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Article
Publication date: 31 August 2012

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…

11

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.

Details

Journal of Derivatives and Quantitative Studies, vol. 20 no. 3
Type: Research Article
ISSN: 2713-6647

Keywords

Available. Open Access. Open Access
Article
Publication date: 31 August 2010

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…

20

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.

Details

Journal of Derivatives and Quantitative Studies, vol. 18 no. 3
Type: Research Article
ISSN: 2713-6647

Keywords

Available. Open Access. Open Access
Article
Publication date: 31 August 2013

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…

10

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.

Details

Journal of Derivatives and Quantitative Studies, vol. 21 no. 3
Type: Research Article
ISSN: 2713-6647

Keywords

Available. Open Access. Open Access
Article
Publication date: 31 May 2011

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…

18

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.

Details

Journal of Derivatives and Quantitative Studies, vol. 19 no. 2
Type: Research Article
ISSN: 2713-6647

Keywords

Available. Open Access. Open Access
Article
Publication date: 10 September 2021

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…

1745

Abstract

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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Journal of Derivatives and Quantitative Studies: 선물연구, vol. 29 no. 4
Type: Research Article
ISSN: 1229-988X

Keywords

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Article
Publication date: 30 March 2020

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…

248

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.

Details

International Journal of Clothing Science and Technology, vol. 32 no. 4
Type: Research Article
ISSN: 0955-6222

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Article
Publication date: 1 November 1997

John Lie

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…

463

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.”

Details

International Journal of Sociology and Social Policy, vol. 17 no. 11/12
Type: Research Article
ISSN: 0144-333X

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Article
Publication date: 1 April 2020

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…

1309

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.

Details

Asia Pacific Journal of Marketing and Logistics, vol. 32 no. 3
Type: Research Article
ISSN: 1355-5855

Keywords

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