• Title/Summary/Keyword: futures

Search Result 288, Processing Time 0.023 seconds

A Study on the Effects of KOSPI 200 Spot and Futures Price Limit on the Market (현(現).선물시장(先物市場) 가격제한폭변경(價格制限幅變更)이 KOSPI 200지수와 선물시장(先物市場)에 미치는 영향 - 수익률(收益率) 및 거래양(去來量)의 변동성(變動性)과 시장반응(市場反應)을 중심(中心)으로 -)

  • Chung, Han-Kyu;Yim, Byung-Jin
    • The Korean Journal of Financial Management
    • /
    • v.17 no.1
    • /
    • pp.253-281
    • /
    • 2000
  • 가격의 일일 등락폭을 상하 일정률로 제한하는 가격제한폭제도는 증거금 제도와 함께 증권시장의 양대 안정장치의 하나이다. KOSPI 200 현 선물시장에서도 가격제한폭 변경이 또KOSPI 200 도입이후 네 번 있었다. 따라서 연구는 가격제한폭의 변경 전후의 KOSPI 200 현 선물지수와 거래량 자료를 대상으로 수익률의 변동성 분석, 거래량 분석, 시장반응을 분석하였다. 본 연구의 실증적 연구결과는 다음과 같다. 첫째, 현물시장만 가격제한폭을 변경한 경우 변경 전후에는 현 선물시장의 수익률변동성에는 변화가 없는 것으로 나타났으나, 현 선물시장의 거래량 변동성 차이는 가격제한폭 변경후에 작은 것으로 분석되었다. VAR 분석에 의하면 변경후가 변경전에 비하여 선물이 현물을 선도하는 시차가 작아진 것으로 나타나 변경후가 더 효율적인 시장임을 알 수 있다. 둘째, 선물시장만 가격제한폭 일부의 제도를 변경한 경우 변경후에 현 선물시장의 수익률변동성과 거래량변동성이 축소된 것으로 나타나 안정적임을 알 수 있다. VAR 분석에 의하면 변경후가 변경전에 비하여 선물이 현물을 선도하는 시차가 작아진 것으로 나타나 변경후가 더 효율적인 시장임을 알 수 있다. 셋째, 현 선물시장이 동시에 제도를 변경한 경우 다음과 같다. 1998년 3월 2일의 경우 선물시장은 수익률 변동성 차이가 없는 것으로 나타났으나, 현물시장은 변경후 수익률의 변동성이 적은 것으로 나타났다. 거래량의 변동성은 현 선물시장에서 변경후가 작은 차이가 있는 것으로 분석되었다. VAR 분석에 의하면 변경후가 변경전에 비하여 선물이 현물을 선도하는 시차가 커진 것으로 나타나 현물시장과 선물시장이 동시에 가격제한폭 확대후에 비효율 적으로 되었다는 의미로 판단된다. 1998년 12월 7일의 경우 변경후에 현 선물시장에서는 수익률 및 거래량의 변동성이 작은 것으로 나타났다. 변경전에는 선물시장에 비해 현물시장의 수익률, 변동성이 높은 것으로 나타났으나, 변경후에는 현물시장에 비해 선물시장의 수익률 변동성이 높은 것으로 나타났다. VAR 분석에 의하면 변경후가 변경전에 비하여 선물이 현물을 선도하는 시차가 다소 커진 것으로 나타나 현물시장과 선물시장이 동시에 가격제한폭 확대후에 비효율적으로 되었다는 의미로 판단된다.

  • PDF

A Study on the Linear Causality between KOSPI200 Intraday Futures Returns and Cash Returns (KOSPI 200 하루중 선물수익률과 현물수익률간의 선형인과성에 관한 연구)

  • Kim, Tae-Hyuk;Kang, Seok-Kyu
    • The Korean Journal of Financial Management
    • /
    • v.17 no.1
    • /
    • pp.203-226
    • /
    • 2000
  • 본 연구는 주가지수 선물시장이 도입된 1996년 5월 3일부터 1998년 12월 5일까지 1분 간격 KOSPI 200 선물가격과 현물가격의 거래자료를 이용하여 각 선물가격과 기초자산가격간의 관계와 상호작용을 검토하는데 있다. 특히 본 연구는 차익거래자나 초단기 투기자(scalper)들이 거래체결을 위해 촌각을 다투는 선물시장의 거래행태에서 볼 때, 경제적 의미를 부여할 수 있는 1분 간격 수익률 자료를 이용함으로써 시장참여자의 실제 거래에서 표출되는 정형화된 현상을 정확히 파악한다는 점에서 중요하다. 본 연구의 주요 결과를 제시하면 다음과 같다. 첫째, 주가지수 선물시장과 현물시장간에 체계적이고 긴 선도-지연 관계가 발견되었다. 주가지수 선물가격의 변화가 현물가격의 변화를 대략 26분 정도 선도하고 있으며, 대략 5분 정도 현물시장의 선도효과도 발견된다. 따라서 KOSPI 200 선물수익률과 현물수익률간의 선도-지연 관계는 한 시장에서 다른 시장으로의 일방적인 것이 아니라 시장간의 피드백(feedback)효과가 존재하며, 선물의 선도효과가 지배적인 것으로 보인다. 이러한 선도-지연 현상은 노이즈에 의한 비동시거래보다는 거래비용과 공매제약 차이 등 각 시장의 제도적 차이에 의해 발생하는 것으로 보여진다. 둘째, 약세시장 하에서 선물의 선도효과가 더욱 크게 나타났다. 이러한 현상은 약세시장 하에서 현물시장의 공매제약이 선물가격과 현물가격간의 괴리를 더욱 크게 하여 선물가격이 현물지수를 더욱 선도하게 하는 요인이 될 수도 있음을 나타내는 것이다. 셋째, 만기별 하위기간 중 97년 6월과 97년 12월을 제외한 기간은 선물과 현물가격간에 장기 안정적인 균형관계가 성립함을 발견하였다. 넷째, ARMA(p, q) 여과를 거친 선물과 현물수익률을 이용하여 97년 6월과 12월은 백터자기회귀(VAR)모형, 그 외의 기간은 오차수정(EC)모형으로 추정하였다. 표본전체기간동안 장기균형오차에 대한 조정은 선물과 현물시장에서 동시에 이루어지고 있으며, 시장간에 발생하는 불균형 상황은 아비트라지 거래로 조정되고 있음이 발견되었다. 각 만기별 모든 하위기간에 있어서는 시장간의 장기 불균형 상황이 현물시장을 통해서 조정되고 있으며, 시장이 성숙된 최근의 만기 98년 12월 하위기간에서는 선물의 15분 선도효과와 현물의 1분 선도효과가 발견되어 선물의 선도효과가 지배적임을 발견하였다.

  • PDF

An Outlook of Agricultural Drought in Jeonju Area under the RCP8.5 Projected Climate Condition (기후변화 시나리오에 근거한 전주지역의 농업가뭄 전망)

  • Kim, Dae-jun;Yun, Jin I.
    • Korean Journal of Agricultural and Forest Meteorology
    • /
    • v.17 no.4
    • /
    • pp.275-280
    • /
    • 2015
  • In order to figure out the future drought characteristics of the Jeonju plains, the major crop production area in Korea, daily agricultural drought indexes based on soil water balance were calculated for the relevant 12.5 km by 12.5 km grid cell using the weather data generated by the RCP8.5 climate scenario during 1951-2100. The calculations were grouped into five climatological normal years, the past (1951-1980), the present (1981-2010), and the three futures (2011-2040, 2041-2070, and 2071-2100). Results showed that the soil moisture conditions in early spring, worst for both the past and present normal years, will ameliorate gradually in the future and the crop water stress in spring season was projected to become negligible by the end of this century. Furthermore, the drought frequency in early spring was projected to diminish, resulting in rare occurrence of spring drought by that time. However, the result also showed that the soil moisture conditions during the summer season (when most crops grow in Jeonju plain) will deteriorate and the drought incidence will be more frequent than in the past or present period.

Future Technology Foresight for an Enterprise : Methodology and Case (기업의 미래기술예측을 위한 방법론 및 사례 연구)

  • Jeong Seok Yun;Nam Se Il;Hong Seok;Han Chang Hee
    • The Journal of Society for e-Business Studies
    • /
    • v.11 no.1
    • /
    • pp.69-89
    • /
    • 2006
  • Due to the technological developments and industrial changes , studying for the future has been attached great importance. According to the forthcoming ubiquitous computing environment or smart environment, it is necessary for a country and an enterprise to forecast the future or foresight the future technologies . Although many countries have been doing the foresight, it is difficult for the enterprise to try future foresight activity, because the foresight activity needs lots of the costs and time for good results. Also, almost methodologies used in foresight are suitable for country level foresight projects. In this research, a methodology is developed for an enterprise to use easily, and a case based on the proposed methodology is presented. The proposed foresight methodology is developed based on the traditional forecasting methods, FAR, Future Wheel, and Scenario. Especially, the methodology focused on the customers of a company.

  • PDF

A STUDY ON THE STABILITY OF IMPLANT SCREW BY USE OF THE SEALER (Sealer의 사용이 임프란트 나사의 안정성에 미치는 영향)

  • Lee Heung-Tae;Kim Nak-Hyung;Chung Chae-Heon
    • The Journal of Korean Academy of Prosthodontics
    • /
    • v.39 no.4
    • /
    • pp.366-375
    • /
    • 2001
  • The objective of this study was to investigate the surface contact and screw joint stability between screw and implant interface by use of sealer. The implants evaluated in this study were Steri-Oss futures(Hexlock $3.8D{\times}10mm$: Steri-Oss, Yorba Linda, CA), and Steri-Oss staight abutment. Titanium alloy screws were used to secure abutments to implants. The other titanium alloy screws applicating sealer(Impla-Seal, Implant Support Systems, Inc. Irvine, CA) were used to secure abutments to implants. In one another sample, 6kg of force was applied during simulated intraoral movements after abutment screws were secured to the implants with sealer. All samples were cross sectioned with sandpaper and polished with $0.1{\mu}m\;Al_2O_3$. Then samples were recorded with an scanning electron microscope. The results were as follows : 1. In the case of titanium alloy screw, irregular contacts and relatively large gap were present at thread mating surface. Also abutment screw/implant interface demonstrate incomplete seating and only one surface contact of threads between implant and screw. 2. In the case of titanium alloy screw applecating sealer, sealer was present between implant and screw. Therefore implant and screw had relatively close and tight contact without the presence of large gap. 3. On the other hand, in the case of titanium alloy screw applicating sealer and dynamic loading of suprastructures, sealer was partially present between implant and screw. Conclusively, sealer fills voids, creating a barrier to moisture and bacteria. In addition, loading of suprastructures may change the situation and limit the indications for gap sealing.

  • PDF

Avoidable Burden of Risk Factors for Serious Road Traffic Crashes in Iran: A Modeling Study

  • Shadmani, Fatemeh Khosravi;Mansori, Kamyar;Karami, Manoochehr;Zayeri, Farid;Shadman, Reza Khosravi;Hanis, Shiva Mansouri;Soori, Hamid
    • Journal of Preventive Medicine and Public Health
    • /
    • v.50 no.2
    • /
    • pp.83-90
    • /
    • 2017
  • Objectives: The aim of this study was to model the avoidable burden of the risk factors of road traffic crashes in Iran and to prioritize interventions to reduce that burden. Methods: The prevalence and the effect size of the risk factors were obtained from data documented by the traffic police of Iran in 2013. The effect size was estimated using an ordinal regression model. The potential impact fraction index was applied to calculate the avoidable burden in order to prioritize interventions. This index was calculated for theoretical, plausible, and feasible minimum risk level scenarios. The joint effects of the risk factors were then estimated for all the scenarios. Results: The highest avoidable burdens in the theoretical, plausible, and feasible minimum risk level scenarios for the non-use of child restraints on urban roads were 52.25, 28.63, and 46.67, respectively. In contrast, the value of this index for speeding was 76.24, 37.00, and 62.23, respectively, for rural roads. Conclusions: On the basis of the different scenarios considered in this research, we suggest focusing on future interventions to decrease the prevalence of speeding, the non-use of child restraints, the use of cell phones while driving, and helmet disuse, and the laws related to these items should be considered seriously.

Overnight Information E ects on Intra-Day Stoc Market Volatility (비거래시간대 주식시장정보가 장중 주가변동성에 미치는 영향)

  • Kim, Sun-Woong;Choi, Heung-Sik
    • The Korean Journal of Applied Statistics
    • /
    • v.23 no.5
    • /
    • pp.823-834
    • /
    • 2010
  • Stock markets perpetually accumulate information. During trading hours the price instantaneously reacts to new information, but accumulated overnight information reacts simultaneously on the opening price. This can create opening price uctuations. This study explores the overnight information e ects on intra-da stock market volatility. GARCH models and the VKOSPI model are provided. Empirical data includes daily opening and closing prices of the KOSPI 200 index and the VKOSPI from March $3^{rd}$ 2008 to June $22^{th}$ 2010. Empirical results show that the VKOSPI signi cantly decrease during trading time when positiv overnight information moves the Korean stock upward. This study provides useful information to investors since the Korea Exchange plans to introduce a futures market for the VKOSPI soon.

Breast Cancer Screening Barriers from the Womans Perspective: a Meta-synthesis

  • Azami-Aghdash, Saber;Ghojazadeh, Morteza;Sheyklo, Sepideh Gareh;Daemi, Amin;Kolahdouzan, Kasra;Mohseni, Mohammad;Moosavi, Ahmad
    • Asian Pacific Journal of Cancer Prevention
    • /
    • v.16 no.8
    • /
    • pp.3463-3471
    • /
    • 2015
  • Background: The principal aim of health service providers in the field of breast cancer is to detect and treat lesions at an appropriate time. Therefore, identification of barriers to screening can be very helpful. The present study aimed to systematically review the qualitative studies for extracting and reporting the barriers of screening for breast cancer from the womans perspective. Materials and Methods: In this systematic review; Pubmed, Google Scholar, Ovid Scopus, Cochrane Library, Iranmedex, and SID were searched using the keywords: screening barriers, cancer, qualitative studies, breast and their Persian equivalents, and the needed data were extracted and analyzed using an extraction table. To assess the quality of the studies, the Critical Appraisal Skills Programme (CASP) tool was used. Results: From 2,134 related articles that were found, 21 articles were eventually included in the study. The most important barriers from the point of view of 1,084 women were lack of knowledge, access barriers (financial, geographical, cultural), fear (of results and pain), performance of service providers, women's beliefs, procrastination of screening, embarrassment, long wait for getting an appointment, language problems, and previous negative experiences. Articles' assessment score was 68.9. Conclusions: Increasing women's knowledge, reducing the costs of screening services, cultural promotion for screening, presenting less painful methods, changing beliefs of health service providers, provision of privacy for giving service, decreasing the waiting time, and providing high quality services in a respectful manner can be effective ways to increase breast cancer screening.

Application of a Network Scale-up Method to Estimate the Size of Population of Breast, Ovarian/Cervical, Prostate and Bladder Cancers

  • Haghdoost, Ali Akbar;Baneshi, Mohammad Reza;Haji-Maghsoodi, Saeedeh;Molavi-Vardanjani, Hossein;Mohebbi, Elham
    • Asian Pacific Journal of Cancer Prevention
    • /
    • v.16 no.8
    • /
    • pp.3273-3277
    • /
    • 2015
  • Network scale up (NSU) is a novel approach to estimate parameters in hard to reach populations through asking people the number of individuals they know in their active social network. Although the method have been used in hidden populations, advantages of NSU indicate that exploration of applicability to disease like cancer might be feasible. The aim of this study was to assess the application of NSU to estimate the size of the population of breast, ovarian/cervical, prostate, and bladder cancers in the South-east of Iran. A total of 3,052 (99% response rate) Kermanian people were interviewed in 2012-2013. Based on NSU, participants were asked about if they know any people on their social network who suffered from breast, ovarian/cervical, prostate, and bladder cancers, if yes, they should enumerate them. A total of 1,650 persons living with four types of cancers (breast, ovary/cervix, prostate, and bladder) were identified by the respondents. Totally, the prevalence of people living with the four types of cancers was 228.4 per 100,000 Kermanian inhabitants. The most prevalent cancer was breast cancer, at 168.9 per 100,000, followed by prostate cancer with 116.9, ovarian/cervical cancer with 99.8, and bladder cancer with 36.3 per 100000 Kerman city population. NSU values provide a usable but not very precise way of estimating the size of subpopulations in the context of the four major cancers (breast, ovary/cervix, prostate, and bladder).

Gender and Social Disparities in Esophagus Cancer Incidence in Iran, 2003-2009: A Time Trend Province-level Study

  • Kiadaliri, Aliasghar Ahmad
    • Asian Pacific Journal of Cancer Prevention
    • /
    • v.15 no.2
    • /
    • pp.623-627
    • /
    • 2014
  • Background: Esophagus cancer (EC) is among the five most common cancers in both sexes in Iran, with an incidence rate well above world average. Social rank (SR) of individuals and regions are well-known independent predictors of EC incidence. The aim of current study was to assess gender and social disparities in EC incidence across Iran's provinces through 2003-2009. Materials and Methods: Data on distribution of population at province level were obtained from the Statistical Centre of Iran. Age-standardized incidence rates of EC were gathered from the National Cancer Registry. The Human Development Index (HDI) was used to assess the province social rank. Rate ratios and Kunst and Mackenbach relative indices of inequality ($RII_{KM}$) were used to assess gender and social inequalities, respectively. Annual percentage change (APC) was calculated using joinpoint regression. Results: EC incidence rate increased 4.6% and 6.5% per year among females and males, respectively. There were no gender disparities in EC incidence over the study period. There were substantial social disparities in favor of better-off provinces in Iran. These social disparities were generally the same between males and females and were stable over the study period. Conclusions: The results showed an inverse association between the provinces' social rank and EC incidence rate in Iran. In addition, I found that, in contrast with international trends, women are at the same risk of EC as men in Iran. Further investigations are needed to explain these disparities in EC incidence across the provinces.