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

• The Korean Journal of Financial Studies
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• v.8 no.1
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• pp.55-76
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• 2002

본 연구는 KOSPI 200 선물시장의 거래자료를 이용하여 시장의 미시구조에 의한 하루중 수익률, 변동성 및 거래량 형태를 검토하였다. 본 연구의 주요 결과는 다음과 같다. 첫째, 지수선물시장의 하루중 변동성과 거래량 형태는 일말효과보다 일초효과가 크게 나타나는 조잡한 W자형 형태이다. 이러한 형태는 Brock-Kleidon(1992)의 시장폐장이론에 의해 설명되지만, 동시호가제 등 국내시장의 운영제도에 의해서도 영향을 받고 있음을 보여준다. 둘째, 현물시장의 폐장시간대의 변동성 감소는 한 금융시장의 폐장에서 다른 관련 금융시장의 가격변동성 하락을 예측한 King-Wadhwani(1990)의 이론적 연구결과와 일치한다. 셋째, 수익률의 하루중 형태는 요일에 따라 상이하며 매우 노이즈한 행태를 보여주었다. 그리고 수익률의 요일효과 분석에서 일주일 중 가장 낮은 수익률이 화요일에 발생하는 화요일 효과를 발견하였다. 월요일 효과도 발견되었지만, 그 크기면에서 화요일 효과가 지배적이었다.

• KDI Journal of Economic Policy
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• v.25 no.2
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• pp.137-170
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• 2003

Despite the great success of the derivatives market, several concerns were expressed regarding the additional volatilitystemming from program trading during the expiration of derivatives. This paper examines the impact of the expiration of the KOSPI 200 index derivatives on cash market of Korea Stock Exchange(KSE). The KOSPI 200 index derivatives market has a unique settlement price determination process. The settlement price for the expiration of derivatives is determined by call auction during the last 10 minutes after the trades for matured derivatives are finalized. We analyze typical expiration day effects such as price, volatility, and volume effects. With high frequency data, we find that there are strong expiration day effects in the KSE and try to interpret the results with the unique settlement procedures of the KOSPI 200 cash and derivatives markets.

• Korean Journal of Construction Engineering and Management
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• v.20 no.2
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• pp.68-78
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• 2019

Recently, housing prices have surged, and the government has implemented various regulations, such as finance and taxes. Because of the policy, the nationwide housing price have stabilized, but polarization has occurred. Some argue that regulation can adversely affect the actual demand. Therefore, not only the correlation between market variables but also ripple effect of policy has to be analyzed in policy planning and analysis from a microscopic point of view. In this study, a simulation model was developed by integrating system dynamics for analyzing market structure and agent-based model for modeling decision process of market participants. This research applied the financial regulation and the tax regulation to the model and evaluated the policy effectiveness. This study reveals which feedback dominates according to the policies, which have same purpose. It is because market participants make different decision for each policy. Furthermore, there were other ripple effects not only in the policy target submarket but also in other submarket.

• Korea Real Estate Review
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• v.27 no.3
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• pp.51-70
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• 2017

This study aimed to measure street centralities with the street width, and to analyze their effects on the residential and non-residential land prices in Seoul, South Korea. Most of the studies on urban economics and policy focusing on the urban spatial structure have evolved in terms of their perspective from monocentric to polycentric models. Recently, their themes shifted to measuring street centralities and capturing their effects on urban phenomena. To expand the existing studies and discussion, this study analyzed the street centralities with the street width, and how they changed the land prices. Multilevel regression models generated a few key findings relevant to the relationship between street centralities and land prices. While a higher detour volume and closeness to wider streets commanded premium residential land prices, higher visibility and detour volume to wider streets were associated with higher non-residential land prices. These findings suggest a robust connection between street configuration and near-land prices. Thus, the results of this study suggest a few insightful policy implications for urban planners, urban designers, real estate developers, and appraisers.

• The Korean Journal of Financial Management
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• v.22 no.1
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• pp.71-91
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• 2005

The object or this paper is to analyze the rollover effect on KOSPI 200 index option prices. Especially we analyze the implied volatilities of the options that became the near maturity options as the old one expired. For this analysis, a panel data of KOSPI 200 Index Option Prices from year 1999 to year 2001 were used, and following results were obtained. First, after controlling for the underlying index returns, strike prices and other pricing factors, the call option prices tend to decrease while the put option prices tend to increase during the week of expiry. Second, if one concentrates on the daily price changes, call option prices tend to go up on Thursday (as the old options expire), and then experience a price decrease on the following day, while the reverse is true for the put options. These results imply that the option prices are affected by some of the market micro-structure effects such as whether the option is the near maturity option. We conjecture that the reason for this is related to the undervaluation of KOSPI 200 futures. The results from this paper have implications on the timing of option trades. If one wants to buy put options, and/or sell call options, he has better off by executing his intended trades before the old options expire. On the other hand, if one wants to buy call options, and/or sell put options, hi has better off by executing his intended trades after the expiry.

• Management & Information Systems Review
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• v.36 no.3
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• pp.37-49
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• 2017

This study investigates the dynamic relationship between KOSPI200 stock index and stock index futures and stock index option markets which is its derived from KOSPI200 stock index. We use 5-minutes rate of return data from 2012. 06 to 2014. 12. To empirical analysis, this study use autocorrelation and cross-correlation analysis as a preliminary analysis and then following Stoll and Whaley(1990) and Chan(1992), the multiple regression is estimated to examine the lead-lag patterns between the stock index and stock index futures and option markets by Newey and West's(1987) Empirical results of our study shows as follows. First, there exist a strong autocorrelation in the KOSPI200 stock index before 10minutes but a very weak autocorrelation in the stock index futures and option markets. Second, there is a strong evidence that stock index future and option markets lead KOSPI200 stock index in the cross-correlation analysis. Third, based on the multiple regression, the stock index futures and option markets lead the stock index prior to 10-15 minutes and weak evidence that the stock index leads the future and option markets. This results show that the market efficient of KOSPI200 stock index market is improved as compared to the early stage of stock index future and option market.

• KDI Journal of Economic Policy
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• v.13 no.2
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• pp.129-140
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• 1991

The primary purpose of price regulation on public utilities and other public services is not to prevent them from rising and control inflation but to allocate resources efficiently and reflect social values, when market does not function perfectly. That is, price regulation by government is a policy tool which is aimed at microeconomic effects. Therefore, when a microeconomic policy tool is used for macroeconomic policy objectives, such as price stabilization, we can have problems stemming from the mismatch. One of the examples is distortions in the relative price structure of resources. As government suppresses increases in regulated prices in an effort to reduce inflationary pressures, some of the public services become relatively cheaper, resulting in excess use of those services under regulation. Also, inflexibility of adjusting regulated prices to the overall price changes results in deterioration of qualities of public services. This paper proposes a set of reform proposals which are itnended to minimize such government failures. It is argued that the authority of price regulation should be decentralized, and ultimately done by independent regulatory commissions for each service. The pricing should be based on the principle of separate and independent accounting by each service unit and the principle of beneficiaries bearing the costs of services.

• Journal of the Korean Society of Fisheries and Ocean Technology
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• v.34 no.1
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• pp.13-20
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• 1998

The moving behaviour of Yellowtail Seriola quinqueradiata schools in the main-net of a large scale set-net was investigated in relation to the catching function of the funnel-net by a scanning sonar. The investigation was took place in the Kishihata set-net fishing ground located in Nanao city Ishigawa prefecture, Japan from Nov. 9 to Nov. 13, 1992. The obtained results are summarized as follows; 1. Fish schools showed the greatest number at the playground in the morning and at the bag-net in the afternoon. The fish schools remained long time in the main-net. 2. The rate of fish school through the funnel-net was smaller than that of fish school which is though the playground and bag-net. Because the Yellowtail school changed the shape of school in passing the funnel-net. 3. The rate of entering the bag-net was 24%, among the fish school heading to the outer funnel-net. But, the rate of escaping to the playground was 27%, among the fish school heading to the inner funnel-net. It seems that the structure of the outer funnel-net was not enough to lead the fish to the bag-net. However, the structure of the inner funnel-net was very effective at preventing escape. 4. It is appropriate to haul the net in the morning in considering the number of accumulated fish in the bag-net during the survey.