• Journal of Environmental Policy
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• v.12 no.4
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• pp.93-117
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• 2013

We analyze the optimal hedge ratio and hedge effectiveness with different periodic times between spot and futures on EUA and CER based on EU-ETS. The Main finding are as follows. The first, hedging model which considers the time-varying variance is not more accurate than non-time-varying hedging models. The second, optimal hedge ratios are different even though hedge effectiveness is similar for the hedging purpose. The third, hedge effectiveness has uncertainty if hedge period is short. In case of EUA it needs to over 6 weeks and CER needs to over 7 weeks. The fourth, cross hedge with CER futures is not suitable for profit ratios.

• International Commerce and Information Review
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• v.9 no.2
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• pp.65-86
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• 2007

This paper reviews the properties and application methods of widely used types of risk measures, identifies the rationale and business-side effects of hedging, derives the theoretical formula of optimal hedging ratio, and analyzes the various functional aspects of VaR(Value-at-risk) as a risk measure and a hedging tool. Especially this paper focuses on the characteristics of VaR compared with other risk measures in terms of their own principal determinants and identifies its stronger aspects in the dimension of hedging strategy tools. As well, this paper provides the detailed processes deriving the optimal hedge ratios based on the distributional parameters and risk factors. In addition, this paper presents the detailed and substantial processes of estimating the minimum variance hedge ratio and minimum-VaR hedge ratio using the actual data and shows that the minimum variance hedge ratio proves helpful for many cases although it is not appropriate for the non-linear portfolio including the option contracts. We demonstrate the trade-off relationship between the minimum variance hedge strategy and the minimum-VaR hedge strategy in their hedging costs and performances through calculation of the respective VaRs and variances of unhedged and hedged portfolios and the optimal hedge ratio and hedging effectiveness values for the given long position in US Dollar with the short position in Euro.

• The Korean Journal of Financial Management
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• v.21 no.1
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• pp.231-253
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• 2004

We examine hedge strategies that use Won-dollar futures to hedge the price risk of the Won-dollar exchange rate. We employ the naive hedge model, minimum variance hedge model and bivariate ECT-ARCH(1) model as hedge instruments, and analyze their hedge performances. The sample period covers from January 2, 2001 to December 31, 2002 with sub-samples such as daily, weekly, bi-weekly prices of the Won-dollar futures and cash. The important findings may be summarized as follows. First, there is no significant difference in hedge ratio between the risk minimum variance model and bivariate ECT-ARCH(1) model that controls for the cointegration relationship of the Won-dollar futures and cash. Second, hedge performance of the naive model and minimum variance model with constant hedge ratios is not far behind that of bivariate ECT-ARCH(1) model with time-varying hedge ratios. This results imply that investors are encouraged to use the minimum variance hedge model to hedge Won-dollar exchange rate with Won-dollar futures. Third, hedge performance and effectiveness of each model is also analyzed with respect to hedge period appear to be greater over long than over the short period. This evidence supports the hypothesis that futures prices would have more time to respond to the greater cash price changes over the longer holding period, leading to an improved hedge performance.

• Journal of the Korean Data and Information Science Society
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• v.25 no.6
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• pp.1449-1466
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• 2014

In this paper, we consider a hedge portfolio based on futures of underlying asset. A classical way to estimate a hedge ratio for a hedge portfolio of a spot and futures is a regression analysis. However, a regression analysis is not capable of reflecting long-run equilibrium between a spot and futures and volatility clustering in the conditional variance of financial time series. In order to overcome such defects, we analyzed KOSPI200 index and futures using VECM-CC-GARCH model and computed a hedge ratio from the estimated conditional covariance-variance matrix. In real data analysis, we compared a regression and VECM-CC-GARCH models in terms of hedge effectiveness based on variance, value at risk and expected shortfall of log-returns of hedge portfolio. The empirical results show that the multivariate GARCH models significantly outperform a regression analysis and improve hedging effectiveness in the period of high volatility.

• The Korean Journal of Applied Statistics
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• v.25 no.6
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• pp.897-915
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• 2012

This paper examines the relationship between the stock and futures markets in terms of lead-lag relationship, correlation and the hedge ratio using wavelet analysis. The basic finding is that the relationship between the two markets significantly depends on the time-scale. First, there is a feedback relationship between the stock and futures markets in the long-run scale; however, weaker evidence is observed in shorter-run scales. Second, wavelet correlation between the two markets increases for a longer time scale. Third, the hedge ratio and the effectiveness of hedging strategies increase as the investment horizon gets longer. The results in this paper indicate that the stock and futures series are perfectly correlated in the long run and are tied together over long horizons.

• The Korean Journal of Financial Management
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• v.23 no.1
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• pp.243-266
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• 2006

This paper tests cross hedging performance of the KOSPI 200 stock index futures to hedge the downside risk of the KOSPI, KOSPI 200 and KOSDAQ50 spot market. For this purpose we introduce the minimum variance hedge model, bivariate GARCH(1,1) and EGARCH(1,1) model as hedge models. The main results are as follows; First, we find that the direct hedge performance of KOSPI 200 index futures is better than those of indirect hedge performance. second, in case or cross hedge performance the hedge effect of KOSPI 200 stock index futures market against KOSPI 200 stock index spot market is relatively better than those of KOSPI 200 index futures against KOSPI and KOSDAQ spot position. Third, for the out-sample, hedging effectiveness of the risk-minimization with constant hedge ratios is higher than those of the time varying bivariate GARCH(1,1) and EGARCH(1,1) model. In conclusion, investors are encouraged to use simple risk-minimization model rather than the time varying hedge models like GARCH and EGARCH model to hedge the position of the Korean stock index cash markets.

• The Journal of Korean Society for School & Community Health Education
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• v.18 no.2
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• pp.27-42
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• 2017

Objectives: The purpose of this study was to investigate the characteristics of smoking prevention programs and their effectiveness for Korean school-aged children and adolescents by using systematic review and meta-analysis. Methods: Electronic searches were performed in RISS, NAL, DBPia, KISS using keywords according to inclusion criteria. 21 studies published from 2003 to the first half of 2017 that dealt with effects of smoking prevention programs for school-aged children and adolescents were selected for systematic review. Results: All 21 studies were quasi-experimental research designs. More than half of the programs(66.7%) were conducted for male and female. Most of the programs were conducted more than once a week(71.4%). 14 studies(66.7%) did not report using a theoretical model. Five dependent variables(knowledge of smoking, attitude toward smoking, non-smoking intention, self-assertiveness, and self-efficacy) were selected to measure the effectiveness of the smoking prevention programs. Knowledge of smoking was the most effective at hedge's g=0.673. Self-efficacy and self-assertiveness variables were statistically significant at hedge's g=0.461 and hedge's g=0.279, respectively. Effect sizes of attitude toward smoking and non-smoking intention were not statistically significant compared to the control group. As a result of the moderator effect analysis on the knowledge of smoking variable, the statistically significant variables were 'gender of participants'(p<0.01) and 'duration of the program'(p<0.001). Conclusions: The results of this study using systematic review and meta-analysis will be evidence-based data for researchers conducting smoking prevention programs in school-aged children and adolescents.

• The Journal of the Korea Contents Association
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• v.14 no.11
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• pp.905-914
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• 2014

In this study, we examine hedging effectiveness of KODEX200 ETF and KOSPI200 futures with respect to KOSPI200 spot or KODEX200 ETF using naive, the risk-minimization models and the VECM. The sample period covers from January 5. 2010 to October 31. 2013. Daily prices of the KOSPI200 spot, KOSPI200 futures and KODEX200 were used in this study. The results are summarized ans follows. First, this study show that there is cointegration relationship among KOSPI200 spot, futures and KODEX200 ETF market. Second, there is no significant difference in hedging performance among the models. Finally, hedged position of KOSPI200 cash(unhedged position)-KODEX200 ETF(hedge vehicle) or KODEX200 ETF-KOSPI200 futures seems to improve hedging performance compared to KOSPI200 cash-KOSPI200 futures. This implies that the portfolio managers may be encouraged to use the former than the latter.

• Korean Management Science Review
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• v.31 no.1
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• pp.49-61
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• 2014

We investigate the hedging effectiveness of incorporating single-stock futures into the corresponding stocks. Investing in only stocks frequently causes too much risk when market volatility suddenly rises. We found that single-stock futures help reduce the variance and risk levels of the corresponding stocks invested. We use daily prices of Korean stocks and their corresponding futures for the time period from December 2009 to August 2013 to test the hedging effect. We also use system trading technique that uses automatic trading program which also has several simulation functions. Moving average strategy, Stochastic's strategy, Larry William's %R strategy have been considered for hedging strategy of the futures. Hedging effectiveness of each strategy was analyzed by percent reduction in the variance between the hedged and the unhedged variance. The results clearly showed that examined hedging strategies reduce price volatility risk compared to unhedged portfolio.

• Journal of Korean Biological Nursing Science
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• v.26 no.2
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• pp.71-82
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• 2024

Purpose: This study systematically analyzed the impact of aromatherapy on pain in individuals with diabetes. Methods: A search was performed in seven electronic databases based on the PICO-SD (Population, Intervention, Comparison, Outcome, Study Design) framework. The population (P) of interest was individuals with diabetes, and the intervention (I) included aromatherapy targeting pain reduction. The comparison (C) consisted of control groups that received no intervention, another intervention, or usual care. The outcome (O) measured was pain. The quality of the selected literature was assessed using the Joanna Briggs Institute checklist. In MIX 2.0 Pro, the pooled overall effect of pain was calculated using Hedge's g and a random-effects model, and heterogeneity was calculated using the Q statistic and Higgin's I2 values. Meta-regression and exclusion sensitivity analyses were performed. Results: Five articles and seven studies were included, showing a significant pooled overall effect of aromatherapy on diabetes-related pain (Hedge's g = -1.83, 95% CI: -2.76 to -0.91). Meta-regression demonstrated that effectiveness in reducing pain was associated with studies conducted in West Asia, those with IRB approval, and those receiving funding. Additionally, interventions involving subjects under 60, lavender oil (vs. turpentine oil or blended oils), massage therapy (vs. topical application), fewer hours per session, and more repeated measurements (vs. pre/post measurements) were associated with pain reduction. Conclusion: Aromatherapy, especially with lavender oil, effectively manages diabetes-related pain. Short-duration massage application is also effective. A personalized selection of oil type and application method could optimize therapeutic outcomes for individuals with diabetes.