Wan Seuk Choi and Joon H. Rhee
This paper performs the empirical analysis on the factors affection the hedge effectiveness of Korea Treasury Bond (KTB) Futures by different hedge models. Before analyzing the…
Abstract
This paper performs the empirical analysis on the factors affection the hedge effectiveness of Korea Treasury Bond (KTB) Futures by different hedge models. Before analyzing the factors, firstly, we compare the hedge effectiveness for benchmark bond portfolio among different hedge models. We find that KTB Futures' hedge effectiveness do not produce significant difference depending on the different models.
Secondly, we test hedge effectiveness for the corporate bond. The results vary depending on the credit ranks. Below BBB rating, hedge effectiveness deteriorated significantly. This seems to be caused by the fact that BBB rated bond is more prone to be affected by credit risk rather than interest rate risk.
Thirdly, hedge effectiveness analysis for the maturity term mismatch, KTB Futures has performed poorly as underlying bond maturity mismatching with Futures. Finally, different yield curve shape, Futures price undervaluation or time to maturity of Futures do not produce significant effect for the hedge effectiveness.
In summary hedge effectiveness of KTB Futures (3 Year, 10 Year) seems to be dominantly affected by the 1) underlying hedging bond credit rating and 2) hedge term mismatch. Other factors such as yield curve shape, undervaluation of Futures and time to maturity of Futures has limited contribution under our research.
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This paper extracts the factors determining the implied volatility skew movements of KOSPI200 index options by applying PCA (Principal Component Analysis). In particular, we…
Abstract
This paper extracts the factors determining the implied volatility skew movements of KOSPI200 index options by applying PCA (Principal Component Analysis). In particular, we analyze the movement of skew depending on the changes of the underlying asset price. As a result, it turned out that two factors can explain 94.6%~99.8% of the whole movement of implied volatility. The factor1 could be interpreted as ‘parallel shift’, and factor2 as the movement of ‘tilt or slope’. We also find some significant structural changes in the movement of skew after the Financial Crisis. The explanatory power of factor1 becomes more important on the movement of skew in both call and put options after the financial crisis. On the other hand, the influences of the factor2 is less. In general, after financial crisis, the volatility skew has the strong tendency to move in parallel. This implies that the changes in the option price or implied volatility due to the some shocks becomes more independent of the strike prices.
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Young Geun Ji and Joon H. Rhee
ELS (Equity Linked Security) is the structured product which is one of the fast grown and the most successful in Korean financial markets. In particular, ELS with the index of…
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ELS (Equity Linked Security) is the structured product which is one of the fast grown and the most successful in Korean financial markets. In particular, ELS with the index of stocks as underlying asset (‘index ELS') has shown a remarkable growth since 2010. This paper has analyzed the hedging effects of index ELS to the KOSPI200 index and futures market. It verifies that the hedging of index ELS has not shown any significant effect to the return of KOSPI200 index and futures, but it seems that it effects on the volatility. In other words, as ELS issue amount increases, VKOSPI tends to decrease because ELS issuer which has long vega position is trying to hedge it.
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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.”
This study proposed an optimal model to examine the relationship between the Bitcoin price and six macroeconomic variables – the Bitcoin price, Standard and Poor's 500 volatility…
Abstract
This study proposed an optimal model to examine the relationship between the Bitcoin price and six macroeconomic variables – the Bitcoin price, Standard and Poor's 500 volatility index, US treasury 10-year yield, US consumer price index, gold price and dollar index. It also examined the effectiveness of the vector error correction model (VECM) in analyzing the interrelationship among these variables. The authors employed the following approach: first, the authors sampled the period August 2010–February 2022. This is because Bitcoin achieved a market capitalization of more than US$1 tn over this period, gaining market attention and acceptance from retail, corporate and institutional investors. Second, the authors employed a VECM with the six macroeconomic variables. Finally, the authors expanded the long-run equilibrium relationship (time-invariant cointegration)-based VECM to develop a time-varying cointegration (TVC) VECM. The authors estimated the TVC VECM using the Chebyshev polynomial specification based on various information criteria. The results showed that the Bitcoin price can be modeled with the VECM (p = 1, r = 1). The TVC approach generated more explanatory power for Bitcoin pricing, indicating the effectiveness of the approach for modeling the long-run relationship between Bitcoin price and macroeconomic variables.
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Heike Schröder, Matt Flynn, Thomas Klassen, Alexander-Stamatios Antoniou and Myung-Joon Park
The purpose of this paper is to review historical progress and current picture of decentralization in Korea from political, administrative and fiscal perspectives.
Abstract
Purpose
The purpose of this paper is to review historical progress and current picture of decentralization in Korea from political, administrative and fiscal perspectives.
Design/methodology/approach
This paper draws on economic as well as political theories regarding decentralization and describes historical development of the local autonomy system in Korea.
Findings
This paper discusses the current discrepancies among the progress of political, administrative and fiscal independence in the local autonomy system in Korea and concludes that the lack of fiscal independence in the local level significantly undermines the efficacy of political and administrative decentralization in Korea.
Originality/value
Decentralization has three distinct perspectives. This paper examines decentralization in Korea from all three perspectives.
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Young-Joon Seo, John Dinwoodie and Dong-Wook Kwak
This purpose of this paper is to study the impact of innovativeness on supply chain integration (SCI) and supply chain performance (SCP) and the role of SCI in mediating between…
Abstract
Purpose
This purpose of this paper is to study the impact of innovativeness on supply chain integration (SCI) and supply chain performance (SCP) and the role of SCI in mediating between innovativeness in the supply chain and SCP. Innovativeness is an accepted driver to leverage firm performance. SCI and SCP require innovativeness in the supply chain, but their interrelationships have rarely been researched empirically.
Design/methodology/approach
A questionnaire survey and structural equation modelling were used in this work. After a structural and measurement model was devised from existing supply chain literature, the main data were collected in a web-based questionnaire survey of South Korean manufacturers. Structural equation modelling was applied to test proposed hypotheses on the associations between variables, following a hierarchical analysis process.
Findings
Innovativeness in the supply chain had a positive impact on both SCI and SCP. However, the direct impact of innovativeness on SCP disappeared when the model included SCI as a mediator. In specific, internal and supplier integration fully mediated innovativeness–SCP relationships, whereas customer integration had no mediating role on those relationships. The findings suggest that innovativeness can influence SCP only when the manufacturer’s level of SCI is sufficiently effective in developing necessary supply chain practices.
Research limitations/implications
In this work, innovativeness in the supply chain effectively influenced SCP through the mediation of SCI. However, cross-sectional analysis in one nation using one response per organisation invites validation embracing other geographical areas and longitudinal studies.
Practical implications
Design of an innovative culture within a firm and along a supply chain can enhance SCI practices by stimulating innovativeness. A high level of SCI should be pursued to effectively transform innovativeness into performance.
Originality/value
This work seminally examines the effect of innovativeness in the supply chain on SCI and SCP as well as the mediating role of SCI in the relationships between innovativeness and SCP.
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Muhammad Awais, Harikrishnan Ramiah, Chee-Cheow Lim and Joon Huang Chuah
The purpose of this work in designing a wideband ring voltage-controlled oscillator (VCO) based on programmable current topology. It occupies a very tiny area yet achieving a good…
Abstract
Purpose
The purpose of this work in designing a wideband ring voltage-controlled oscillator (VCO) based on programmable current topology. It occupies a very tiny area yet achieving a good phase noise performance, which is suitable to be implemented in cost-effective and wideband frequency synthesizers.
Design/methodology/approach
The tuning range and gain are improved by dividing the VCO tuning curve into multiple curves controlled by programmable current sources without introducing additional parasitic capacitance.
Findings
Fabricated in 130-nm standard complementary metal oxide semiconductor technology and occupying an area of 0.079 mm2, the VCO is tunable from 2.05 to 4.19 GHz, with a tuning percentage of 68.5 per cent. The VCO measures a phase noise performance of −96.7 dBc/Hz at an offset of 1 MHz from a 4.19 GHz carrier while consuming an average current of 6.5 mA, achieving figure of merit (FoM) and FoMT of −158.9 and −175.6 dBc/Hz, respectively.
Originality/value
The proposed design uses programmable current topology without introducing parasitic capacitance, hence achieving wideband operation. It also occupies a tiny area and achieves a good phase noise performance.
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Els-Marie Anbäcken, Anna-Lena Almqvist, Carl Johansson, Kazushige Kinugasa, Miho Obata, Jinhee Hyun, Jinsook Lee and Young Joon Park
Purpose: The aim is to explore how family relations are affected by societal changes in relation to informal and formal caregiving and self-determination of older adults…
Abstract
Purpose: The aim is to explore how family relations are affected by societal changes in relation to informal and formal caregiving and self-determination of older adults.
Design/methodology/approach: Care managers (CMs)/social workers (SWs) (N = 124) participated in a comparative vignette study including Japan, South Korea, and Sweden. Systems theory was used.
Findings: Japanese CMs/SWs clearly describe their efforts to create networks in a relational way between formal and informal actors in the community. South Korean CMs/SWs balance between suggesting interventions to support daily life at home or a move to a nursing home, often acknowledging the family as the main caregiver. In Sweden, CMs/SWs highlight the juridical element in meeting the older adult and the interventions offered, and families primarily give social support. Regarding self-determination, the Japanese priority is for CMs/SWs to harmonize within the family and the community. South Korean CMs/SWs express ambivalent attitudes to older adults’ capability for self-determination in the intersection between formal and family care. Swedish CMs/SWs adhere to the older adult’s self-determination, while acknowledging the role of the family in persuading the older adult to accept interventions. The results suggest emerging defamilialization in South Korea, while tendencies to refamilialization are noticed in Japan and Sweden, albeit in different ways.
Research limitations/implications: In translation, nuances may be lost. A focus on changing families shows that country-specific details in care services have been reduced. For future research, perspectives of “care” need to be studied on different levels.
Originality/value: Using one vignette in three countries with different welfare regimes, discussing changing views on families’, communities’ and societal caregiving is unique. This captures changes in policy, influencing re- and defamilialization.