• Title/Summary/Keyword: 주가연계증권

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A Case Study on the Risk of Stepdown ELS (스텝다운형 주가연계증권의 위험률 고찰)

  • Kim, Hee-Sun;Yeo, In-Kwon
    • The Korean Journal of Applied Statistics
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    • v.24 no.6
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    • pp.1021-1031
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    • 2011
  • Equity linked securities are indirect investments where the return of investment depends on the performance of the underlying equities. In this paper, we review the profit structure of typical equity linked securities through a profit diagram and investigate which characteristics of time series at the investment affect the early repayment of the stepdown ELS based on KOSPI 200 and HSI. We also compare VaRs using the empirical distribution function for risk management.

A Study of Investment effectiveness about Equity Linked Securities(ELS) ; focused on Step-down type ELS (주가연계증권(ELS)의 투자효과에 관한 연구 : 스텝다운형 ELS를 중심으로)

  • Jung, Heeseog;Kim, Sunje
    • Journal of Service Research and Studies
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    • v.8 no.1
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    • pp.103-122
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    • 2018
  • The purpose of this study is to present the direction of ELS investment by analyzing the actual investment return of the ELS commodities and analyzing the investment effect of ELS that investors have felt unsatisfactory at financial marketing service. The research method is based on the step-down type ELS. We calculated the probability of achieving early redemption condition and maturity repayment condition, early redemption estimated yield, and maturity repayment estimated yield. As the study result, the probability of achieving 100% of the early redemption condition was 74.5%, and the probability of the early redemption condition 95% was 83.0%, 90% was 89.5%, 85% was 92.5%, and 80% was 96.5% respectively. In the case of the lowest 75%, the probability of holding to maturity is analyzed to be 2.5%, and the probability of early redemption is high. The probability of the stock price growth within 65% of the maturity repayment condition was 98.5% and the probability of the stock price growth within 60%~45% of the maturity repayment condition was 100%. 65% of maturity repayment condition was analyzed as 1.5% risk of principal loss, and the probability of achieving the committed yield of maturity was high. As a key measure of ELS investment, it is advantageous to select a commodity with a low rate of maturity repayment and a high rate of early redemption.

Convergent Momentum Strategy in the Korean Stock Market (한국 주식시장에서의 융합적 모멘텀 투자전략)

  • Koh, Seunghee
    • Journal of the Korea Convergence Society
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    • v.6 no.4
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    • pp.127-132
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    • 2015
  • This study attempts to empirically investigate if relative momentum strategy is effective in the Korean stock market. The sample of the study is comprised of companies which are traded in both Kospi and Kosdaq stock markets in Korea for the period between 2001~2014. The study observes that the momentum strategy buying past winner stocks and selling past loser stocks is negatively correlated with the value strategy buying value stocks with high book to market ratio and selling glamour stocks with low book to market ratio. And each strategy is alternatively effective from period to period. The study demonstrates that the momentum strategy is effective when both strategies which are negatively correlated are treated as one system by estimating Fama and French's[1] 3 factor regression model.

An Empirical Analysis on the Relationship Between the Real Estate Policies and the Stock Market -Centering around the Stocks of Construction Industry- (부동산 정책과 주식시장의 연계성에 관한 실증연구 -건설업종 주식을 줌심으로-)

  • Jo, Yong-Dae
    • Korean Journal of Construction Engineering and Management
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    • v.9 no.2
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    • pp.146-158
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    • 2008
  • This paper examines the relationship between the real estate policies of Korean government and the stock market of Korea. It is the purpose of this paper whether the government policies are effective or not when the Korean government release new real estate policies outlining higher taxes and more housing supply as part of its plan to suppress speculation. This paper studies the properties of daily stock returns of the construction sector in Korea securities market when the government announcements of the real estate policies are released. On the demand side, multiple home owners and those purchasing property for speculative purposes are expected to be hit the hardest If the government policies are effective. The empirical results of this paper show that most of the cumulative abnormal returns(CARs) are statistically significant from the year 2002 to the year 2006 except the year 2004.