• The Korean Journal of Financial Management
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• v.26 no.2
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• pp.155-180
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• 2009

This study is to estimate and compare hedging effectiveness in emerging currency and advanced currency futures markets. Emerging currency futures includes Korea won, Mexico peso, and Brazil real and advanced currency futures is Europe euro, British pound, and Japan yen. Hedging effectiveness is measured by comparing hedging performance of the naive hedge model, OLS model, error correction model and constant condintional correlation bivariate GARCH(1, 1) hedge model based on rolling windows. Analysis data is used daily spot and futures rates from January, 2, 2001 to March. 10, 2006. The empirical results are summarized as follows : First, irrespective of hedging period and model, hedging using Korea won/dollar futures reduces spot rate's volatility risk by 97%. Second, Korea won/dollar futures market produces the best hedging performance in emerging and advanced currency futures markets, i.e. Mexico peso, Brazil real, Europe euro, British pound, and Japan yen. Third, there are no difference of hedging effectiveness among hedging models.

• The Southeast Asian review
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• v.27 no.3
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• pp.93-135
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• 2017

Due to their geographic proximity to Beijing, the Southeast Asian states under the fallout of the China's growing power are struggling to seek the art of diplomacy to promote their national interests. This study explores why Cambodia previously taking a pro-US strategy after the end of the Cold War has switched to a pro-China one in the context of the rise of G-2 system, the ASEAN regionalism, the country's national interest and Hun Sen's regime legitimation. Theoretically, this study takes a realist constructivist approach and tries to find how realist interests and norms have affected the Hun Sen's regime legitimation. The relationship between China and Cambodia has been deepened by mutual economic interdependence and increasingly stronger Chinese power. Especially, the Chinese massive economic aids and investment have enormously supported the regime legitimation of Hun Sen. On the other hand, The US value diplomacy promoting democracy and human rights has undermined the Hun Sen's legitimacy and strained the two nations' relationship. However, the Hun Sen's pro-China strategy is not to check and balance against US strategic interests and not to recognize the Chinese hegemonic position in Southeast Asia. It is a hedging against the US value diplomacy while maximizing economic and other gains from China. ASEAN has been playing a coordinating role to limit the scope of power politics among big powers and to mitigate its ramifications. Yet, since the US and Chinese interests are so keenly criss-crossing, Cambodia may continue to react to the G-2 system through bilateral relations with them.

• Korean Management Science Review
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• v.31 no.1
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• pp.49-61
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• 2014

We investigate the hedging effectiveness of incorporating single-stock futures into the corresponding stocks. Investing in only stocks frequently causes too much risk when market volatility suddenly rises. We found that single-stock futures help reduce the variance and risk levels of the corresponding stocks invested. We use daily prices of Korean stocks and their corresponding futures for the time period from December 2009 to August 2013 to test the hedging effect. We also use system trading technique that uses automatic trading program which also has several simulation functions. Moving average strategy, Stochastic's strategy, Larry William's %R strategy have been considered for hedging strategy of the futures. Hedging effectiveness of each strategy was analyzed by percent reduction in the variance between the hedged and the unhedged variance. The results clearly showed that examined hedging strategies reduce price volatility risk compared to unhedged portfolio.

• Korea and Global Affairs
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• v.3 no.1
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• pp.39-76
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• 2019

This paper is to analyze the trend and implications of the publication of China's defense and security white papers. To this end the paper is composed of 5 chapters titled instruction; publication details and composition of China's defense and security white paper; the gist of the white paper on national defense and security during the Chinese president Xi Jinping era; the implications of Chinese white paper on national defense and security during the Chinese president Xi Jinping era; and conclusion. The Chinese Ministry of National Defense had published seven books every two years since 1998 to 2010. In 1995, the ministry published a white paper titled 'China's arms control and disarmament' for the first time. In 2013, it published a white paper titled 'The Diversified Employment of China's Armed Forces' and 'China's Military Strategy' in 2015. All have the common characteristic of being a propaganda policy reflecting China's strategic calculations. It seems that China has began to publish defense white papers in a proactive manner, due to the following factors: (1)pressure on China to demand military transparency from neighboring countries such as the United States; (2)the erosion of the 'China threat.' and (3)confidence in the achievement of China's military modernization. The 'active defensive strategy' and the 'strong defense strategy' of Si Jinping are implied in the words "China's dream is a dream of a powerful country and dream of a strong nation is essential to construct a strong nation." His these strategies have raised security concerns for neighboring countries. We need to maintain and reinforce strong ROK-US security cooperation, and hedging strategies to harmoniously promote ROK-China economic cooperation.

• Management & Information Systems Review
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• v.39 no.2
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• pp.17-37
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• 2020

The purpose of this study is to investigate the global spillover effects through the existence of linear and nonlinear causal relationships between the US, European and BRIC financial markets after the period from the introduction of the Euro, the financial crisis and the subsequent EU debt crisis in 2007~2010. Although the global spillover effects of the financial crisis are well described, the nature of the volatility effects and the spread mechanisms between the US, Europe and BRIC stock markets have not been systematically examined. A stepwise filtering methodology was introduced to investigate the dynamic linear and nonlinear causality, which included a vector autoregressive regression model and a multivariate GARCH model. The sample in this paper includes the post-Euro period, and also includes the financial crisis and the Eurozone financial and sovereign crisis. The empirical results can have many implications for the efficiency of the BRIC stock market. These results not only affect the predictability of this market, but can also be useful in future research to quantify the process of financial integration in the market. The interdependence between the United States, Europe and the BRIC can reveal significant implications for financial market regulation, hedging and trading strategies. And the findings show that the BRIC has been integrated internationally since the sub-prime and financial crisis erupted in the United States, and the spillover effects have become more specific and remarkable. Furthermore, there is no consistent evidence supporting the decoupling phenomenon. Some nonlinear causality persists even after filtering during the investigation period. Although the tail distribution dependence and higher moments may be significant factors for the remaining interdependencies, this can be largely explained by the simple volatility spillover effects in nonlinear causality.