• The Korean Journal of Financial Studies
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• v.10 no.1
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• pp.171-189
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• 2004

외환시장의 효율성을 증대시키고, 기업이나 금융기관들의 원/달러환율 변동위험관리가 보다 원활하게 이루어질 수 있도록 하며, 원/달러 환율과 연계된 다양한 투자전략 구사가 보다 용이하게 이루어질 수 있도록 하기 위하여 미국달러 선물시장과 미국달러 옵션시장에서의 유동성 확대 및 시장 활성화가 요구된다. 본 논문에서는 미국달러 선물시장과 미국달러 옵션시장의 유동성을 제고시키고 시장을 활성화 시키기 위한 방안들을 제시하였다. 미국달러선물의 만기시 최종결제와 미국달러옵션 만기시 옵션매입자가 옵션을 행사할 때 권리행사에 따른 결제는 실물인수도 방식으로 결제되며, 이러한 실물인수도 방식의 결제는 현물환 포지션을 취하여야 하는 불편함과 현물환 거래와 관련된 거래비용 등으로 인하여 투자자들의 시장 참여를 제약하는 주요 요인으로 작용하고 있다. 미국달러선물과 미국달러옵션의 만기시 결제방식을 현금결제 방식으로 바꾸게 되면 헤지거래자 등 투자자들의 참여가 확대되어 시장 유동성이 증대되고 시장이 활성화될 것이며, 차익거래자들도 적극적으로 참여하게 되어 시장의 효율성이 향상될 것이다. 그리고 미국달러선물과 미국달러옵션을 이용한 투자기법 및 투자전략에 대한 투자자들의 이해 수준을 높이고 환율변동위험 관리의 중요성에 대한 기업들의 인식을 제고시키기 위한 적극적인 노력이 요구되며, 중장기적으로 선물회사들의 지점망 확충과 선물거래소 회원사 확대 방안도 모색되어야 할 것이다. 미국달러 옵션은 거래가 매우 부진한 상태이므로 미국달러 옵션시장에서 유동성이 어느 정도 확보될 때까지는 선물회사들의 시장조성 기능 강화가 요구된다.주었다. 둘째, 주가 수익률을 결정하는 유의성있는 요인들은 당기순이익의 증감, 당해연도의 당기순이익의 분포, 자산증가율, 매매 유동성, 매출액 변동, 거래량 추세, 기업크기(시가총액), 과거 1개월간의 주가수익률, 자기자본증가율등으로 나타났다.이 있을 것으로 여겨진다.다중회귀분석에서 각각 일관되게 관찰할 수 있었다. 또한 이러한 결과는 IMF 이후에도 여전히 유지되는 것으로 나타났다.과와는 별개의 PER효과가 여전히 존재하며, 다만 이 PER 효과는 전통적 의미의 일반적으로 낮은 PER종목이 초과수익률을 내는 것이 아니라, 기업규모가 크더라도 그 기업의 개별특성을 고려했을 때 이와 비교해 상대적으로 PER가 낮은 종목에 투자하면 초과수익을 낼 수 있음을 의미한다. 발견하였다.적 일정하게 하는 소비행동을 목표로 삼고 소비와 투자에 대한 의사결정을 내리고 있음이 실증분석을 통하여 밝혀졌다. 투자자들은 무위험 자산과 위험성 자산을 동시에 고려하여 포트폴리오를 구성하는 투자활동을 행동에 옮기고 있다.서, Loser포트폴리오를 매수보유하는 반전거래전략이 Winner포트폴리오를 매수보유하는 계속거래전략보다 적합한 전략임을 알 수 있었다. 다섯째, Loser포트폴리오와 Winner포트폴리오를 각각 투자대상종목으로써 매수보유한 반전거래전략과 계속거래 전략에 대한 유용성을 비교검증한 Loser포트폴리오와 Winner포트폴리오 각각의 1개월 평균초과수익률에 의하면, 반전거래전략의 Loser포트폴리오가 계속거래전략의 Winner포트폴리오보다 약 5배정도의 높은 1개월 평균초과수익률을 실현하였고, 반전거래전략의 유용성을

• The Journal of the Korea Contents Association
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• v.17 no.6
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• pp.504-513
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• 2017

This study investigated one of the controversial issues on debate or even controversial between policy makers at the government and corporate levels: To examine any financial determinants on the cash holdings of the firms in the advanced and emerging capital markets. Futhermore, it focused on the large representative firms headquartered in the U.S. and the Republic of Korea, taking into account scarcity of the previous literature concentrated on the comparative studies on this particular subject. Several legitimate, but robust econometric estimations such as static and dynamic panel data models and Tobit regression, were applied to investigate possible financial factors ono the cash liquidity. Given the continued debates or arguments on the excess cash reserves between interest partied at the government and corporate levels in the advanced and/or emerging capital markets, and more accelerated capital transfers among associated nations by engaging in the arrangements of the FTAs, the results of the study may provide a vision to search for the optimal level of corporate cash holdings for firms in the two nations.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.15 no.12
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• pp.7134-7147
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• 2014

This study examined one of the contemporary issues that may be interesting to academics and practitioners regarding the driving force of the growth rate for the firms belonging to the chaebols in the Korean capital markets. With respect to the empirical results obtained from two hypothesis tests, the first hypothesis was to identify any financial determinants on the growth rate by applying both dynamic panel data and static panel data models. The debt ratios relevant to the book- and market-value showed their positive relationships with the DV of GROWTH1, along with other significant IDVs such as one-period lagged DV of GROWTH_1, SIZE1 and FOS with statistical significance. Second, by employing conditional quantile regression (CQR) analysis, the control variables, such as ROA, SMARKET, time dummy variable of F2010 and F2011, and the industry dummies of IND3 and IND10, provided evidence of their significant influences on DV of GROWTH1.

• Journal of Service Research and Studies
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• v.7 no.4
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• pp.139-150
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• 2017

Open economy tightly works with foreign economy. This paper investigates the effect of the shock of foreign bond yield on the credit spreads of domestic corporate bonds in Korea. Foreign bond is referred to as US treasury bond. Credit spreads are defined with the difference between log yields of domestic corporate bonds and log yield of Korea treasury bond. With the data of monthly three-year AA- and BBB- corporate bond yields- ratings, monthly three-year Korean treasury bond yields, monthly US dollar foreign exchange rates, and monthly three-year US Treasury bond yields during the period from October 2000 to September 2014 including global financial crisis period, the paper documents the results as follow. First of all, the yield of Korean treasury and the credit spreads are very sensitive to the increase in the level and the volatility of the yield of the US treasury bond. Changes in the level and the volatility little affect the change of the exchange rate. Second, the change in the level and the volatility negatively affect the level of Korean treasury bond yields but lead to the increase in the level of Korean treasury bond yields at the same time. Third, there exist time lags of the increases of credit spreads by the increase in the level and the volatility. These imply that credit spreads and bond yields are very sensitive to the change in the yields of foreign bonds such as US treasury bond.

• Journal of Korea Port Economic Association
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• v.35 no.2
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• pp.61-76
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• 2019

The purpose of this study is to use the EGARCH model and Granger causality test to analyze how the change in the BDI affects the Korean stock price volatility. The main analysis results are summarized as follows. First, according to the results of the mean equation, the change in the BDI is significant in large-cap stocks, as well as in the manufacturing, service, and chemistry indexes, but not in others. This implies that the Korean stock market does not respond appropriately to the maritime market situation; further, the increase in demand for raw materials has not led to a real economic recovery. Second, in the result of the variance equation, the coefficient on the change in the BDI is negative(-), and the change in the BDI is significant for all size indexes. Particularly, the change in the BDI has a greater impact on the volatility of small-cap stocks than that of large-cap stocks. The results of the analysis of the sector indexes were statistically significant for the service, financial, construction, and electric and electronics industries, but not for the manufacturing and chemical industries. In particular, the changes in the BDI have the greatest impact on the construction industry. Third, according to the Granger causality test results, the change in the BDI leads the financial industry and construction industry. There is, however, no relationship between the BDI and the other indexes. This shows that change in the shipping freight index can be used to predict the volatility in the Korean stock market. This can help investors and policymakers make better decisions.

• Journal of Internet of Things and Convergence
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• v.8 no.1
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• pp.1-10
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• 2022

The purpose of this study is to establish a foundation for IoT-related industries to secure financial soundness and to dominate the global market after COVID-19. Through this study, the quantitative management status of IoT-related companies was checked. It also was attempted to preemptively prepare for corporate insolvency by examining the relationship between financial ratios in accordance with stock price fluctuations and designation of management items. This study selected 502 companies that were listed on the KOSPI and KOSDAQ in the stock market from 2019 to 2020. For statistical analysis, multiple regression analysis, difference analysis and logistic regression analysis were performed. The research results are as follows. First, it was found that the impact of IoT company accounting information on stock prices differs depending on before and after COVID-19. Second, it was found that there is a difference in the closing stock prices of IoT companies before and after COVID-19. Third, it was found that financial ratios according to stock price fluctuations exist differently after COVID-19. Fourth, it was found that the financial ratios according to the designation of management items after COVID-19 exist differently. Through these studies, some suggestions were made to secure the financial soundness of IoT companies and to lay the groundwork for leaping into the global market after COVID-19. Through the results of this study, it is expected that it will lead the growth of IoT companies and contribute to growth as a decacorn company of the future that can guarantee financial soundness in the changing financial market.

• Journal of Intelligence and Information Systems
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• v.29 no.1
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• pp.377-396
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• 2023

As the cryptocurrency market continues to grow, it has developed into a new financial market. The need for investment strategy research on the cryptocurrency market is also emerging. This study aims to conduct an empirical analysis on an investment methodology of cryptocurrency that combines short-term trading strategy and deep learning. Daily price data of the Ethereum was collected through the API of Upbit, the Korean cryptocurrency exchange. The investment performance of the experimental model was analyzed by finding the optimal parameters based on past data. The experimental model is a volatility breakout strategy(VBS), a Long Short Term Memory(LSTM) model, moving average cross strategy and a combined model. VBS is a short-term trading strategy that buys when volatility rises significantly on a daily basis and sells at the closing price of the day. LSTM is suitable for time series data among deep learning models, and the predicted closing price obtained through the prediction model was applied to the simple trading rule. The moving average cross strategy determines whether to buy or sell when the moving average crosses. The combined model is a trading rule made by using derived variables of the VBS and LSTM model using AND/OR for the buy conditions. The result shows that combined model is better investment performance than the single model. This study has academic significance in that it goes beyond simple deep learning-based cryptocurrency price prediction and improves investment performance by combining deep learning and short-term trading strategies, and has practical significance in that it shows the applicability in actual investment.

• The Korean Journal of Financial Management
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• v.20 no.1
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• pp.163-190
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• 2003

This study tests the hypothesis of market efficiency through the information spillover effects over price and volatility across countries by using open-to-close(daytime) returns and close-to-open(overnight) returns of NASDAQ, KOSDAQ and JASDAQ data from January 3, 1997 to December 21, 2000. Based on Granger-causality and time-varying AR(1)-GARCH(1, 1)-M models we document that the evidence of statistically significant conditional mean and volatility spillovers effects from the daytime returns and volatility of NASDAQ to the overnight returns and volatility of KOSDAQ is observed both before and after the IMF foreign currency crisis but not to the close-to-open return before the IMF foreign currency crisis. We can understand the information spillover effect from NASDAQ to KOSDAQ on the overnight rather than the daytime grows more significantly after the IMF foreign currency crisis. We also find the interactive information spillover effect between NASDAQ and JASDAQ both before and after the IMF financial crisis, in particular, to close-to-open return. In addition, the market efficiency between KOSDAQ and NASDAQ is on an increasing trend through IMF foreign currency crisis.

• The Korean Journal of Applied Statistics
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• v.28 no.4
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• pp.703-719
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• 2015

We propose an extension of the Lee and Jho (2015) mean reverting the two factor mortality model by incorporating a period-specific cohort effect. We found that the consideration of cohort effect improves the mortality fit of Korea male data above age 65. Parameters are estimated by the weighted least squares method and Metropolis algorithm. We also emphasize that the cohort effect is necessary to choose the base survival index to calculate longevity bond issue price. A key contribution of the article is the proposal and development of a method to calculate the longevity bond price to hedge the longevity risk exposed to Korea National Pension Services.

• The Korean Journal of Financial Studies
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• v.6 no.1
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• pp.47-65
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• 2000

효율성은 산출물의 가치와 그 산출물을 창출해 내기 위해 생산과정에서 소비한 투입물 가치의 비율로 나타낸다 투입물이나 산출물의 시장가격이 존재하는 경우 이 값을 가중치로 이용하여 산출물과 투입물의 가치를 계산할 수 있다. 그러나 투입물과 산출물의 종류가 다양한 경우에는 투입물의 가치를 적절히 평가하기가 쉽지 않다. Data Envelopment Analysis(DEA)모형은 효율성을 여러 가지 투입물의 가중평균에 대한 여러 가지 산출요소의 가중평균의 비율로 표시하며, 특정 의사결정단위의 효율성 정도는 유사한 투입 산출구조를 가지는 준거집단과 비교하여 상대적으로 측정하고자 하는 방법이다. 본 논문에서는 DEA모형의 구조와 이론적 근거, 그리고 적용상의 장단점에 대해 알아 본 뒤 국내 일선우체국의 운영자료를 토대로 하여 공공적인 성격을 띠는 기관의 운영효율성 측정에의 적용사례를 제시하였다. 투입자료로는 '98년 우정사업자료를 중심으로 공통영업비, 우편영업비, 금융영업비, 직원수, 관할가구수, 관할면적, 고정자산 등 7개 변수와 우편영업수익, 금융영업수익, 보험수지차, 배달 및 중계 우편물량, 현금출납 취급건수, 연평잔실적의 6개 변수를 각각 투입물과 산출물 변수로 설정하여 모형을 구축하였다. 분석대상으로 삼은 64개 우체국 전체의 효율성 평균은 82.14%으로 나타났으며 DEA모형의 효율성결과와 기존에 이미 발표된 정보통신부 평가결과와의 상관관계는 0.46291로 강하지는 않지만 두 변수간에는 정(正)의 상관관계가 있음을 알 수 있었다.