• International Area Studies Review
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• v.14 no.3
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• pp.62-84
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• 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 the Korea Contents Association
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• v.16 no.8
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• pp.387-394
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• 2016

The volatility in the stock market responds differently to information types. That is, the asymmetric volatility exists in the stock market which responds more to unexpected negative returns due to bad news than unexpected positive returns due to good news. This paper examines the asymmetric response of the volatility of KOSPI, large-cap, middle-cap, and small-cap indices returns which is announced in Korea exchange (KRX) by using the MA-GJR model and the MA-EGARCH model. According to empirical analyses, it shows that the asymmetric response of volatility exists in all indices regardless of volatility estimation models and the degree of the asymmetric volatility response of the small-cap index returns is greater than that of the large-cap index returns. Moreover, this results also observed robustly during the period of both before and after the global financial crisis.

• The Korean Journal of Financial Management
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• v.20 no.1
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• pp.191-212
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• 2003

Recently, there is a growing body of literature that suggests that information inefficiency is one of the causes of the asymmetric volatility. If this explanation for the asymmetric volatility is appropriate, then innovations, such as the introduction of futures, may be expected to impact the asymmetric volatility of stock market. As transaction costs and margin requirements in the futures market are lower than those in the spot market, new information is transmitted to futures prices more quickly and affects spot prices through arbitrage trading with spots. Also, the merit of the futures market may attract noise traders away from the spot market to the futures market. This study examines the impact of futures on the asymmetry of stock market volatility. If the asymmetric volatility is significant lower post-futures and exist in the futures market, it has validity that the asymmetric volatility is caused by information inefficiency in the spot market. The data examined are daily logarithmic returns on KOSPI 200 stock price index from January 4, 1993 to December 26, 2000. To examine the existence of the asymmetric volatility in the futures market, logarithmic returns on KOSPI 200 futures are used from May 4, 1996 to December 26, 2000. We used a conditional mode of TGARCH(threshold GARCH) of Glosten, Jagannathan and Runkel(1993). Pre-futures the spot market exhibits significant asymmetric responses of volatility to news and post-futures asymmetries are significantly lower, irrespective of bear market and bull market. The results suggest that the introduction of stock index futures has an effect on the asymmetric volatility of the spot market and are inconsistent with leverage being the sole explanation of asymmetry. However, it is found that the volatility of futures is not so asymmetric as expected.

• The Korean Journal of Financial Management
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• v.27 no.1
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• pp.1-30
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• 2010

This paper tested the lead-lag relationship as well as the symmetric and asymmetric volatility spillover effects between international currency futures markets and cash markets. We use five kinds of currency spot and futures markets such as British pound, Australian and Canadian dollar, Brasilian Real and won/dollar spot and futures markets. daily closing prices covering from September 15, 2003 to July 30, 2009. For this purpose we employed dynamic time series models such as the Granger causality based on VAR and time-varying MA(1)-GJR-GARCH(1, 1)-M. The main empirical results are as follows; First, according to Granger causality test, we find that the bilateral lead-lag relationship between the five countries' currency spot and futures market. The price discover effect from currency futures markets to spot market is relatively stronger than that from currency spot to futures markets. Second, based on the time varying GARCH model, we find that there is a bilateral conditional mean spillover effects between the five currency spot and futures markets. Third, we also find that there is a bilateral asymmetric volatility spillover effects between British pound, Canadian dollar, Brasilian Real and won/dollar spot and futures market. However there is a unilateral asymmetric volatility spillover effect from Australian dollar futures to cash market, not vice versa. From these empirical results we infer that most of currency futures markets have a much better price discovery function than currency cash market and are inefficient to the information.

• Journal of Digital Convergence
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• v.19 no.3
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• pp.211-216
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• 2021

Information from various heterogeneous devices is steadily increasing in distributed cloud environments. This is because high-speed network speeds and high-capacity multimedia data are being used. However, research is still underway on how to minimize information errors in big data sent and received by heterogeneous devices. In this paper, we propose a deep learning-based asymmetric storage management technique for minimizing bandwidth and data errors in networks generated by information sent and received in cloud environments. The proposed technique applies deep learning techniques to optimize the load balance after asymmetric hash of the big data information generated by each device. The proposed technique is characterized by allowing errors in big data collected from each device, while also ensuring the connectivity of big data by grouping big data into groups of clusters of dogs. In particular, the proposed technique minimizes information errors when storing and managing big data asymmetrically because it used a loss function that extracted similar values between big data as seeds.

• The Korean Journal of Financial Studies
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• v.2 no.2
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• pp.65-97
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• 1995

본 논문은 간단한 비대칭정보모형을 사용하여 자본구조의 해법을 모색하고자 한다. 본 모형의 분석에 따르면, 기대현금흐름의 크기에 대해서만 비대칭정보가 존재할 경우 부채에 의한 자금조달이 최적이며, 주식자금조달은 배제된다. 기대현금흐름의 위험에 대해서만 비대칭정보가 존재할 매는 특정한 증권의 지배현상은 나타나지 않는다. 두 가지 형태의 비대칭정보가 모두 존재하는 일반모형에서는 극단적인 주식자금조달 정책은 기각되지만 100% 부채자금조달과 50% 부채, 50% 주식 자금조달 사이의 어떤 자금조달정책도 실행가능하다. 경영자는 극단적인 외부자금조달정책보다는 안정적인 내 외부자금조달배합을 유지하려 하게 된다. 자금조달결정은 투자결정과는 분리되어 있어 비낭비적이지만, 신 구청구권자 사이에 부(富)의 이전을 초래할 수 있다. 본 모형은 왜 주식발행을 공표하면 주가가 떨어지고 채권발행은 주가에 별다른 영향을 미치지 않는지를 해명한다. 또한 추가로 검증가능한 명제들이 제시된다.

• Proceedings of the Korea Information Processing Society Conference
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• 2000.10b
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• pp.1525-1528
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• 2000

인터넷(Internet) 이란 거대한 네트웍들이 모인 것이다. 인터넷 속의 산업구조는 1:1 대면 방식의 구조에서 네트워크 상의 On-line 구조로 변화되어 가고 있다. 인터넷 상에서의 전자상거래를 통하여 우리 농촌의 농산물 판매 구조가 변화를 가져와야 할 것이다. 생산지에서 소비자에게 직송할 수 있는 상거래 시스템이 필요한 것이다. 이에 본 연구에서는 "웹 상의 농산물 전자상거래 사이트 구축 시 정보 보안 및 관리 방안"을 SSL/TLS를 이용한 쇼핑 시나리오를 이용하여 개선된 암호화 및 사용자 인증 전자결재시 사용되는 전자서명 키를 연구하여 구현하고자 한다. 또한 비대칭적 암호화 기법 및 SET을 이용한 암호화 거래 방법을 제시하였으며, 호스트의 비대칭적인 스위칭 시스템으로 사용자가 웹 사이트에 접속시에는 데이터 서버는 닫혀있는 상태이고 비동기적으로 사용자가 웹사이트에서 인증을 득한 후에 데이터 서버로 접속이 가능하며 데이터의 액세스가 끝난 후에는 웹사이트의 접속을 재게 시키고 데이터 서버의 액세스는 무효화시킴으로써 서버의 정보 보안 및 관리를 효율적으로 수행한다.

• Management & Information Systems Review
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• v.31 no.4
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• pp.539-557
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• 2012

This study purposes to analyze how the level of diversification affects cost stickiness behavior. Specifically, we document that cost stickiness behavior is bigger in case of firm with a high level of related diversification. The purpose mentioned above are empirically tested using 1,508 firm-year data listed on Korea Stock Exchange from 2000 to 2009 and regression analysis methods were used for the analysis of the research hypotheses. The following are the results of this study : First, the increase in SG&A(selling, general and administrative costs) as sales increases is greater than the decrease in SG&A in respect to the equivalent decrease in sales. Second, cost stickiness behavior is bigger in case of firm with a high level of diversification. Also, cost stickiness behavior is bigger as the level of related diversification increase. These results imply that the level of diversification effects on the cost stickiness behavior.

• Proceedings of the Korean Information Science Society Conference
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• 2012.06a
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• pp.4-6
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• 2012

최근 멀티코어 CPU가 장착된 시스템들이 출시되면서 많은 병렬처리 기법들이 제안되고 있다. 본 논문에서는 데이터 종속성이 없는 모듈과 종속성이 있는 모듈이 순차적으로 구성된 응용에서 각 코어에 부하를 효과적으로 분산시키는 방법을 제안한다. 즉, 데이터 종속성이 없는 모듈을 각 코어에 대칭적으로 분산시키는 통상적인 방법 대신, 비대칭적으로 부하를 분산시킴으로써 암달의 법칙에서 계산된 성능 상한치를 뛰어넘는 성능 개선을 얻을 수 있음을 보인다.

• Proceedings of the Korean Magnestics Society Conference
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• 2010.06a
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• pp.199-199
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• 2010