three hypothesis to examine whether there is the price discovery role in the KOPSI 200 futures index and the characteristics of that. First, to examine whether the lead-lag relation is induced by the infrequent trading of component stocks, observations are sorted by the size of the trading volume of cash index. In a low trading volume, the long lead time is reported and the short lead time in a high volume. It is explained that the infrequent trading effect have an influence on the price discovery role. Second, to examine whether the lead-lag relation is different under bad news and good news, observations are sorted by the sign and size of cash index returns. In a bad news the long lead time is reported and the short lead time in a good news. This is explained by the restriction of"short selling" of the cash index Third, we compared estimates of the lead and lag relationships on the expiration day with those on days prior to expiration using a minute-to-minute data. The futures-to-spot lead time on the expiration day was at least as long as other days Prior to expiration, suggesting that "expiration day effects" did not demonstrate a temporal character substantially different form earlier days. Thus, while arbitrage activity may be presumed to be the greatest at expiration, such arbitrage transactions were not sufficiently strong or Pervasive to alter the empirical price relationship for the entire day. for the entire day.

• The Korean Journal of Financial Management
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• v.25 no.2
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• pp.165-190
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• 2008

The degree of informational asymmetry relating to the expiration of index derivatives is usually increased as an expiration day of index derivatives approaches. The increase in the degree of informational asymmetry may have some effects on trading behavior of investors. To examine what the effects look like, 'life cycle of index derivatives' in this study is defined as three adjacent periods around expiration day: pre-expiration period(a week before the expiration day), post-expiration period(a week after the expiration day), and remaining period. It is inspected whether stock investor's trading behavior is changed according to the life cycle of KOSPI200 derivatives and what the reason of the changing behavior is. We have four results. First, trading behavior of each investor group is categorized into three patterns: ㄱ-pattern, L-pattern and U-pattern. The level of trading activity is low for pre-expiration period and normal for other periods in the ㄱ-pattern. L-pattern means that the level of trading activity is high for post-expiration period and normal for other periods. In the U-pattern, the trading activity is reduced for remaining period compared to other periods. Second, individual investors have ㄱ-pattern of trading large stocks according to the life cycle of KOSPI200 index futures while they show U-pattern according to the life cycle of KOSPI200 index options. Their trading behavior is consistent with the prediction of Foster and Viswanathan(1990)'s model for strategic liquidity investors. Third, trading pattern of foreign investors in relation to life cycle of index derivatives is partially explained by the model, but trading pattern of institutional investors has nothing to do with the predictions of the model.

• Physical Therapy Korea
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• v.16 no.1
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• pp.10-17
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• 2009

The aim of this study was to investigate the effect of abdominal drawing-in maneuver (ADIM) on peak exploratory flow (PEF), forced exploratory volume in 1 second ($FEV_1$), and low back pain during forced expiration. Twenty-two subjects (14 subjects in experimental group, 8 subjects in control group) participated in this study. The stabilizer was used for ADIM training for five consecutive days. Vitalograph PEF/$FEV_1$ DIARY and visual analogue scale (VAS) were used to determine forced expiratory pulmonary function and low back pain, respectively. Independent t-test and analysis of covariance were used for statistical analysis with a significance level of .05. The findings of this study were as follows: 1) There were no significant differences of ADIM effect on PEF and $FEV_1$ between experimental group and control group. 2) There was a significant pain reduction in experimental group with ADIM. 3) PEF and $FEV_1$ increased significantly in the fifth day compared with the first day pre-exercise baseline. Therefore, it is concluded that ADIM was effective in improving PEF and $FEV_1$, and reducing VAS during forced expiration in patients with chronic low back pain.

• The Journal of Asian Finance, Economics and Business
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• v.6 no.4
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• pp.297-307
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• 2019

Despite the fact that the implementation of 5% rule is widely recognized to enhance the transparency of capital market and fairness of corporate governance market, a few evidences present information effect of 5% rule. Using 7,088 non-financial firm-year observations listed on the Korea Stock Exchange from 2006 to 2012, we analyze the relation between trading volume and 5% rule disclosure. The results show that the daily and abnormal trading volume is increased when 5% rule disclosure is released. Moreover, the trading volume is significantly increased during cooling period. Specifically, trading volume is significantly greater when one day before cooling period or the expiration day of cooling period. We also find the information effect of firms with stable ownership structure before 5% rule disclosure is relatively smaller than the firms with unstable ownership structure with unstable ownership structure. These results imply that capital market participants use the information from 5% rule disclosure and reflect in their real economic decision.

• Korean journal of food and cookery science
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• v.24 no.6
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• pp.919-930
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• 2008

This study was conducted to survey the attitudes of oyster consumers and to analyze their purchase behaviors based on demographic variables. To accomplish this, a questionnaire that was developed based on content analysis and panel discussion was distributed to 467 general consumers. The majority of the respondents ate oysters (90.6%), although the proportion of oyster consumers increased with age. The primary reasons for not-eating oysters were odor (33.3%), flavor (16.7%) and concern for safety (11.9%). Most respondents consumed raw oysters (96.1%) during winter (70.0%) at discount stores (51.3%). Fishery wholesale markets were the most common places to purchase oysters for respondents in their 60 s, while the other groups reported that discount stores were the most common place to purchase oysters. Most respondents ate oysters the day of purchased (53.2%). Furthermore, most respondents (39.2%) reported that they consumed the oysters only after evaluating the appearance and odor and that they avoided oysters during summer for safety. Women were more likely to check the expiration date than men, while housewives were the most likely to check the expiration and usually kept the oysters at refrigerator. Overall, the results of this study suggest that the various types of oyster products must be targeted toward different demographic markets. Moreover, this study will be useful for promoting the safer and more effective consumption of oysters.

• PNF and Movement
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• v.17 no.2
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• pp.321-327
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• 2019

Purpose: This study aimed to investigate the effects of the crocodile breathing exercise on the muscle activity of the erector spinae muscle in patients with low back pain. Methods: The study subjects included 36 patients with low back pain. The patients were divided equally into the experimental group (EG) and the control group (CG). The EG performed the crocodile breathing exercise, and the CG performed a chest expansion breathing exercise. The intervention was conducted for 10 minutes each day for a total of eight weeks. Measurements of muscle activity were conducted using an MP150 system. An electrode was attached 2 cm to the side of the spinous process at the L4-L5 level. The muscle activity value used was %MVIC, and the statistical significance was 0.05. The paired t-test was the statistical method used to determine the pre- and post-average value of each breathing exercise, while the independent t-test was used to assess the delta value of muscle activity in the pre-post test. Results: Inspiration muscle activity showed a significant increase in both the EG and the CG, while expiration muscle activity decreased significantly in both groups. The delta value of muscle activity showed a significant difference in inspiration (p<0.05), but for expiration, there was no significant difference in muscle activity (p>0.05). Conclusion: This study suggests that crocodile breathing is a good method for improving muscle activity in patients with low back pain.

• Journal of the Ergonomics Society of Korea
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• v.4 no.2
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• pp.17-24
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• 1985

To compare heart rate, $O_2$ uptake, $Vo_2$ ($O_2$ consumption), blood pressure (systolic, diastolic), reaction time, stability, flicker fusion value during 4 load levels with Rs (self-paced respiration) and Rp (paced respiration), 4 subjects participated in this experiment 1 hour/day, 6 days/week for 9 weeks. The cycle of Rp is 6 sec. (inspiration: 3 sec. & expiration: 3 sec.) Implications of the results are discussed in terms of the change in the physiological responses and human performance by the respiratory pattern. The results are as follows, 1. The changing magnitude of heart rate with Rp was larger than with Rs and the variance during load level 4 was significant. 2. The $Vo_2$ with Rp was smaller than with Rs and maximal $O_2$ uptake given load levels with Rp occurred and for two subjects, it significantly moved from low load level to high load level. 3. The changing magnitude of blood pressure was not consistent but the systolic pressure with Rp was smaller at rest than with Rs. 4. The score of reaction time test and stability test with Rp was better than with Rs.