Jung Cheol Shin, Rae Soo Park and Jay M. Chung
This paper reviews the history of OCIO (outsourced chief investment officer) and surveys the critical success factors of OCIO business in Korea. The market size of OCIO business…
Abstract
This paper reviews the history of OCIO (outsourced chief investment officer) and surveys the critical success factors of OCIO business in Korea. The market size of OCIO business in Korea has rapidly grown up, and the asset management for the retirement pension fund is expected to be the blue ocean for OCIO business. Survey study for OCIO business shows that the main interest of incumbent OCIOs and the potential candidates of Korea is the profitability, although OCIOs in the major foreign financial markets have their main interest in the risk management and/or the effectiveness of in-house supports. This result suggests that the potential OCIOs who prepare the entrance to the OCIO business should consider the needs and/or the purpose of the OCIO adopters and their practical constraints. OCIOs should develop their own unique professional field rather than the general expertise. Also, the Korean financial regulator is supposed to introduce the financial institutions specialized in OCIO business only.
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We examine the argument of the Financial Supervisory Service that the behavior of the Individual Investors to buy an out-of-the-money option is excessively speculative. The FSS…
Abstract
We examine the argument of the Financial Supervisory Service that the behavior of the Individual Investors to buy an out-of-the-money option is excessively speculative. The FSS reported that the individual investors incurred huge losses in the trading of KOSPI200 index options for the years 2002 and 2003. But since the sample period is relatively short, the argument does not seem fully convincing. Using a longer period data from July 1997 to December 2003, we reconfirm the huge losses of the Individual investors and also find that a tendency of individual investors losing money in association with option trading perSisted during the longer period. The individual investors chose out-of-the money options with short time to maturity, that are cheap and thus are expected to make huge profits with very low probabilities. Finally, we tind that out-ot-the money options with short time to maturity turn out to be in general priced higher than what the Korea Stock Exchange model suggests.
The practice of purchasing out-of-the-money options for the reason of cheap prices and huge profit possibilities can be regarded as being excessively speculative. Due to overpricing, the individual investors persistently incurred some losses.
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We investigate how Korean stock market and its participants react to the sub-prime mortgage crisis. Using data for the ABX sub-prime index, we find strong evidence of information…
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We investigate how Korean stock market and its participants react to the sub-prime mortgage crisis. Using data for the ABX sub-prime index, we find strong evidence of information transmission from ABX to KOSPI and VKOSPI during 2007 sub-prime mortgage crisis period. Responding to the drop of ABX, domestic institutional investors buy, whereas foreign investors sell. Furthermore, we find KOSPI reacts to ABX less than the response implied by KOSPI response to S&P 500 and S&P 500 response to ABX, which are considered as an efficient channel of information transmission. This phenomenon occurs because domestic investors buy stocks as ABX drops, thus keeping KOSPI from responding fully to information on ABX. On the contrary, foreign investors sell stocks as ABX drops, which show that foreign investors play as a channel for sub‐prime mortgage information transmission. This evidence supports the hypothesis of Kho (2011) that foreign investors have an informational advantage over domestic investors on overseas information.
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Soon Shin Kwon, Byung Jin Kang and Jay M. Chung
This paper develops “Strategy Benchmark Index (SBI)” using KOSPI200 options data from January 2004 to March 2017, and then investigates their performances. The SBIs were…
Abstract
This paper develops “Strategy Benchmark Index (SBI)” using KOSPI200 options data from January 2004 to March 2017, and then investigates their performances. The SBIs were constructed in the same way as those published daily by CBOE. To effectively analyze the performance of these SBIs, we classified them into four types : (1) Return enhancement SBIs (six indices), (2) Volatility trading SBIs (two indices), (3) Directional trading SBIs (two indices) and (4) Other SBIs (two indices). The return enchancement SBIs include bechmark indices tracking the performance of various covered call strategies and put writing strategies, which are generally used to increase investment returns. The volatility trading SBIs include benchmark indices tracking the performance of well-known volatility trading strategies such as butterfly spread and condor. Benchmark indices tracking the performance of various types of zero-cost collar strategies are classified into the directional trading SBIs. Our empirical results are as follows. First, the risk-adjusted performances of nine SBIs of the total twelve SBIs constructed from KOSPI200 index options has been shown to be great. Second, from a portfolio perspective, some SBIs can be helpful to improve the portfolio performance of CRRA (Constant Relative Risk Aversion) investors. These results imply that passive investment strategies with KOSPI200 index options can provide additional benefits that both equities and bonds do not provide. Third, even when we use the traditional mean-variance framework other than expected utility theory to verify the economic benefit of the SBIs, our empirical results are found to be still valid. In conclusion, our results suggest that some passive investment strategies using KOSPI200 index options would be beneficial to long term investors.
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Jay M. Chung and Shu-Feng Wang
This paper aims to investigate short selling and stock price crash risk. The authors find that short selling is positively associated with one-month-ahead stock price crash risk…
Abstract
This paper aims to investigate short selling and stock price crash risk. The authors find that short selling is positively associated with one-month-ahead stock price crash risk, consistent with the literature showing that short sellers are informed traders. The authors attribute this prediction ability to the information short sellers receive from foreign investors with high levels of ownership in a firm. The results shed light on policy issues regarding short selling regulation.
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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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Dongjae (Jay) Lim, Jhih-Syuan Lin, Un Chae Chung and Youngjee Ko
This paper aims to investigate the effect of matching social distance and the concrete/abstract visual presentation of the threats of distracted driving in campaign design.
Abstract
Purpose
This paper aims to investigate the effect of matching social distance and the concrete/abstract visual presentation of the threats of distracted driving in campaign design.
Design/methodology/approach
This study conducts a series of 2 (social distance frame: close vs distant) × 2 (visual rhetoric style: literal vs metaphorical) online experiments on the perspective of the construal level theory.
Findings
This study identified that a fit between social distance and visual rhetoric style of the threat enhances the effect of a social marketing campaign targeting young adults. A message framed in terms of socially proximal entities shows a favorable impact on young drivers’ threat perception and behavioral intention when the visual rhetoric depicts the threats of texting while driving more concrete. On the other hand, more distant social entities in the message show a better impact when the threats are visualized in metaphor.
Originality/value
This paper enhances the understanding of a threat appeal message design by adding empirical evidence of matching visual rhetoric style and social distance. The findings provide theoretical and practical implications for social marketing campaigns, regarding the strategic tailoring of messages, particularly in public service announcements that discourage texting while driving on young adults.
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Ta Na, Nobuo Funabiki, Khin Khin Zaw, Nobuya Ishihara, Shinpei Matsumoto and Wen-Chung Kao
To advance Java programming educations, the authors have developed a Java Programming Learning Assistant System (JPLAS) as a web application system. JPLAS provides fill-in-blank…
Abstract
Purpose
To advance Java programming educations, the authors have developed a Java Programming Learning Assistant System (JPLAS) as a web application system. JPLAS provides fill-in-blank problems for novices to study the grammar and basic programming skills through code reading.
Design/methodology/approach
To select the blank elements with grammatically correct and unique answers from a given Java code, the authors have proposed the graph-based blank element selection algorithm. Then, the code for this problem should be highly readable to encourage novice students to study it. Because code readability can be improved by proper names for identifiers, the authors have also proposed the naming rule testing algorithm to identify codes with correct names.
Findings
In this paper, the authors present a fill-in-blank problem workbook by collecting suitable Java codes from textbooks and Web sites and applying these algorithms with several extensions. The workbook consists of 16 categories with a considerable number of problems that follow the conventional learning order of Java programming.
Originality/value
The proper set of ready-made fill-in-blank problems is effective in enhancing the usability of JPLAS both for teachers and students. For the preliminary evaluation, the authors assign a few problems to students. In coming semesters, the authors will use this workbook in the course to verify the adequacy of the proposal for novices.
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Ayodeji E. Oke, Seyi S. Stephen and Clinton O. Aigbavboa