• Korea Trade Review
• /
• v.48 no.4
• /
• pp.189-208
• /
• 2023

This paper analyzed the dynamic conditional correlation between the Korean ETS market, energy market and stock market. This paper conducted an empirical analysis using daily data of Korea's carbon credit trading price, WTI crude oil futures price, and KOSPI index from February 2, 2015 to December 30, 2021. First, the volatility of the three markets was analyzed using the GARCH model, and then the dynamic conditional correlations between the three markets were studied using the bivariate DCC-GARCH model. The research results are as follows. First, it was found that the Korean ETS market has a higher rate of return and higher investment risk than the stock market. Second, the yield volatility of the Korean ETS market was found to be most affected by external shocks and least affected by the volatility information of the market itself. Third, the correlation between the Korean ETS market and the stock market was stronger than that of the WTI crude oil futures market. This paper analyzed the correlation between the Korean ETS market, energy market, and stock market and confirmed that the level of financialization in the Korean ETS market is quite low.

• The Korean Journal of Applied Statistics
• /
• v.24 no.2
• /
• pp.239-251
• /
• 2011

The need for statistical analysis to discern the existence and the type of international business comovement has increased as business and economic variations in one country is directly transmitted to business and financial market conditions in another without a long lag. This study performs the statistical tests for th locomotive hypothesis to understand the structural character of the long-run mechanism among Korea-US current and future business movements and the domestic stock market. The U.S. future business prospect, rather than the US current and the domestic current and future business conditions, appears to signi cantl a ect the domestic stock market movement.

• The Korean Journal of Applied Statistics
• /
• v.28 no.2
• /
• pp.189-200
• /
• 2015

Stationary bootstrapping is applied to a Lagrangian multiplier (LM) test to test market microstructure noise (MMN) in financial asset prices. A Monte-Carlo experiment shows that the bootstrapping method improves the size of the original LM test which has some size distortion for conditional heteroscedastic models. The proposed test is illustrated for real data sets like KOSPI index and Won-Dollar exchange rate.

• Journal of the Korean Geographical Society
• /
• v.35 no.5
• /
• pp.717-729
• /
• 2000

Housing prices in the Korean housing market dropped at an unprecedented magnitude in 1998 after the economic crisis. With the support of housing policies to boost depressed housing markets, house prices managed to bounce back after the mid-1999. During the period of housing price decline and of its recovery, the degrees of house price changes were not even across the country. The cities could be classified into four groups regarding the differential rates of house price changes. The cities which had higher rates of decrease also had higher rates of increase. On the other hand, some other cities continuously experienced a price fall during the recovery period although the rate of housing price changes were relatively low after the economic crisis. Throught the processes of administering housing market depression due to the crisis of the economy, the cities which could fully redeem the level of house prices in housing markets between the Seoul Metropolitan area and the other parts of the country has been widened.

• The Korean Journal of Applied Statistics
• /
• v.29 no.4
• /
• pp.559-569
• /
• 2016

A long-run relationship of stock, monetary, realty markets, and business conditions has been suggested to exist due to internal and external shocks. This study investigates whether such a relationship really exists and then performs statistical tests to discern features of the long-run adjustment processes from short-run discrepancies because it is difficult to find studies that examine the market relationship. The comovement relationship of the whole market does not appear to hold for the entire study period; however, it is found to exist for the period before the financial crisis. Estimated error correction models show consistently declining equilibrium errors each period that suggests a recovering process of the long-run equilibrium from short-run secessions.

• International Area Studies Review
• /
• v.21 no.2
• /
• pp.143-169
• /
• 2017

This paper empirically examines how capital structure inertia varies across industries and there is different in industries, and whether this fact is explained by product market competition using non-financial firms listed in KOSP market over periods of 1981 to 2015. In empirical test, I find that firms with more competition environment tend to have inertia behavior in making decision of capital structure. This implies that it is explained by debt discipline effect and it is substitution for product market competitions. Also I find that manager tends to take action actively making decision of capital structure when product market competition is low. Also I show that they use debt to constraint the free cash flow. As a result, I conclude that Korean non-financial firms do not have more strong inertia behavior in capital structure rather than U.S. firms. Second, using OLS estimation, inertia effect disappears while there is strong inertia effect in relationship between inertia and product market competition. This result suggests that transaction cost is not key factor in explaining inertia behavior of capital structure.

• International Area Studies Review
• /
• v.14 no.2
• /
• pp.25-40
• /
• 2010

Accurate forecasting of volatility is of considerable interest in financial volatility research, particularly in regard to portfolio allocation, option pricing and risk management because volatility is equal to market risk. So, we attempted to delineate a model with good ability to forecast and identified stylized features of volatility, with a focus on volatility persistence or long memory in the Australian futures market. In this context, we assessed the long-memory property in the volatility of index futures contracts using three conditional volatility models, namely the GARCH, IGARCH and FIGARCH models. We found that the FIGARCH model better captures the long-memory property than do the GARCH and IGARCH models. Additionally, we found that the FIGARCH model provides superior performance in one-day-ahead volatility forecasts. As discussed in this paper, the FIGARCH model should prove a useful technique in forecasting the long-memory volatility in the Australian index futures market.

• The Journal of Society for e-Business Studies
• /
• v.22 no.4
• /
• pp.39-51
• /
• 2017

In October 2016, the NFSA (National Financial Supervisory Authorities) revised the network separation clause of the Regulation on Supervision of Electronic Financial Activities in order to promote the Cloud Computing implementation in the financial sectors. The new regulation, however, limits the Cloud Computing usage to non-critical information and its processing system. Financial institutions that provide customer data analysis and personalized services based on personal data regard current revision as unchanged as before. The implementation of Cloud Computing has greatly contributed to cost reduction, business innovation and is an essential requirement in ever-changing information communication technology environment. To guarantee both security and reliability of the implementation of the Cloud Computing in financial sectors, a considerable amount of research and debate needs to be done. This paper examines current Cloud Computing policies in the Korean financial sector and the challenges associated with it. Finally, the paper identifies policy suggestions based on both European Union and United States' approach as they have successfully introduced Cloud Computing Services for their financial sectors.

• Proceedings of the Korean Institute of Navigation and Port Research Conference
• /
• 2022.06a
• /
• pp.369-370
• /
• 2022

In Korea's ship finance, due to the nature of pro-cyclical investment, the private sector's ship finance greatly shrinks during the shipping recession, and policy financial institutions take the lead in ship finance. Meanwhile, the government established the 「Strategy for the Realization of Shipping Industry Leader」 (June 29, '2) and set a development goal by 2030 through support such as securing new high-efficiency ships. To promote financial investment. However, investment in the shipping industry is not easy to induce due to risks and uncertain market conditions. Therefore, it is necessary to review tax benefits that can induce joint investment of investors at the government level. Therefore, it is necessary to introduce a Korean version of tax lease scheme for ships in order to resolve the liquidity gap in the domestic ship finance market and successfully implement the five-year plan for reconstruction of shipping industry.

• The Korean Journal of Financial Management
• /
• v.15 no.1
• /
• pp.183-205
• /
• 1998

공매(short sale)에 대한 제약이 없는 투자환경에 비해 공매에 대한 제약이 있는 투자환경에서는 주식과 같은 위험자산의 가격은 한동안 과대 평가된다. Figlewski & Webb (1993)는 공매에 대한 제약으로 인해 악재(bad news)가 주가에 과소 반영된다고 하였으며, Diamond & Verrecchia(1987)는 공매에 대한 여러 제약(short-sale constraints)으로 인해 주식시장에 호재로 작용하는 정보(favourable information)와 악재로 작용하는 정보(unfavourable information)가 주식시장에 비대칭적으로 반응하며, 악재가 주가에 더 늦게 반영된다는 것을 보였다. 그러나, 주가지수옵션의 거래는 여러 제약이 많은 공매제도로 인해 악재가 주식시장에 일시적으로 과소반영되는 비효율성을 해결해준다. 그래서 본 연구는 주가지수옵션이라는 파생금융상품의 도입으로 인해 악재의 주가 반응 속도에 어떠한 영향을 미치는 지에 대해 살펴보았다. 전환(switchig) GJR-MA(1) 모델을 이용한 실증분석 결과에 의하면, 주가지수옵션의 거래는 여러 제약이 많은 공매제도로 인해 악재가 주식시장에 늦게 반영되는 비효율성을 제거하게 되어, 옵션 도입 이후로 주식시장의 악재로 인한 변동성 충격(volatility shock)이 그 시장에 더욱 더 빨리 흡수되어 정보적 시장효율성(informational market efficiency)을 증대시키는 결과를 보였다.