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Available. Open Access. Open Access
Article
Publication date: 29 February 2020

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…

204

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.

Details

Journal of Derivatives and Quantitative Studies, vol. 28 no. 1
Type: Research Article
ISSN: 2713-6647

Keywords

Available. Open Access. Open Access
Article
Publication date: 31 May 2005

Jay M. Chung and Jae Keun Kim

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…

15

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.

Details

Journal of Derivatives and Quantitative Studies, vol. 13 no. 1
Type: Research Article
ISSN: 2713-6647

Keywords

Available. Open Access. Open Access
Article
Publication date: 31 May 2012

Jay M. Chung

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…

16

Abstract

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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Journal of Derivatives and Quantitative Studies, vol. 20 no. 2
Type: Research Article
ISSN: 2713-6647

Keywords

Available. Open Access. Open Access
Article
Publication date: 31 May 2018

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…

81

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.

Details

Journal of Derivatives and Quantitative Studies, vol. 26 no. 2
Type: Research Article
ISSN: 2713-6647

Keywords

Available. Open Access. Open Access
Article
Publication date: 27 July 2020

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…

1237

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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Journal of Derivatives and Quantitative Studies: 선물연구, vol. 28 no. 2
Type: Research Article
ISSN: 1229-988X

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…

1744

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: 16 June 2021

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.

538

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.

Details

Journal of Social Marketing, vol. 11 no. 4
Type: Research Article
ISSN: 2042-6763

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Article
Publication date: 19 June 2017

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…

490

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.

Details

International Journal of Web Information Systems, vol. 13 no. 2
Type: Research Article
ISSN: 1744-0084

Keywords

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Book part
Publication date: 13 August 2018

Robert L. Dipboye

Abstract

Details

The Emerald Review of Industrial and Organizational Psychology
Type: Book
ISBN: 978-1-78743-786-9

Available. Content available
Book part
Publication date: 24 February 2022

Ayodeji E. Oke, Seyi S. Stephen and Clinton O. Aigbavboa

Abstract

Details

Value Management Implementation in Construction
Type: Book
ISBN: 978-1-80262-407-6

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