• 한국IT서비스학회지
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• 제13권2호
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• pp.151-161
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• 2014

KOSPI 200 index options market has the highest trading volume in the global options markets. The risk and return structure of options contracts are very complex. Volatility complicates options trading because volatility plays a central role in options pricing process. This study develops a trading system for KOSPI 200 index options trading using KOSPI 200 volatility index. We design a database system to handle the complex options information such as price, volume, maturity, strike price, and volatility using Oracle DBMS. We then develop options trading strategies to test how the volatility index is related to the prices of complicated options trading strategies. Back test procedure is presented with PL/SQL of Oracle DBMS. We simulate the suggested trading system using historical data set of KOSPI 200 index options from December 2008 to April 2012.

• 자원ㆍ환경경제연구
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• 제30권4호
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• pp.535-555
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• 2021

본 연구는 국내 주식시장 변동성에 대한 국제유가의 영향을 실증적으로 분석한다. 분석을 위해 사용된 자료는 2015년 1월 2일부터 2021년 7월 30일까지 KOSPI 지수와 WTI 선물가격의 10분 주기 고빈도 자료이다. 이를 사용하기 위해서는 이질적 자기회귀(HAR) 모형을 사용하였다. 분석 모형에서는 고빈도 자료의 장점을 살려 국제유가의 영향을 수익률뿐 아니라 실현 변동성, 실현 왜도 및 첨도를 통해 확인한다. 추정에는 큰 왜도를 갖는 실현 변동성 분포를 감안하여 Box-Cox 변환을 적용하였다. 추정 결과, WTI 가격의 일간 수익률 변동은 KOSPI 수익률의 변동성에 통계적으로 유의한 양(+)의 영향을 미치는 것으로 나타났다. 하지만 WTI 수익률의 변동성, 왜도, 첨도는 KOSPI 수익률의 변동성에 영향을 주지 않는 것으로 나타났다. 이와 같은 결과는 KOSPI 수익률의 변동성이 거래 시간의 시차를 갖는 WTI 수익률의 일간 변화는 반영하지만 투자자의 일중 거래 행태까지는 반영하지 않기 때문으로 판단된다.

• 아태비즈니스연구
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• 제13권3호
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• pp.59-71
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• 2022

Purpose - We investigate how firms transfer financial risks to employees in a form of flexible employment contracts and layoffs. Design/methodology/approach - Based on the literature on the prevalence of shareholder value ideology and the associated 'risk shift', we examined how stock price volatility is associated with a firm's use and hiring of nonstandard employees, and the number of employees lay-offed. We test our hypotheses using a longitudinal, multi-source, dataset of Korean firms from 2003 to 2011. Findings - We found support for the relationship between stock price volatility and flexible employment contracts and layoffs after controlling for actual risks such as increased debt or decreased sales. However, we found that the relationship is moderated by the power of professional CEOs relative to that of shareholders, in that powerful CEOs are more likely to transfer the external risks, i.e. stock price volatility, to employees. Research implications or Originality - This study contributes the emerging stream of literature that explore the effect of stock market pressures and governance structures on human resource management.

• 유통과학연구
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• 제12권3호
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• pp.75-83
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• 2014

Purpose - The oil price affects company value, which is the present value of the expected cash flow, by affecting the discount rate and cash flow. This study examines the nonlinear relationships between oil price and stock price using the AlphaShares Chinese Volatility Index as the threshold. Research design, data, and methodology - Data comprise daily closing values of the Shanghai Stock Exchange Composite Index, Shenzhen Stock Exchange Composite Index, and Hang Seng Index of ChinaWest Texas Intermediate crude oil spot price and AlphaShares Chinese Volatility Index from May 25, 2007 to May 24, 2012. The Threshold Error Correction Model is used. Results - The results demonstrate different relationships between the stock price index and oil price under different investor sentiments; however, the stock price index and oil price could adjust to a long-term equilibrium the long-term causality tests between them were all significant. Conclusions - The relationship between the WTI and HANG SENG Index is more significant than the Shanghai Composites Index and Shenzhen Composite Index, when using the AlphaShares Chinese Volatility Index (ASC-VIX) as the investor sentiment variable and threshold.

• 유통과학연구
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• 제13권11호
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• pp.39-46
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• 2015

Purpose - In Korea, there has been a recent trend that shows housing prices have risen rapidly following the International Monetary Fund crisis. The rapid rise in housing prices is spreading recognition of this as a factor in housing price volatility. In addition, this raises the expectations of housing prices in the future. These expectations are based on the assumption that a relationship exists between the current housing prices and expected housing prices in the real estate industry. By performing an empirical analysis on the validity of the claim that an increase in current housing prices can be correlated with expected housing prices, this study examines whether a long-term equilibrium relationship exists between expected housing prices and existing housing prices. If such a relationship exists, the recovery of equilibrium from disequilibrium is analyzed to derive related implications. Research design, data, and methodology - The relationship between current housing prices and expected housing prices was analyzed empirically using the Vector Error Correction Model. This model was applied to the co-integration test, the long-term equilibrium equation among variables, and the causality test. The housing prices used in the analysis were based on the National Housing Price Trend Survey released by Kookmin Bank. Additionally, the Index of Industrial Product and the Consumer Price Index were also used and were obtained from the Bank of Korea ECOS. The monthly data analyzed were from January 1987 to May 2015. Results - First, a long-term equilibrium relationship was established as one co-integration between current housing price distribution and expected housing prices. Second, the sign of the long-term equilibrium relationship variable was consistent with the theoretical sign, with the elasticity of housing price distribution to expected housing price, the industrial production, and the consumer price volatility revealed as 1.600, 0.104,and 0.092, respectively. This implies that the long-term effect of expected housing price volatility on housing price distribution is more significant than that of the industrial production and consumer price volatility. Third, the sign of the coefficient of the error correction term coincided with the theoretical sign. The absolute value of the coefficient of the correction term in the industrial production equation was 0.006, significantly larger than the coefficients for the expected housing price and the consumer price equation. In case of divergence from the long-term equilibrium relationship, the state of equilibrium will be restored through changes in the interest rate. Fourth, housing-price volatility was found to be causal to expected housing price, and was shown to be bi-directionally causal to industrial production. Conclusions - Based on the finding of this study, it is required to relieve the association between current housing price distribution and expected housing price by using property taxes and the loan-to-value policy to stabilize the housing market. Further, the relationship between housing price distribution and expected housing price can be examined and tested using a sophisticated methodology and policy variables.

• Management Science and Financial Engineering
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• 제20권1호
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• pp.21-26
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• 2014

A lot of researches have been conducted to estimate the volatility smile effect shown in the option market. This paper proposes a method to approximate an implied volatility function, given noisy real market option data. To construct an implied volatility function, we use Gaussian Processes (GPs). Their output values are implied volatilities while moneyness values (the ratios of strike price to underlying asset price) and time to maturities are as their input values. To show the performances of our proposed method, we conduct experimental simulations with Korean Equity-Linked Warrant (ELW) market data as well as toy data.

• 대한지리학회지
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• 제43권3호
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• pp.392-411
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• 2008

투기가 발생할 가능성이 높은 지역은 일정지역 내의 대다수 경제주체가 적응적 소유자와 수요자일 때 형성된다. 이 지역의 가격변동은 타 지역에 비해서 가격상승 폭이 크고, 개별 부동산들의 주변 부동산들과 가격변동의 방향이 동질적인 특성을 가진 가격변동 핫스팟 패턴을 형성한다. 본 연구의 목적은 투기과열지역을 정량적으로 탐색하기 위한 가격변동 핫스팟 탐색법을 개발하는 것이다. 가격변동 핫스팟 탐색법은 크게 2단계로 구성된다. 첫째 단계는 정규모형의 공간스캔통계량을 이용하여 타 지역에 비해 높은 가격상승이 이루어진 공간클러스터를 탐색한다. 둘째 단계는 국지 모란 I를 이용하여 공간클러스터 내의 개별부동산들이 그 주변 부동산과의 가격변동 방향이 동질적인가, 즉 공간연관성을 가지는가를 평가한다. 개발된 방법을 공간적으로는 참여정부에서 부동산 문제의 중심으로 알려진 서울시 강남 서초 송파구에 적용하였고, 시간적으로는 참여정부 주요 부동산 대책의 하나인 10.20 대책을 전후로 한 2해3년 8,9,10,11월의 가격변동 자료에 적용하였다. 10.29 대책발표 전인 8,9월에는 개포동을 중심으로 가격변동 핫스팟이 발견되었고, 10월은 10.29 대책에 의해서 소강상태를 보이다가 11월에는 가격변동 콜드스팟이 발견되었다. 이 결과는 제안된 방법이 기존 단순 시각화만을 통해서 탐색할 수 없었던 투기과열지역을 정량적 방법을 통해서 시공간적으로 탐색할 수 있음을 보여준다.

• 한국산학기술학회논문지
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• 제15권10호
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• pp.6084-6091
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• 2014

본 논문은 변동성 비대칭 모형인 GJR GARCH 모형을 이용하여, 수산물 시장에서의 가격변동성과 거래량간의 실증분석을 수행하였다. 실증분석을 위한 연구는 제주지역에서 양식 생산되고 있는 넙치를 분석대상으로 하였다. 주요 연구결과로, 우선 기존의 연구결과와 유사하게 본 연구에서도 양식넙치의 가격변동성에 대한 "변동성 군집(volatility clustering)" 현상이 나타나고 있음을 보였다. 다음으로 양식넙치의 거래량과 가격간에 유의적인 음(-)의 관계가 나타나 일반적인 공급의 법칙이 성립되고 있음을 증명하였다. 마지막으로는 양식넙치의 가격변동성이 거래량의 변동성에 비대칭적으로 반응함으로써 거래물량을 인위적으로 조절할 수 있는 정부정책(비축사업, 수급안정화사업 등)의 유용성을 결론으로 제시하였다.

• The Journal of Asian Finance, Economics and Business
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• 제7권8호
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• pp.143-150
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• 2020

This study aims to investigate the effect of oil price and exchange rate on the two Vietnamese stock market indices: VN index and HXN index. This study uses the daily data from August 1^st 2000 to October 25^th 2019 of the two Vietnamese stock indices: VN index and HNX index, the two oil price indices: BRENT and WTI, and the two exchange rates: US dollar to Vietnamese dong and Euro to Vietnamese dong. Due to the presence of heteroskedasticity in our data, we use GARCH (1,1) regression model to perform our analysis. Our findings show that the oil price has a significant positive effect on the two Vietnamese stock market indices. In terms of the stock index volatility, both the VN index and HNX index volatilities are negatively impacted by the return of oil price. While the conclusion about the impact of oil price remained consistent through all three robustness tests, the effect of exchange rate on Vietnamese stock market indices is not consistent. We find thatchanges of the USD/VND exchange rate significantly impact the return and volatility of HNX index only in GARCH (1,1) setting. Our analysis also survives a number of robustness tests.

• 수산경영론집
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• 제46권3호
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• pp.119-127
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• 2015

This study is to analyse the causality and volatility spillover between farming fish species in consumption replacement relation using flatfish(oliver flounder) and rockfish's wholesale market price data from September 2006 to July 2015. For the analysis, VAR(5) model and bivariate asymmetric GARCH-BEKK model are employed. The empirical results of this study are summarized as follows: First, the price volatility of flatfish and rockfish is very large without the trend during the sample period. Second, the correlation coefficient between flatfish and rockfish wholesale markets has positive 0.1059 value. Third, causality relation is unidirectional from rockfish market to flatfish market. Fourth, conditional volatility spillover effect is unidirectional from rockfish market to flatfish market, but asymmetric volatility effect is bidirectional between flatfish and rockfish markets that implies the bad news arising from flatfish wholesale market impact on rockfish market's volatility and the bad news arising from rockfish wholesale market impact on flatfish market's volaltilty. Consequently, based on the thus results, the volatility spillover effect interacts and is bidirectional between flatfish and rockfish wholesale markets.