Sang Il Han and Chang Hyun Yun
In this paper we make an analysis of KOSPI 200 index options listed in Korea Stock and Futures Exchange whose trading volume is world best these days. We adopt the stochastic…
Abstract
In this paper we make an analysis of KOSPI 200 index options listed in Korea Stock and Futures Exchange whose trading volume is world best these days. We adopt the stochastic volatility model suggested by Heston (1993) for the dynamics of the underlying asset and use EMM to estimate the parameters of option pricing kernel. The SNP distribution of the implied volatility contains AR (2) and ARCH effects, and the skewness of the distribution is much higher than normal distribution. The distribution has thinner left tail and fatter right tail than normal distribution, which is opposite to the case of S&P 500 options market. The result of estimation shows that Implied volatility series of KOSPI 200 options have weak mean reverting property and are almost nonstationary. The correlation coefficient between the implied volatility and returns is estimated to have negligible negative number. These features are also opposite to the case of S&P 500 options market where implied volatility is reported to have strong mean reversion, and the correlation between the implied VIatilIty and retturns is reported to have large negative number.
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Chang Hyeon Yun, Tae Geun Jo and Sang Il Han
We analyze the dynamic behavior of the volatility of KTB futures price through GARCH models. In conducting this analysis we use two type data. Using dailly data we analyze the…
Abstract
We analyze the dynamic behavior of the volatility of KTB futures price through GARCH models. In conducting this analysis we use two type data. Using dailly data we analyze the return and volatility spill-over effect between KTB spot and futures. Through 15-minute and 5-minute data we analyze return and volatility spill-over effect between KTB futures and won/dollar futures. We find that ARCH and GARCH effect exists in the volatility of KTB futures, but leverage effect does not exist in this data. Volatility spill-over effect was found only in 15-minute data. Lead and lag effect was found in 15-minute data of dollar and KTB futures where dollar return leads KTB futures and KTB volatility leads dollar volatility. In the daily data we found that KTB futures return lead KTB spot return while mutual spill-over existed between spot and futures in volatility data. Since conditional heteroscedasticity exists in KTB futures we need to consider the these effects in building up systems for arbitrage, valuation and risk management.
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The invariance principle known as the functional central limit theorem is the fundamental knowledge for understanding the convergence of a Markov chain to a diffusion process and…
Abstract
The invariance principle known as the functional central limit theorem is the fundamental knowledge for understanding the convergence of a Markov chain to a diffusion process and has been applied to many areas of financial economics. The derivation of that principle from the properties of stochastic process is nasty (Billingsley, 1999). Following the approach of Gikhman and Skorokhod (2000) this study uses the properties of probability measures to simplify the proof of the principle. If the sequences of finite distributions on weakly converge then they are tight. Using this properties, the invariance principle was directly proved. As applications of this principle, I derived the statistic of unit root process and the convergence of the Cox et al. (1979) binomial option pricing model to the continuous time Black Scholes (1972) option pricing model.
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Man has been seeking an ideal existence for a very long time. In this existence, justice, love, and peace are no longer words, but actual experiences. How ever, with the American…
Abstract
Man has been seeking an ideal existence for a very long time. In this existence, justice, love, and peace are no longer words, but actual experiences. How ever, with the American preemptive invasion and occupation of Afghanistan and Iraq and the subsequent prisoner abuse, such an existence seems to be farther and farther away from reality. The purpose of this work is to stop this dangerous trend by promoting justice, love, and peace through a change of the paradigm that is inconsistent with justice, love, and peace. The strong paradigm that created the strong nation like the U.S. and the strong man like George W. Bush have been the culprit, rather than the contributor, of the above three universal ideals. Thus, rather than justice, love, and peace, the strong paradigm resulted in in justice, hatred, and violence. In order to remove these three and related evils, what the world needs in the beginning of the third millenium is the weak paradigm. Through the acceptance of the latter paradigm, the golden mean or middle paradigm can be formulated, which is a synergy of the weak and the strong paradigm. In order to understand properly the meaning of these paradigms, however, some digression appears necessary.
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Chang-Hoon Sim, Han-Il Kim, Jae-Sang Park and Keejoo Lee
The purpose of this paper is to derive knockdown factor functions in terms of a shell thickness ratio (i.e. the ratio of radius to thickness) for conventional orthogrid and…
Abstract
Purpose
The purpose of this paper is to derive knockdown factor functions in terms of a shell thickness ratio (i.e. the ratio of radius to thickness) for conventional orthogrid and hybrid-grid stiffened cylinders for the lightweight design of space launch vehicles.
Design/methodology/approach
The shell knockdown factors of grid-stiffened cylinders under axial compressive loads are derived numerically considering various shell thickness ratios. Two grid systems using stiffeners – conventional orthogrid and hybrid-grid systems – are used for the grid-stiffened cylinders. The hybrid-grid stiffened cylinder uses major and minor stiffeners having two different cross-sectional areas. For modeling grid-stiffened cylinders with various thickness ratios, the effective thickness (teff) of the cylinders is kept constant, and the radius of the cylinder is varied. Thickness ratios of 100, 192 and 300 are considered for the orthogrid stiffened cylinder, and 100, 160, 200 and 300 for the hybrid-grid stiffened cylinder. Postbuckling analyses of grid-stiffened cylinders are conducted using a commercial nonlinear finite element analysis code, ABAQUS, to derive the shell knockdown factor. The single perturbation load approach is applied to represent the geometrical initial imperfection of a cylinder. Knockdown factors are derived for both the conventional orthogrid and hybrid-grid stiffened cylinders for different shell thickness ratios. Knockdown factor functions in terms of shell thickness ratio are obtained by curve fitting with the derived shell knockdown factors for the two grid-stiffened cylinders.
Findings
For the two grid-stiffened cylinders, the derived shell knockdown factors are all higher than the previous NASA’s shell knockdown factors for various shell thickness ratios, ranging from 100 to 400. Therefore, the shell knockdown factors derived in this study may facilitate in the development of lightweight structures of space launch vehicles from the aspect of buckling design. For different shell thickness ratios of up to 500, the knockdown factor of the hybrid-grid stiffened cylinder is higher than that of the conventional orthogrid stiffened cylinder. Therefore, it is concluded that the hybrid-grid stiffened cylinder is more efficient than the conventional orthogrid-stiffened cylinder from the perspective of buckling design.
Practical implications
The obtained knockdown factor functions may provide the design criteria for lightweight cylindrical structures of space launch vehicles.
Originality/value
Derivation of shell knockdown factors of hybrid-grid stiffened cylinders considering various shell thickness ratios is attempted for the first time in this study.
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Corporate social responsibility (CSR) index represents attributes of firms that are differentiated. The purpose of this paper is to investigate the impacts of differentiated CSR…
Abstract
Purpose
Corporate social responsibility (CSR) index represents attributes of firms that are differentiated. The purpose of this paper is to investigate the impacts of differentiated CSR, CSRS (strategic CSR activities) and CSRD (defensive CSR activities) on R&D expenditure and its effectiveness on firm values.
Design/methodology/approach
The sample includes 1,388 firm-year observations for 2004–2015 of listed firms on the Korean Stock Exchange (KSE) whose CSR measures, KEJI (Korea Economic Justice Institute) index are available from the Citizens' Coalition for Economic Justice (2016).
Findings
The results show that while CSRS is positively associated with R&D expenditure, CSRD is not. Further, development costs and its interaction term with CSRS positively affect firm values.
Originality/value
This study provides an important reason to separate the attributes of the CSR in future empirical studies. The results imply that the study of effects of CSR on sustainable growth or firm values should focus on CSRS rather than CSR activities in general in future research.
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Man has been seeking an ideal existence for a very long time. In this existence, justice, love, and peace are no longer words, but actual experiences. How ever, with the American…
Abstract
Man has been seeking an ideal existence for a very long time. In this existence, justice, love, and peace are no longer words, but actual experiences. How ever, with the American preemptive invasion and occupation of Afghanistan and Iraq and the subsequent prisoner abuse, such an existence seems to be farther and farther away from reality. The purpose of this work is to stop this dangerous trend by promoting justice, love, and peace through a change of the paradigm that is inconsistent with justice, love, and peace. The strong paradigm that created the strong nation like the U.S. and the strong man like George W. Bush have been the culprit, rather than the contributor, of the above three universal ideals. Thus, rather than justice, love, and peace, the strong paradigm resulted in in justice, hatred, and violence. In order to remove these three and related evils, what the world needs in the beginning of the third millenium is the weak paradigm. Through the acceptance of the latter paradigm, the golden mean or middle paradigm can be formulated, which is a synergy of the weak and the strong paradigm. In order to understand properly the meaning of these paradigms, however, some digression appears necessary.
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Il-Kyoung Kwon and Sang-Yong Lee
The focus in ICT development has shifted from performance to maximization of tangibility. In particular, the interests in emotion-based services increase and more attention is…
Abstract
Purpose
The focus in ICT development has shifted from performance to maximization of tangibility. In particular, the interests in emotion-based services increase and more attention is paid to improving the quality of service and maximizing tangibility. Hence, it is necessary to model human emotions and utilize inferred emotions for services in order to enhance the quality of emotion-based personalized services. To this end, this study aims to model personalized emotional space by means of V-A emotion model and to suggest a fuzzy-based emotion inference method.
Design/methodology/approach
This study takes advantage of V-A emotion model, AHP and fuzzy integral technique to implement an emotion inference based on the quantitative evaluation and systematic expression of human emotions. By means of AHP, the personalized V-A emotion model was established. Fuzzy measure and Choquet integral methods were applied for emotion inference based on the inputs of valence and arousal (V-A) values, with the results evaluated in an experiment.
Findings
Thayer's emotion model structures 12 human emotions in reference to V-A values. This structure, however, may differ depending on individuals, and thus a method to measure and express it appropriately is necessary. This study evaluates the relative weight of 12 emotions based on AHP and regularizes them to compose the personalized V-A emotional space by drafting the V-A model. In addition, fuzzy integral-based emotion inference has been tested in reference to the V-A values on the established V-A emotion space.
Originality/value
Fuzzy integral-based emotion inference has been tested in reference to the V-A values on the established personalized emotion space.
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Heetae Yang, Yeram Cho and Sang-Yeal Han
This study develops a comprehensive research model and investigates the significant factors affecting positive marketing outcomes in the Metaverse through perceived social…
Abstract
Purpose
This study develops a comprehensive research model and investigates the significant factors affecting positive marketing outcomes in the Metaverse through perceived social benefits and trust.
Design/methodology/approach
The authors propose a new research model based on social exchange theory (SET) and examine the impact of cost and reward factors. Using 327 survey samples collected from current Metaverse users in South Korea, dual-stage analysis using Partial Least Squares Structural Equation Modeling (PLS-SEM) and an artificial neural network (ANN) were employed to test the study’s hypotheses.
Findings
The results showed that perceived social benefit and trust had significant mediating effects on marketing outcomes, such as loyalty to the seller, product/service attitude, and purchase intention. All antecedents, except perceived performance risk, had a crucial impact on the two mediators. The most interesting finding of this study is the positive influence of knowledge-seeking efforts on perceived social benefits.
Originality/value
This study is the first empirical research to examine the effectiveness of marketing in the Metaverse. It also proposes a new theoretical model based on SET to investigate users’ behavioral intentions regarding marketing in the Metaverse, and confirms its explanatory power. Moreover, the results of this study also offer suggestions to brands on how to market to consumers in the Metaverse.
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Geertz is well known for his methodology. Many Symbolic Interactionists refer to his notion of “thick description.” They may not know his work on Indonesia in general, but they…
Abstract
Geertz is well known for his methodology. Many Symbolic Interactionists refer to his notion of “thick description.” They may not know his work on Indonesia in general, but they often know his famous essay on the Balinese cockfight: “Deep Play” (Geertz, 1972, 1973). That essay is often held up as an exemplary “model” of ethnographic fieldwork. But we need to examine what he calls “thick description” more carefully. After the first few pages of the essay there is actually very little “idiographic description” per se. Much of the paper concerns general description and analysis. We do not get a blow-by-blow account of a cockfight as viewed by Geertz. Instead we get an analysis that is based on Jeremy Bentham’s Utilitarianism (Parekh, 1998). There is a good deal missing from the broader analysis as well. Much of that can be found in other work (Geertz, 1959, 1966, 1980, 1995). Students who only read “Deep Play” often form a superficial impression of the method of “thick description” and a distorted sense of Balinese culture (Howe, 2001; Vickers, 1996 [1981]; Warren, 1993). This essay supplements Geertz’s essay with a discussion of a religious ceremony of far more importance than the largely secular cockfight. I touch on a central feature of Balinese society not emphasized by Geertz: the temple anniversary festival. It is called an odalan (Belo, 1966 [1953a]; Eiseman, 1990; Geertz, 2004). But the problem is not just restricted to the “Deep Play” essay. Geertz’s other work is often also not based primarily on ethnographic thick description. It concerns historical and sociological generalizations. Those are often based on archives and general fieldwork. Geertz also benefits from reading of Dutch research not available in English. The celebrations which take place at a temple are “deeper” than more immediate, largely secular games like a cockfight. Geertz’s oeuvre is well worth reading, but his notion of “thick description” needs to be seen in a broader, comparative historical sociological context. That involves Interpretive research paradigms that Geertz, as a symbolic anthropologist, distanced himself from, including Symbolic Interactionism and Weberian verstehende Soziologie.