• Asia-Pacific Journal of Business Venturing and Entrepreneurship
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• v.9 no.2
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• pp.15-21
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• 2014

The long memory properties of the hedge ratio for stock and futures have not been systematically investigated by the extant literature. To investigate hedge ratio' long memory, this paper employs a data set including KOSPI200 and S&P500. Coakley, Dollery, and Kellard(2008) employ a data set including a stock index and commodities foreign exchange, and suggested the S&P500 to be a fractionally integrated process. This paper firstly estimates hedge ratios with two dynamic models, BEKK(Bollerslev, Engle, Kroner, and Kraft) and diagonal-BEKK, and tests the long memory of hedge ratios with Geweke and Porter-Hudak(1983)(henceforth GPH) and Lo's modified rescaled adjusted range test by Lo(1991). In empirical results, two hedge ratios based on KOSPI200 and S&P500 show considerably significant long memory behaviours. Thus, such results show the hedge ratios to be stationary and strongly reject the random walk hypothesis on hedge ratios, which violates the efficient market hypothesis.

• Journal of the Economic Geographical Society of Korea
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• v.22 no.4
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• pp.592-609
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• 2019

This study attempts to expand the leverage cycle theory using the subprime real estate investors. The leverage cycle theory has demonstrated asset price fluctuations irrelevant to changes in fundamentals through the restructuring of transaction composition centered on optimistic buyers. However, it needs to understand how this theory works in the depressed housing market with low-income residential regions to explain the geographic origins of the financial crisis. In the depressed housing market, the subprime real estate investors focused on low-income residential regions. Through this spatial focus, the low-income residential regions solely have real estate investor-oriented composition of new purchase transactions in the depressed housing market. The discovery of the subprime real estate investors as new actors lays the foundation for applying the leverage cycle theory to the depressed housing market which has been a underserved area for capital investment. This attempt illustrates how the geographical reinterpretation of an economic theory reestablishes spatio-temporal context of economic phenomena.

• KDI Journal of Economic Policy
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• v.28 no.1
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• pp.1-47
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• 2006

Even after significant changes in the financial market due to the financial crisis the corporate debt markets have seen created turmoil caused such as by Daewoo, Hyundai, and credit card companies in the financial system. These lagging improvements of corporate debt markets are mainly due to inadequate market infrastructure. Specifically, the credit rating agencies have not been successful in providing proper and timely information on the loan repayment abilities of debtors. This study analyzes past performance of credit rating agencies in Korea and tries to develop policy implications to improve the role of credit rating agencies based on the recent discussions on credit rating agencies by academics and the SEC. In addition, this study focuses on unique operation environments of Korean credit rating agencies, which have kept credit rating agencies from providing fair, timely, and useful information. To warrant proper operation of credit rating agencies, it is essential to cope with unique problems in Korean credit rating agencies. We classify the unique problems of Korean credit rating agencies into ownership and governance structure, conflict of interests due to ancillary fee-based business, legal recognition of credit rating in the court, and code of conduct problem, etc. and propose policy directions to improve the quality and credibility of credit ratings.

• Journal of the Korean Data and Information Science Society
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• v.24 no.1
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• pp.161-170
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• 2013

The FX (Foreign Exchange) is a form of exchange for the global decentralized trading of international currencies. The simple sense of Forex is simultaneous purchase and sale of the currency or the exchange of one country's currency for other countries'. We can find the consistent rules of trading by comparing the gradient boosting method and the decision trees methods. Methods such as time series analysis used for the prediction of financial markets have advantage of the long-term forecasting model. On the other hand, it is difficult to reflect the rapidly changing price fluctuations in the short term. Therefore, in this study, gradient boosting method and decision tree method are applied to analyze the short-term data in order to make the rules for the revenue structure of the FX market and evaluated the stability and the prediction of the model.

• The Korean Journal of Applied Statistics
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• v.36 no.1
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• pp.85-100
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• 2023

The stochastic volatility (SV) model is one of the main methods of modeling time-varying volatility. In particular, SV model is actively used in estimation and prediction of financial market volatility and option pricing. This paper attempts to model the time-varying volatility of the bitcoin market price using SV model. Hidden Markov model (HMM) is combined with the SV model to capture characteristics of regime switching of the market. The HMM is useful for recognizing patterns of time series to divide the regime of market volatility. This study estimated the volatility of bitcoin by using data from Upbit, a cryptocurrency trading site, and analyzed it by dividing the volatility regime of the market to improve the performance of the SV model. The MCMC technique is used to estimate the parameters of the SV model, and the performance of the model is verified through evaluation criteria such as MAPE and MSE.

• Journal of the Korea Institute of Information Security & Cryptology
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• v.29 no.6
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• pp.1271-1283
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• 2019

The fourth industrial revolution and digital transformation are also bringing major changes to the financial ecosystem in Korea. Already, global financial firms overseas are opening their financial markets and exploring new financial businesses by seeking ways to co-prosperity with fintech firms. However, it is also true that the domestic financial environment has failed to respond to the changes due to its monopolistic and closed structure. In response, the government began pushing for the introduction of open banking in December 2019 with the aim of fully opening the financial settlement system. However, unlike the existing simple financial transaction structure, open banking still has an unresolved part due to the unclear relationship of responsibilities between interested parties in the event of financial accidents due to the complex linkage structure of transactions such as financial firms, fintech firms and customers. This study analyzed the security threat of open banking in depth. By doing so, the government and financial firms want to present policy proposals that need to be improved to enhance the safety of open banking in korea and protect financial consumers, as well as new financial models that have improved the vulnerable parts of existing models.

• The Journal of the Convergence on Culture Technology
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• v.9 no.3
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• pp.443-450
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• 2023

This study is a study to develop a guide for the increasing number of elderly people to use digital finance smoothly. Through previous studies, the definition of the elderly and digital finance was found out, and the elderly support system related to digital finance was reviewed. In the case of the digital financial support system for the elderly, the current status of overseas and domestic situations were compared to derive implications, and cases of senior-friendly digital guides implemented by overseas institutions and private companies in the technical aspect were presented. In order to develop the guide, cases of using digital finance by the elderly in Korea were reviewed through actual measurement, and inconveniences in use and needs for improvement were derived, and supplementary items necessary for the institutional guide for digital finance were presented. Research Results Based on previous studies and case studies and actual measurement results of the elderly, a total of 10 guidelines for digital financial apps for the elderly were presented based on the ISO standards for supporting the elderly. This study is meaningful in that it provided a guide for the smooth use of digital finance by the increasing number of seniors, and it seems necessary to improve the system and apply it to the financial market.

• Korean Journal of Construction Engineering and Management
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• v.11 no.1
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• pp.101-112
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• 2010

The Korean real estate market currently is experiencing a slowdown due to the global economic crisis which has resulted from subprime mortgage lending practices. In response, the Korean government has enforced various policies, based on intend to deregulate real estate speculation, such as increasing the Loan to value ratio (LTV) in order to stimulate housing supply, demand and accompanying housing transactions. However, these policies have appeared to result in deep confusion in the Korean housing market. Furthermore, analyses for housing market forecasting particularly those which examine the impact of the international financial crisis on the Korean real estate market have been partial and fragmentary. Therefore, a comprehensive and systematical approach is required to analyze the real estate financial market and the causal nexus between market determining factors. Thus, with an integrated perspective and applying a system dynamics methodology, this paper proposes Korean Real Estate and Mortgage Market dynamics models based on the fundamental principles of housing markets, which are determined by supply and demand. As well, the potential effects of the Korean government's deregulation policies are considered by focusing on the main factor of these policies: the mortgage loan.

• Monthly Duck's Village
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• s.64
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• pp.75-79
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• 2008

EU시장통합에 의욕을 가진 미테랑 대통령은 경제기반의 강화, 금융.자본시장의 개혁에 적극적인 태도를 보였다. 1992년에는 14년 만에 약 57억 달러에 이르는 무역흑자를 기록하는 등 농산물과 군수품 및 첨단 분야의 수출이 호조를 보였다. 제2차 세계대전 후 비약적인 발전에 대응하여 농업도 큰 변화를 계속하고 있다. 농업의 비중은 다른 선진 공업국에 비해 큰 편으로, 오늘날에도 여전히 공업국인 동시에 농업국으로서의 위치를 지키고 있다. 지금은 기계화 중심의 대규모 농업이 이루어진다. 그 결과 농업경영의 통합이 촉진되어 농가수가 크게 줄어드는 경향으로, 농촌인구의 도시 유출이 현저하다. 프랑스에서 산출되는 농산물의 종류는 대단히 풍부하다. 국토의 25%가 목초지인 프랑스는 소와 말 사육을 비롯한 축산업도 활발하게 진행되고 있으며, 북경 오리생산업체인 Orvia가 프랑스에 있다.

• The Optical Journal
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• s.119
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• pp.35-37
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• 2009

지난 수년 간 국내 광학산업은 눈부신 발전을 했다. 디지털카메라, 핸드폰카메라, 정보저장기기, 복사기와 같은 전자제품 시장의 성장, 평판디스플레이의 도약, LED 조명의 출현, 매 순간이 숨 가쁜 변화와 팽창의 연속이었다. 작년에 시작된 미국발 금융위기가 전 세계 신용경색, 실물경제 침체로 이어지면서 국내 광학산업에 먹구름이 드리워지고 위기감이 고조되고 있다. 본 원고는 해외 광학회사, 연구기관들과 협력하면서 고찰한 내용에 필자의 의견을 덧붙인 것이다. 이제는 국내회사들이 지속적으로 성장하기 위해서 세계 시장을 대상으로 '그레이트 게임'을 할 시기이다.