• The Korean Journal of Applied Statistics
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• v.22 no.2
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• pp.261-270
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• 2009

Current financial crisis triggered by shaky U.S. banking system adds to the emphasis on the importance of the volatility in controlling and understanding financial time series data. The ARCH and GARCH models have been useful in analyzing economic time series volatilities. In particular, multivariate GARCH(MGARCH, for short) provides both volatilities and conditional correlations between several time series and these are in turn applied to computations of hedge-ratio and VaR. In this short article, we try to assess various MGARCH models with respect to the back-testing performances in VaR study. To this end, 14 korean stock prices are analyzed and it is found that MGARCH outperforms rolling window, and BEKK and CCC are relatively conservative in back-testing performance.

• Journal of the Korean Institute of Landscape Architecture
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• v.18 no.2
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• pp.57-65
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• 1990

To select suitable siecies for barrier trees in the middle tmperature forest zone of Korea, sprout ratio, verdi cal density ratio and impenetrability were analyzed for 41 species including 9 evergreen conifer trees which had been transplanted 18 years ago and maintained as a hedge at Pocheon - Gun, Kyonggi -Do, Korea. 1. The species with high sprout ratio of hedges were Rosa multiflora, Lonicera maackii, Chamaecyparis pisifera, Thuja occidentalis in order at the upper portion, Thuja occidentalis, Rosa multiflora, Chamaecyparis pisifera, in order oa the middle portion, and Thuja occidentals, Chamaecyparis pisigera, Rosa multiflora, Cercdiphyllum japonicum, Cornus kousa, Ulmus pumila, Robinia pseudoacacia in order at the lower portion of hedges. 2. the species with high vertical density ratio were Thuja occidentalis, Chamaecyparis pisifera, Weigela subsessilis, Acer ginnala in order. 3.The species with hight impnetrability were Thuja occidentalis, Chamaecyparis pisifera, Forsythia Koreana, Juniperus rigida, Juniperus chinensis, Pinus strobus in order. 4. the values of correlation coefficents between the sprout ratio and impenetrability are given in table 3 and positive significant correlations can be observed in conifer trees.5. The species with high suitability for tree barrier were Thuja occidontalis, Chamaecyparis pisifera, Acer ginnala, Juniperus chinensis, Rosa multiflora, Counus kousa, Cercidiphyllum japonocum, Weigela subsessilis, Cornus officinalis, Philadelphus schrenckii in order.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.37 no.4
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• pp.202-211
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• 2014

Pairs trading is a type of arbitrage investment strategy that buys an underpriced security and simultaneously sells an overpriced security. Since the 1980s, investors have recognized pairs trading as a promising arbitrage strategy that pursues absolute returns rather than relative profits. Thus, individual and institutional traders, as well as hedge fund traders in the financial markets, have an interest in developing a pairs trading strategy. This study proposes pairs trading rules (PTRs) created from a price ratio between securities (i.e., stock index futures) using rough set analysis. The price ratio involves calculating the closing price of one security and dividing it by the closing price of another security and generating Buy or Sell signals according to whether the ratio is increasing or decreasing. In this empirical study, we generate PTRs through rough set analysis applied to various technical indicators derived from the price ratio between KOSPI 200 and S&P 500 index futures. The proposed trading rules for pairs trading indicate high profits in the futures market.

• The Korean Journal of Financial Management
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• v.18 no.1
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• pp.23-41
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• 2001

본 연구에서는 여러 계량 모형을 이용하여 계산한 헤지 비율의 성과를 비교하였다. 특히 헤지 비율을 추정하기 위하여 분수 공적분 오차 수정 모형을 이용하였다. KOSPI200 현물과 선물 지수를 이용하여 검증한 결과 현물, 선물 지수는 1차 적분된 시계열이며 베이시스는 분수 적분된 시계열이었다. 따라서 현물과 선물 지수는 분수 공적분된 시계열이었다. 최소 분산 헤지 비율을 최적 헤지 비율로 하여 성과를 측정한 결과 다음과 같은 결과를 얻었다. 헤지 성과는 GARCH 항이 있는 모형이 없는 모형에 비해 크게 나타나며 각 모형에서 고려하고 있는 정보 집합의 크기가 큰 순서인 FIEC, EC, VAR, OLS 순으로 헤지 성과는 크게 나타나고 있다. 그러나 OLS 방법에 의한 헤지에 의해서도 수익률 변동의 많은 부분이 사라져, 다른 모형들은 OLS 모형과 비교하여 추가적인 분산 감소 효과는 크지 않았다.

• The Korean Journal of Financial Management
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• v.16 no.1
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• pp.223-243
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• 1999

포트폴리오의 위험을 통제하거나 감소시키기 위해서 헤저들은 최적헤지비율을 추정하여야 하는데, 최적헤지비율의 추정치는 사용하는 모형에 따라 많은 차이를 보인다. 전통적인 회귀분석모형에 의하여 추정된 최적헤지비율은 시계열자료의 불안정성(nonstationary) 등으로 인하여 잘못될 가능성이 많으며, 잘못 추정된 헤지비율을 그대로 이용할 경우 현물포트폴리오의 시장위험을 최소화시키지 못하고 헤징비용을 증가시키는 결과를 초래한다. 시계열자료의 불안정성으로 말미암아 야기되는 문제점들을 개선할 수 있는 모형으로서 오차 수정모형(Error Correction Model : ECM)이 널리 이용되고 있다. 본 연구는 ECM을 사용하여 추정된 최적헤지비율과 전통적 회귀분석모형을 사용하여 추정한 최적헤지비율을 비교하여 어떤 모형으로 추정한 헤지비율이 더 정확한지를 평가하는데 목적을 두고 있다. 즉, 본 연구는 KOSPI 200 현 선물지수 자료를 대상으로 ECM과 전통적 회귀분석모형에 의한 최적헤지비율을 추정하고 각 모형의 설명력과 예측력을 비교하고자 한다. 실증분석 결과, KOSPI 200 현물지수와 KOSPI 200 선물지수간에는 공적분 관계가 존재하며, ECM과 전통적 회귀분석모형을 이용하여 추정한 최적헤지비율의 크기는 서로 다르며, ECM을 이용할 때 모형의 설명력이 조금 더 높게 나타났으며, 예측력도 ECM이 좀더 우월한 것으로 나타났다.

• East Asian Journal of Business Economics (EAJBE)
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• v.6 no.3
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• pp.1-15
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• 2018

Purpose - This study investigates the effect of MNEs' characteristics on the use of foreign currency denominated debt in the context of Korean firms. This study examines the relationship between MNEs and the use of foreign debt focusing on the accessibility to the capital market in addition to the motive of hedging against foreign exchange exposure. Research design and methodology - Probit estimation is employed for estimating significant factors in determination of the use of foreign debt by firms. The dependent variable is a dummy variable to indicate whether a firm uses foreign debt or not at the end of 2004. Independent variables include foreign subsidiaries ratio, export to sale, R&D expenditure to sale, and credit rating. Results - The results show that the interaction between the level of internationalization represented by intra-regional diversification and the strategic characteristics embedded in the region of entry affects the use of foreign debt. In case of a high level of diversification within the developing region with a strong pursuit of asset exploitation, MNEs are more likely to use foreign debt, whereas a high level of diversification within the developed region with a strong pursuit of asset seeking, MNEs are less likely to use foreign debt. Conclusions - The differences between MNEs in terms of intra-regional diversification, strategic orientation, and the accessibility to capital markets as well as the hedging motive affect the use of foreign debt.

• The Korean Journal of Financial Management
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• v.21 no.2
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• pp.183-209
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• 2004

This paper uses both the bivariate GARCH type BEKK error correction model and Bivariate-AR(1)-Markov-Switching-VECM model to estimate the volatility, time-varying correlation and hedge ratio for the KTB spot and futures indexes, sampled daily over 1/4/2000-10/30/2003. This study suggests that the volatility regime has more significant influence on KTB markets than incline/decline regime does. The results support the importance of the bivariate model in stead of univariate model between KTB spot and futures markets, which may consider not only individual variance process but also covariance process at the same time.

• Journal of Venture Innovation
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• v.1 no.1
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• pp.83-98
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• 2018

This paper makes a theoretical approach to the differences between transaction tax and capital gains tax when the financial instruments are traded and imposed taxes in K-OTC market, a newly emerging off-board market. Since it is difficult to reduce risk to the level which investors would like to pursue - depending on the taxation methods of portfolio-composed financial instruments - when it comes to forming a synthetic bond to hedge risk, this paper also seeks for effective taxation methods to make this applicable. First of all, to thoroughly review the taxation balance of synthetic bonds, this paper analyzed the effects of the transaction tax and capital gains tax imposed upon synthetic bonds according to the changes in final stock price and strike price in K-OTC market, and analyzed after-tax profit differences among them depending on whether income tax deduction took place or not. As a result of the research upon the tax gap in transaction tax and capital gains tax according to the changes of final stock prices, it was shown that imposing transaction tax is more likely to be effective for some level of risk hedging with replicating portfolio considering taxation policies and financial markets, since the effect of the transaction tax has a much lower tax gap than that of capital gains tax. In addition, in relation to whether income tax deduction was permitted or not, it was proved that the effect of the transaction tax and the capital gains tax vary depending on the variation in the strike price. Above all, it was shown that if the strike price is lower than the stock price, the transaction tax will be less affected by the existence of income tax deduction than the capital gains tax, while both will be equally affected by the existence of income tax deduction if the strike price is higher than the stock price. Further study would be to demonstrate the validation of this in the K-OTC market with actual financial instruments and, also, to seek for a more systematic hedging method by using a ratio analysis approach to the calculation of the option transaction tax