Kook-Hyun Chang and Byung-Jo Yoon
This paper tries to empirically investigate whether the jump risk of Korean stock market may be statistically useful in explaining the Korean CDS (5Y) premium rate. This paper…
Abstract
This paper tries to empirically investigate whether the jump risk of Korean stock market may be statistically useful in explaining the Korean CDS (5Y) premium rate. This paper uses the jump-diffusion model with heteroscedasticity to estimate the conditional volatility of KOSPI from 7/2/2007 to 7/30/2010.
The total volatility of Korean stock market is decomposed into a heteroscedasticity and a jump risk by using the jump-diffusion model. The finding is that the jump risk in stead of heteroscedasticity in Korean stock market can explain the Korean CDS premium rate.
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Kook-Hyun Chang and Byung-Jo Yoon
This paper tries to empirically investigate whether the information contained in trading volume, volume volatility of Won/Dollar currency futures may be statistically useful in…
Abstract
This paper tries to empirically investigate whether the information contained in trading volume, volume volatility of Won/Dollar currency futures may be statistically useful in forecasting currency spot return. This paper uses both the jump-diffusion GARCH model and the bivariate GARCH type BEKK model to estimate the trading volume volatility of currency futures and the volatility of currency spot, sampled daily during 1/4/2000~12/30/2009 period. According to the findings of this study, previous information contained in both trading volume and the volume volatility of Won/Dollar currency futures might be useful in explaining the future return of the currency spot.
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Byung-Jo Yoon, Kook-Hyun Chang and 홍 민구
This paper tries to empirically investigate whether macroeconomic risk may be statistically useful in explaining long-term volatility of interest rate swap (IRS) in korean market…
Abstract
This paper tries to empirically investigate whether macroeconomic risk may be statistically useful in explaining long-term volatility of interest rate swap (IRS) in korean market. This paper uses the component-jump model to estimate long-term volatility of IRS from 1/2/2003 to 1/31/2013.
By using the component-jump model, the IRS volatility is decomposed into a long-term and a short-term component. According to this study, slope of yield curve and foreign exchange volatility as a proxy of macroeconomic risk have been significant in explaining long-term volatility of IRS.
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Kook Hyun Chang and Byung Jo Yoon
This paper tries to investigate whether the information contained in trading volume volatilities of spot and futures may be statistically useful in explaining the volatility of…
Abstract
This paper tries to investigate whether the information contained in trading volume volatilities of spot and futures may be statistically useful in explaining the volatility of korean stock market. This paper uses both the component-jump model and the bivariate GJR-GARCH type BEKK model to estimate the trading volume volatilities of spot and futures from 1/2/2001 to 9/30/2010. By using the component-jump model, the volume volatility is decomposed into a permanent component and a transitory component. According to this study, the relative importance of permanent component to the transitory component contained in both trading volume volatilities of spot and futures has been more significant in explaining the volatility of the korean stock markets.
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Jun Sik Kim and Sol Kim
This paper investigates a retrospective on the Journal of Derivatives and Quantitative Studies (JDQS) on its 30th anniversary based on bibliometric. JDQSs yearly publications…
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This paper investigates a retrospective on the Journal of Derivatives and Quantitative Studies (JDQS) on its 30th anniversary based on bibliometric. JDQSs yearly publications, citations, impact factors, and centrality indices grew up in early 2010s, and diminished in 2020. Keyword network analysis reveals the JDQS's main keywords including behavioral finance, implied volatility, information asymmetry, price discovery, KOSPI200 futures, volatility, and KOSPI200 options. Citations of JDQS articles are mainly driven by article age, demeaned age squared, conference, nonacademic authors and language. In comparison between number of views and downloads for JDQS articles, we find that recent changes in publisher and editorial and publishing policies have increased visibility of JDQS.
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Yelin Ko, Sora Shin, Yong Seok Choi, Byung-Hee Hong, Sang-Yoon Park and Joo-Young Lee
The purpose of the study was to explore heat-accumulative and thermal-conductive characteristics of copper-graphene composite film (Cu-G film) while applying it to a human-skin…
Abstract
Purpose
The purpose of the study was to explore heat-accumulative and thermal-conductive characteristics of copper-graphene composite film (Cu-G film) while applying it to a human-skin analogue.
Design/methodology/approach
In the preliminary experiment, the authors evaluated the thermal conductive characteristics of the Cu-G film in three covered conditions (no film, copper film, and Cu-G film conditions). For the first factorial experiment, the heat-accumulative properties over heated pig skin were compared at air temperatures of 10, 25 and 35°C. For the second factorial experiment, 105 trials were conducted on pig skin by combining air temperatures, trapped air volumes, and numbers of film layers.
Findings
The results from the preliminary experiment showed that the Cu-G film distributed the surface heat to the outside of the Cu-G film, which resulted in even distribution of heat inside and outside the Cu-G film, whereas the copper film accumulated heat inside the copper film. The human-skin analogue of pig skin, however, showed the opposite tendency from that of the plastic. The pig-skin temperatures beneath the Cu-G film were higher than those beneath the copper film, and those differences were remarkable at the air temperature of 10°C. The accumulative heat was affected by the trapped air volume, fit to the skin, and number of Cu-G film layers.
Originality/value
In conclusion, the Cu-G film more effectively accumulated heat on the human-skin analogue than copper film, and those effects were more marked in cold environments than in mild or hot environments.
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From 1953 to 1961, the South Korean economy grew slowly; the average per capita GNP growth was a mere percent, amounting to less than $100 in 1961. Few people, therefore, look for…
Abstract
From 1953 to 1961, the South Korean economy grew slowly; the average per capita GNP growth was a mere percent, amounting to less than $100 in 1961. Few people, therefore, look for the sources of later dynamism in this period. As Kyung Cho Chung (1956:225) wrote in the mid‐1950s: “[South Korea] faces grave economic difficulties. The limitations imposed by the Japanese have been succeeded by the division of the country, the general destruction incurred by the Korean War, and the attendant dislocation of the population, which has further disorganized the economy” (see also McCune 1956:191–192). T.R. Fehrenbach (1963:37), in his widely read book on the Korean War, prognosticated: “By themselves, the two halves [of Korea] might possibly build a viable economy by the year 2000, certainly not sooner.”
Junhee Seok, Youseok Lee and Byung-Do Kim
This study clarifies the relationship between corporate social responsibility (CSR) news reports and firm value and identifies the mechanisms that constitute this relationship…
Abstract
Purpose
This study clarifies the relationship between corporate social responsibility (CSR) news reports and firm value and identifies the mechanisms that constitute this relationship. Specifically, it identifies the roles of word of mouth (WOM) and traditional advertising in this relationship.
Design/methodology/approach
The data set used for the analysis covers 77 firms in Korea from 2012 to 2015. The random-effects model is applied to verify three hypotheses. Using a three-step regression analysis and the Sobel test, this study reveals the roles of WOM and advertising expenditure in the relationship between CSR news reports and firm value.
Findings
CSR news reports positively affect firm value, and this relationship is mediated by WOM and moderated by advertising expenditure. Notably, the positive effect of WOM on firm value is stronger for companies that spend less on advertising.
Practical implications
The evidence implies that marketing managers could benefit from not only conducting CSR activities but also widely publicizing them. CSR news reports could help companies enhance public awareness of and interest in them.
Originality/value
This is the first study to investigate the influence of CSR news reports using empirical data in Korea.