• Journal of Intelligence and Information Systems
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• v.16 no.2
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• pp.19-32
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• 2010

Volatility plays a central role in both academic and practical applications, especially in pricing financial derivative products and trading volatility strategies. This study presents a novel mechanism based on generalized autoregressive conditional heteroskedasticity (GARCH) models that is able to enhance the performance of intelligent volatility trading systems by predicting Korean stock market volatility more accurately. In particular, we embedded the concept of the volatility asymmetry documented widely in the literature into our model. The newly developed Korean stock market volatility index of KOSPI 200, VKOSPI, is used as a volatility proxy. It is the price of a linear portfolio of the KOSPI 200 index options and measures the effect of the expectations of dealers and option traders on stock market volatility for 30 calendar days. The KOSPI 200 index options market started in 1997 and has become the most actively traded market in the world. Its trading volume is more than 10 million contracts a day and records the highest of all the stock index option markets. Therefore, analyzing the VKOSPI has great importance in understanding volatility inherent in option prices and can afford some trading ideas for futures and option dealers. Use of the VKOSPI as volatility proxy avoids statistical estimation problems associated with other measures of volatility since the VKOSPI is model-free expected volatility of market participants calculated directly from the transacted option prices. This study estimates the symmetric and asymmetric GARCH models for the KOSPI 200 index from January 2003 to December 2006 by the maximum likelihood procedure. Asymmetric GARCH models include GJR-GARCH model of Glosten, Jagannathan and Runke, exponential GARCH model of Nelson and power autoregressive conditional heteroskedasticity (ARCH) of Ding, Granger and Engle. Symmetric GARCH model indicates basic GARCH (1, 1). Tomorrow's forecasted value and change direction of stock market volatility are obtained by recursive GARCH specifications from January 2007 to December 2009 and are compared with the VKOSPI. Empirical results indicate that negative unanticipated returns increase volatility more than positive return shocks of equal magnitude decrease volatility, indicating the existence of volatility asymmetry in the Korean stock market. The point value and change direction of tomorrow VKOSPI are estimated and forecasted by GARCH models. Volatility trading system is developed using the forecasted change direction of the VKOSPI, that is, if tomorrow VKOSPI is expected to rise, a long straddle or strangle position is established. A short straddle or strangle position is taken if VKOSPI is expected to fall tomorrow. Total profit is calculated as the cumulative sum of the VKOSPI percentage change. If forecasted direction is correct, the absolute value of the VKOSPI percentage changes is added to trading profit. It is subtracted from the trading profit if forecasted direction is not correct. For the in-sample period, the power ARCH model best fits in a statistical metric, Mean Squared Prediction Error (MSPE), and the exponential GARCH model shows the highest Mean Correct Prediction (MCP). The power ARCH model best fits also for the out-of-sample period and provides the highest probability for the VKOSPI change direction tomorrow. Generally, the power ARCH model shows the best fit for the VKOSPI. All the GARCH models provide trading profits for volatility trading system and the exponential GARCH model shows the best performance, annual profit of 197.56%, during the in-sample period. The GARCH models present trading profits during the out-of-sample period except for the exponential GARCH model. During the out-of-sample period, the power ARCH model shows the largest annual trading profit of 38%. The volatility clustering and asymmetry found in this research are the reflection of volatility non-linearity. This further suggests that combining the asymmetric GARCH models and artificial neural networks can significantly enhance the performance of the suggested volatility trading system, since artificial neural networks have been shown to effectively model nonlinear relationships.

• Korean Business Review
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• v.21 no.2
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• pp.1-16
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• 2008

This paper investigate the volume-volatility and volume-return relationship in the Korean Treasury Bond futures market using daily price and volume data categorized by three trader type i.e. individual investor, institutional investor and foreign investor over the period of October 1999 through December 2005. Major results are summarized as follows: (i) The effect of volume on return was not different across the trader type. (ii) The effect of volume on volatility was not unidirectional across the type of investor. While unexpected sell of individual investor has positive effects on volatility, negative effects in the case of institutional investor. (iii) We cannot find the evidence of asymmetric response of volatility to shock in trading volume or net position. This result differs from that of Korean Stock Price Index 200 futures market which showed strong positive asymmetry. Finally, some limitations of this paper and direction for further research were suggested.

• Journal of the Korean Institute of Illuminating and Electrical Installation Engineers
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• v.17 no.6
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• pp.31-38
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• 2003

Among mitigation techniques for electric and magnetic field (EMF) from an overhead transmission line a passive loop is a way that can be cheap and easily installed on the existing towers and have a satisfactory effect as well. However current induced in the passive loop causes transmission power loss and the phase imbalance increases since geometrical asymmetry of the transmission lines becomes larger. So in order to evaluate the power loss and the phase imbalance due to a passive loop, this paper represent a 345[kV] 1-circuit flat type transmission line as asymmetrical 3-phase distributed parameter line model where the effect of a passive loop is embedded in the line parameters, and then formulates differential equations. By solving these equations voltages and currents of each phase at receiving end become known. We find out that power losses occur differently at each phase and positive sequence component decreases at receiving end while negative sequence component increase. In general phase imbalance due to a passive loop is slight, but it increases in proportional to the induced current and length of section where the passive loop is installed. Thus the phase imbalance should be included in terms of cost for introducing a passive loop.

• Journal of the Ergonomics Society of Korea
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• v.29 no.3
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• pp.279-286
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• 2010

The purpose of this study was to compare the electromyographic(EMG) activities of trunk and hip muscles between right and left sides while subjects performed prolonged manual task in asymmetric and symmetric weight-bearing posture. Fifteen healthy male college students were recruited for this study. The subjects were asked to perform bimanual upper extremity task for 6 minutes in two different standing postures. In the symmetric weight-bearing posture, the subjects were standing with evenly distributed body weights to both legs. In the asymmetric weight-bearing posture, the subjects distributed about 90% of their body weight onto their preferred(supporting) leg and 10% of their body weight onto the opposite leg while they were standing. EMG activities of the right and left internal oblique, erector spinae, gluteus maximus, and gluteus medius were measured and normalized as % MVIC. Then the EMG data were statistically analyzed using paired t-tests. The EMG activities of all measured muscles were not significantly different between the right and left side in the symmetrical weight-bearing posture(p>0.05). However, the EMG of the supporting side internal oblique was significantly lower than the opposite side(p<0.05), and the EMG of the erector spinae, gluteus maximus, and gluteus medius were significantly greater on the supporting side(p<0.05). The results of this study support that unbalanced use of right and left muscle possibly causes the changes in muscle length which results in asymmetry of trunk and hip muscles. Furthermore, the uneven weight support onto right and left legs will cause a distortion of viscoelastic ligaments around hip and sacroiliac joints in the long run. Further studies to determine the effect of various manual tasks on the trunk and hip muscles as well as the effect of asymmetrical weight-bearing standing posture on hip and back muscle fatigue may be required.

• The Korean Journal of Financial Management
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• v.26 no.1
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• pp.95-125
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• 2009

This paper examines the disciplinary effect of deposits using the semiannual accounting data of mutual savings banks(henceforth 'MSBs') in Korea for the period of 2003 through 2007. I find overall strong evidence in favor of the existence of market discipline in the industry. MSBs with higher BIS ratio and lower NPL ratio turn out to have higher increase rate of deposits than MSBs with lower such ratios. The coefficient of NPL ratio becomes greater with time, suggesting that the effect is cumulative. It turns out that depositors respond more sensitively to NPL ratio than BIS ratio in a period of MSB failure. On the other hand, MSBs turn out to act very positively responding to the depositors' discipline. They increase BIS ratio or decrease NPL ratio following the previous decrease in deposits. Government authorities need to make more efforts to develop a suitable incentive system (e.g. penalties on a false disclosure) to improve the efficiency of disclosure by MSBs. Moreover, they need to acknowledge the importance of NPL ratio as a market disciplinary tool which has been becoming more important, especially in times of MSB failure.

• The Korean Journal of Financial Management
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• v.26 no.4
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• pp.191-234
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• 2009

This study examined on the volatility feedback hypothesis through the use of threshold GARCH-in-Mean (GJR-GARCH-M) model developed by Glosten, Jaganathan, and Runkle (1993) in the stock markets of 14 emerging countries during the period of January, 1996 to May, 2009. On this study, I found successful evidences which can support the volatility feedback hypothesis through the following three estimation procedures. First, I found relatively strong positive relationship between the expected market risk premiums and their conditional standard deviations from the GARCH-M model in the basis of daily return on each representative stock market index, which is appropriate to investors' risk-averse preferences. Second, I can also identify the significant asymmetric time-varying volatility originated from the investors' differentiated reactions toward the unexpected market shocks by applying the GJR-GARCH-M model and further find the lasting positive risk aversion coefficient estimators. Third, I derived the negative signs of the regression coefficient of unpredicted volatility on the stock market return by re-applying the GJR-GARCH-M model after I controlled the positive effect of predicted volatility through including the conditional standard deviations from the previous GARCH-M model estimation as an independent explanatory variable in the re-applied new GJR-GARCH-M model. With these consecutive results, the volatility feedback effect was successfully tested to be effective also in the various emerging stock markets, although the leverage hypothesis turned out to be insufficient to be applied to another source of explaining the negative relationship between the unexpected volatility and the ex-post stock market return in the emerging countries in general.

• The Korean Journal of Pharmacology
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• v.29 no.1
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• pp.149-156
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• 1993

Intramolecular excimerization of 1,3-di(1-pyrenyl)propane (Py-3-Py) and fluorescence polarization of 1,6-diphenyl-1,3,5-hexatriene (DPH) were used to examine the effects of ethanol on the rate and range of lateral diffusion of bulk bilayer structures of plasma membrane vesicles isolated from cultured mouse myeloma cell line Sp2/0-Ag14 (Sp2/0-PMV). In a concentration-dependent manner, ethanol increased the excimer to monomer fluorescence intensity ratio (I'/I) of Py-3-Py in the Sp2/0-PMV and decreased the anisotropy (r), limiting anisotropy $(r_{\infty})$, and order parameter (S) of DPH in the Sp2/0-PMV. This indicates that ethanol increased both the lateral and rotational diffusion of the probes in the Sp2/0-PMV. Selective quenching of DPH by trinitrophenyl groups was utilized to examine the transbilayer asymmetric rotational diffusion of the Sp2/0-PMV. The anisotropy (r), limiting anisotropy $(r_{\infty})$, and order parameter (S) of DPH in the inner monolayer were 0.022, 0.029, and 0.063, respectively, greater than calculated for the outer monolayer of the Sp2/0-PMV. Selective quenching of DPH by trinitrophenyl groups was also utilized to examine the transbilayer asymmetric effects of ethanol on the range of rotational diffusion of the Sp2/0-PMV. Ethanol had a greater fluidizing effect on the outer monolayer as compared to the inner monolayer of the Sp2/0-PMV. It has been proven that ethanol exhibits a selective rather than nonselective fluidizing effect within transbilayer domains of the Sp2/0-PMV.

• Asia-Pacific Journal of Business Venturing and Entrepreneurship
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• v.16 no.3
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• pp.145-158
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• 2021

The purpose of this study is to examine the influence of the ownership structure of unlisted firms on KOSDAQ listing. There are few studies analyzing the characteristics of listing success based on ownership structure. For startup executives, there is not enough data to refer to the ownership structure that can increase the possibility of listing. This paper examines the effects of ownership structure on IPO success through comparison between listed successful and failed companies among the companies in application for KOSDAQ listing eligibility review. The major findings are as follows; (1) Venture capital investment and shareholding have a statistically positive effect on the success of KOSDAQ listing. This results indicate that the venture capital's investment alleviate the problem of information asymmetry, and it is a valid signal for market participants. The result means the role of venture capital seems to be important when companies are listed on the KOSDAQ. (2) The largest shareholder's stake has an inverted-U shape relationship with listing success. In other words, the ownership concentration mitigates moral hazard problem, which leads to listing success. However, if the ownership concentration exceeds a certain level, the chances of success in listing will decrease due to concerns over the pursuit of private interests. The result suggests that the largest shareholder's stake reduce agency problem. This study academically contributes to the existing literature by demonstrating the ownership structure affects IPOs, and explaining the results based on agent theory and signal theory. Our results provide practical implications for companies preparing for an IPO on the KOSDAQ.

• Journal of Digital Convergence
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• v.20 no.4
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• pp.215-224
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• 2022

This study tried to examine the effect of cost asymmetry on food service companies and what characteristics affect such cost behavior. This study analyses cost behavior for cost of good sold, selling, general and administrative cost over the 2019-2020 period. Also, the rate of change in activity level was measured using change in sales. This study measures the behavior of cost using the research model of [1]. As a result of the analysis, it was found that food service companies exhibited cost asymmetric behavior as their sales level decreased. In addition, the cost asymmetric behavior has been strengthened since the corona virus, and the shorter the operating cycle. Lastly, the shorter the inventory holding period and the collection period of accounts receivable, which are components of the operating cycle, more strengthen asymmetric behavior of costs. These results seem to be meaningful in examining the cost structure and factors that may affect the structure for food service industry. This has approached the cost aspect of the situation faced by service food companies due to COVID-19, and it can be suggested that this pandemic can lead to cost reduction due to a decrease in corporate sales.

• Korean small business review
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• v.42 no.4
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• pp.309-326
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• 2020

There often is information asymmetry between start-ups and the investors, which is because start-up companies in the early stages do not have track records. Meanwhile, since the government grants programs go through a fair and the intense competition process, the government grants can provide a more objective information for start-ups in the early stages and perform a signal function that guarantees a company's capabilities and potential. This study confirms the quantitative relationship between government grants and investment attraction by using the hurdler model. We found that, although there is the proportionate relationship between the scale of government grants and that of external funds, more than a certain amount of government grants is required for technology-based start-ups to exceed the stage of attracting their first external funds. Our findings suggest that it is necessary to consider the hurdles structure in the study of signaling theory perspective, as the mechanisms for determining whether or not to attract external funds are different from determining the level of external funds. In addition, differentiated policy support is needed to help early-stage technology start-ups go beyond the threshold of investment attraction-the creation of a 'threshold effect'.