• 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.

• Journal of the Korea Convergence Society
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• v.8 no.4
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• pp.19-24
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• 2017

The growing number of electronic financial transactions (e-banking) has entailed the rapid increase in security threats such as extortion and falsification of financial transaction data. Against such background, rigid security and countermeasures to hedge against such problems have risen as urgent tasks. Thus, this study aims to implement an improved case model by applying the Fraud Detection System (hereinafter, FDS) in a financial corporation 'A' using big data technique (e.g. the function to collect/store various types of typical/atypical financial transaction event data in real time regarding the external intrusion, outflow of internal data, and fraud financial transactions). As a result, There was reduction effect in terms of previous scenario detection target by minimizing false alarm via advanced scenario analysis. And further suggest the future direction of the enhanced FDS.

• The Korean Journal of Financial Management
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• v.21 no.2
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• pp.183-209
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• 2004

This paper uses both the bivariate GARCH type BEKK error correction model and Bivariate-AR(1)-Markov-Switching-VECM model to estimate the volatility, time-varying correlation and hedge ratio for the KTB spot and futures indexes, sampled daily over 1/4/2000-10/30/2003. This study suggests that the volatility regime has more significant influence on KTB markets than incline/decline regime does. The results support the importance of the bivariate model in stead of univariate model between KTB spot and futures markets, which may consider not only individual variance process but also covariance process at the same time.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.16 no.11
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• pp.7273-7284
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• 2015

The purpose of this study was to investigate the effect size of non-pharmacological intervention applied to patients with anxiety disorder and to provide information about evidence-based intervention. Twenty three studies were selected for meta-analysis through a systematic review of domestic studies. We searched journal articles published in Korea up to May, 2015 using the key words "Anxiety Disorders (MeSH)" and "Treatment or Intervention". Meta-analysis was performed using a random effects model, and the effect sizes on each of anxiety and depression were calculated. The effect size for anxiety of non-pharmacological intervention in this study was Hedges' g=1.693 (95% CI; 1.267-2.120), indicating a large effect size. The effect size for depression was Hedges's g=1.571 (95% CI; 0.481-2.661), indicating a large effect size. It is significant that this study systematically synthesized the study results for non-pharmacological intervention effects applied to patients with anxiety disorders in Korea. It also established a basis that can be applied to nursing intervention.

• Journal of the Korean Institute of Landscape Architecture
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• v.25 no.1
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• pp.47-61
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• 1997

This study was conducted to grasp the present condition of the name and the related text of the domestic laws (97 statutes, 1 examination, 1 guide, 3 ordinances, 1 leading case) in force which were connected with landscape plant and planting. Examining the general tree-planting system of America, the related foreign laws(1 constitution, 44 statutes, 31 ordinances, 6 leading cases) were arranged in the name and the text and classified by nations of regional groups and it was considered to the mutual relation with lots of laws which are scattered with the various laws. To examine the points at issue of the related domestic laws and to study the related foreign laws, the remedies for the domestic laws being at issue were proposed. That is : A change of the landscape planting concept, the introduction of the landscape planting cost compared with the total construction cost, the unification of the landscape planting ordinances as the unit of city, the clarification of the completion period for the depect of the replaced trees. putting the conservation and production of the top soil under an obligation the adoption of a licence system for the tree planting within the river area, the introduction of the allotment system for landscape architectural expenses, the encouragement of making a hedge, the settlement for the problems of the trees loss compensation, the necessity for the quality test to the landscape planting works, the intensification of the punitive rules to the illegal felling and planting of the trees in the greenzone area, the application of the Labor Standard Act to the landscape planting laborers. The laws relating to landscape plant and planting are prescribed dispersedly in the many other related laws and it is concluded to be impossible for the legislation of the singular law which is applied uniformly to the department of the tree-planting. Hereafter it should be required to analyze concretely in detail the each text of the related laws by means of the joint studies between the professional landscape architects and the lawyers.

• International Area Studies Review
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• v.14 no.3
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• pp.246-263
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• 2010

This study examines how the long-run relations between housing price and inflation in the United Sates have changed since the year of 2000. Johansen co-integration test, estimation of long-run equilibrium equation, and Granger causality tests are conducted, based on the VECM. Data covers the period from the first quarter of 1975 to the second quarter of 2010. I adopt the recursive estimation method in which the final period of the estimation is expanded by one quarter, starting from the first quarter of 2000. The empirical results are as follows: (1) In spite of the sharp increase of housing price, the long-run relationship of house prices and inflation has been remained stable until 2007, showing that house prices are a stable inflation hedge in the long run. (2) The housing price plunge since 1997 does not seem to be related to the restore of the long-run relationship between housing prices and inflation. (3) Granger causality test results support the hypothesis that inflation granger-causes housing prices with 10% significance level, but reject the hypothesis that housing price granger-causes inflation.

• Journal of Digital Convergence
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• v.19 no.2
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• pp.13-19
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• 2021

The purpose of this study is to find a reasonable solution that is compatible with the government's policy on calming the overheated housing market and the needs of prospective home buyers. For this purpose, this study analyzed the current state of the housing market and looked at the root cause of the people's desire to purchase housing. And this study suggested the need to introduce a super-long-term mortgage system that can help people choose whether to own or rent a house in accordance with individual preferences. The super-long-term mortgage system would be useful in that the majority of people who currently use mortgages prefer long-term loan products and that it could provide a chance to "get their own homes" by easing the monthly repayment burden for those who want to have homes. If the system is introduced in the future, it is necessary to make efforts for stable operation such as risk-hedge. In particular, the government should apply a limited application to end-users so that they can curb rising housing prices and contribute to stabilizing housing prices.

• Journal of Korea Trade
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• v.24 no.1
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• pp.1-34
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• 2020

Purpose - In this study, we investigate determinants of hedging with derivatives and its effect on firm value and firm risk for Korean firms. Design/methodology - To avoid the endogeneity problem pointed out in previous studies, we use a two-stage analysis by using gains and losses from derivatives as instrument variable for hedging with derivatives. Findings - Our analysis on the determinants of hedging shows that firms that are more leveraged and less profitable, and with more growth opportunities are likely to hedge through derivatives. Additionally, large firms, firms less diversified into industry, and firms more diversified geographically are likely to use derivatives. Our two-stage analysis shows that indicators of hedging with derivatives have an insignificant effect on firm value, and the indicator of futures/forwards use and of swaps use have significant negative effect on firm value. Whereas, the extent of hedging with derivatives has positive effect on firm value for all types of foreign currency derivatives, which suggests that moderately low hedgers use derivatives inefficiently, but extensive hedgers use derivatives properly. With regard to firm risk, hedging with derivatives increases market-based risk, but decreases accounting-based risk. Thus, we conclude that Korean firms use derivatives to manage operational volatility rather than to manage market risk, and accounting-based risk reduction through hedging is not directly translated into higher firm value. Originality/value - This is not the first study to investigate hedging behavior of Korean firms, but the sample period that that this study analyzed is the longest and various method are used to control the endogeneity problem. We investigate not only total foreign currency derivatives but also by types of derivatives, including futures/forwards, options, and swaps.

• 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.