• Title/Summary/Keyword: Patterns of Return

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The Price Dynamics in Futures and Option Markets - based on KOSPI200 stock index market - (주가지수선물가격과 옵션가격의 동적관련성에 관한 연구 - KOSPI 200 주가지수현물시장을 중심으로 -)

  • Seo, Sang-Gu
    • Management & Information Systems Review
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    • v.36 no.3
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    • pp.37-49
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    • 2017
  • This study investigates the dynamic relationship between KOSPI200 stock index and stock index futures and stock index option markets which is its derived from KOSPI200 stock index. We use 5-minutes rate of return data from 2012. 06 to 2014. 12. To empirical analysis, this study use autocorrelation and cross-correlation analysis as a preliminary analysis and then following Stoll and Whaley(1990) and Chan(1992), the multiple regression is estimated to examine the lead-lag patterns between the stock index and stock index futures and option markets by Newey and West's(1987) Empirical results of our study shows as follows. First, there exist a strong autocorrelation in the KOSPI200 stock index before 10minutes but a very weak autocorrelation in the stock index futures and option markets. Second, there is a strong evidence that stock index future and option markets lead KOSPI200 stock index in the cross-correlation analysis. Third, based on the multiple regression, the stock index futures and option markets lead the stock index prior to 10-15 minutes and weak evidence that the stock index leads the future and option markets. This results show that the market efficient of KOSPI200 stock index market is improved as compared to the early stage of stock index future and option market.

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The Patterns of Change in Arterial Oxygen Saturation and Heart Rate and Their Related Factors during Voluntary Breath holding and Rebreathing (자발적 호흡정지 및 재개시 동맥혈 산소포화도와 심박수의 변동양상과 이에 영향을 미치는 인자)

  • Lim, Chae-Man;Kim, Woo-Sung;Choi, Kang-Hyun;Koh, Youn-Suck;Kim, Dong-Soon;Kim, Won-Dong
    • Tuberculosis and Respiratory Diseases
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    • v.41 no.4
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    • pp.379-388
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    • 1994
  • Background : In sleep apnea syndrome, arterial oxygen saturation($SaO_2$) decreases at a variable rate and to a variable degree for a given apneic period from patient to patient, and various kinds of cardiac arrythmia are known to occur. Factors supposed to affect arterial oxygen desaturation during apnea are duration of apnea, lung voulume at which apnea occurs, and oxygen consumption rate of the subject. The lung serves as preferential oxygen source during apnea, and there have been many reports related with the influence of lung volume on $SaO_2$ during apnea, but there are few, if any, studies about the influence of oxygen consumption rate of an individual on $SaO_2$ during breath holding or about the profile of arterial oxygen resaturation after breathing resumed. Methods : To investigate the changes of $SaO_2$ and heart rate(HR) during breath holding(BH) and rebreathing(RB) and to evaluate the physiologic factors responsible for the changes, lung volume measurements, and arterial blood gas analyses were performed in 17 healthy subjects. Nasal airflow by thermistor, $SaO_2$ by pulse oxymeter and ECG tracing were recorded on Polygraph(TA 4000, Gould, U.S.A.) during voluntary BH & RB at total lung capacity(TLC), at functional residual capacity(FRC) and at residual volume(RV), respectively, for the study subjects. Each subject's basal metabolic rate(BMR) was assumed on Harris-Benedict equation. Results: The time needed for $SaO_2$ to drop 2% from the basal level during breath holding(T2%) were $70.1{\pm}14.2$ sec(mean${\pm}$standard deviation) at TLC, $44.0{\pm}11.6$ sec at FRC, and $33.2{\pm}11.1$ sec at RV(TLC vs. FRC, p<0.05; FRC vs. RV, p<0.05). On rebreathing after $SaO_2$ decreased 2%, further decrement in $SaO_2$ was observed and it was significantly greater at RV($4.3{\pm}2.1%$) than at TLC($1.4{\pm}1.0%$)(p<0.05) or at FRC($1.9{\pm}1.4%$)(p<0.05). The time required for $SaO_2$ to return to the basal level after RB(Tr) at TLC was not significantly different from those at FRC or at RV. T2% had no significant correlation either with lung volumes or with BMR respectively. On the other hand, T2% had significant correlation with TLC/BMR(r=0.693, p<0.01) and FRC/BMR (r=0.615, p<0.025) but not with RV/BMR(r=0.227, p>0.05). The differences between maximal and minimal HR(${\Delta}HR$) during the BH-RB manuever were $27.5{\pm}9.2/min$ at TLC, $26.4{\pm}14.0/min$ at RV, and $19.1{\pm}6.0/min$ at FRC which was significantly smaller than those at TLC(p<0.05) or at RV(p<0.05). The mean difference of 5 p-p intervals before and after RB were $0.8{\pm}0.10$ sec and $0.72{\pm}0.09$ sec at TLC(p<0.001), $0.82{\pm}0.11$ sec and $0.73{\pm}0.09$ sec at FRC(p<0.025), and $0.77{\pm}0.09$ sec and $0.72{\pm}0.09$ sec at RV(p<0.05). Conclusion Healthy subjects showed arterial desaturation of various rates and extent during breath holding at different lung volumes. When breath held at lung volume greater than FRC, the rate of arterial desaturation significantly correlated with lung volume/basal metabolic rate, but when breath held at RV, the rate of arterial desaturation did not correlate linearly with RV/BMR. Sinus arrythmias occurred during breath holding and rebreathing manuever irrespective of the size of the lung volume at which breath holding started, and the amount of change was smallest when breath held at FRC and the change in vagal tone induced by alteration in respiratory movement might be the major responsible factor for the sinus arrythmia.

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