Seung Hyun Oh and Sang Buhm Hahn
Grinblatt and Han (2005) argued that unrealized capital gains and expected returns are positively related in the U.S. stock markets. This study investigates the possibility of…
Abstract
Grinblatt and Han (2005) argued that unrealized capital gains and expected returns are positively related in the U.S. stock markets. This study investigates the possibility of developing investment strategies for stock index futures using the positive relation. Probing the trading data of futures on KOSPI200 during the period of 1995~2013, several interesting results are obtained. First, the strategy of building long positions when the unrealized capital gain is greater than zero produces positive profit which is statistically significant. Second, the profitability of this strategy during December is significantly positive while the profitability during January is insignificant. Third, the strategy generates positive profit during the second half year while the profitability of the first half year is insignificant. These results imply that it is possible to develop investment strategy by extracting some information from the unrealized capital gains.
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Sang Buhm Hahn and Seung Hyun Oh
This study investigates the impact of program trading on the market volatility by separating the volatility into long-run and short-run components using VA-CEGARCH model. This…
Abstract
This study investigates the impact of program trading on the market volatility by separating the volatility into long-run and short-run components using VA-CEGARCH model. This approach allows us to observe the two channels through which the program trading affects the market volatility. We have following results. Program trading and non-program trading both have no impact on the long-run component but do increase short-run component. In case of short-run component‘ program trading has a larger impact compared to non-program trading. Secondly, in both daily and intra-day analysis, arbitrage program trading is found to have a larger impact on short-run components than non-arbitrage program trading.
Thirdly, ARCH effects are found in short-run components of daily analysis and long-run components of intra-day analysis. And the volatility’s asymmetric responses to good or bad news are introduced through long-run components. What is noteworthy is the fact that non-arbitrage program trading is actually found to reduce short-run volatility in the intra-day analysis.
Which means that non-arbitrage program trading, such as hedging transactions, helps promote intra-day market stability. Our findings mean that the short-run component is the main channel by which program trading produce unnecessary market volatility.
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This study interprets various theories of volume of stock markets in a unified DOint of view and classifies the theories into 4 categories: risk premium theory, adverse selection…
Abstract
This study interprets various theories of volume of stock markets in a unified DOint of view and classifies the theories into 4 categories: risk premium theory, adverse selection theory, privately informed trading theory, and market stabilization theory. Risk premium theory and adverse selection theory predict that net buying amount of an uninformed trader and future stock return have negative correlation and that ttle correlation approaches-I as current return volatility increases. Privately informed trading theory and market stabilization theory predict that net buying amount of an Informed trader and future stock return have posltive correlation and that the correlation approaches 1 as current return volatility increases.
Utilizing these two predictions. this study suggests a method of measuring informational advantage of a group of investors. To measure degrees of Informational advantage of some investor groups in Korean stock market. the method is applied to 7 groups of investors: foreign investors, individual investors. institutional investors, securities companies, Insurers. ITCs, and banks. The result shows that ITCs have the highest degree of informational advant~ age while Individual investors have the lowest level of informational advantage. The fact that this result is consistent with prior researches means that the method suggested in this study has enough empirical validity. This method may be used in a performance evaluation process for a specific fund or a portfolio manager.
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This study investigates the relation between two kinds of par yield curves estimated in Korean bond market: benchmark par yield curve and company par yield curve. The former is…
Abstract
This study investigates the relation between two kinds of par yield curves estimated in Korean bond market: benchmark par yield curve and company par yield curve. The former is published as a benchmark for corporate bonds with a given credit rating and the latter is utilized for valuing a specific corporate bond. Spot rate curves are extracted from the par yield curves by applying bootstrapping method. The spreads between the two spot rate curves are analyzed for 7 years (2005~2012) of corporate bond transaction data. Six results are obtained from various sub-samples classified by credit rating and maturity. 1) Most of the sample means of the spreads are above zero. 2) Negative average spreads are found mainly from the sample of BBB rated bonds. 3) Average spreads from the sample with credit greater than or equal to A tend to positively related with credit risk. 4) Absolute value of the average spreads are positively related with credit risk. 5) The average spreads are increased rapidly after the year of 2009. 6) The proportion of sub-samples having negative average spreads are decreased as the average maturity of the sample is shortened.
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Jihye Oh, Seung-Hyun Han, Jia Wang and Seung Won Yoon
Drawing on the theories of social capital and leader–member exchange (LMX), the authors examined the moderated mediation relationships of psychological ownership and perceived…
Abstract
Purpose
Drawing on the theories of social capital and leader–member exchange (LMX), the authors examined the moderated mediation relationships of psychological ownership and perceived supervisory support on social capital and organizational knowledge.
Design/methodology/approach
To test the proposed model, the authors collected data from 522 employees working in large corporations in South Korea.
Findings
The authors found that (a) social capital was positively related to organizational knowledge sharing, (b) perceived supervisor support mediated the linkage between social capital and knowledge sharing and (c) psychological ownership moderated the indirect effect of social capital on knowledge sharing through perceived supervisor support, such that the indirect effect was stronger for employees with low rather than high psychological ownership.
Originality/value
This study sheds new light on how the nature of relationship between the leader and followers as well as individual's psychological ownership play a crucial role in knowledge sharing.
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Seung-Hyun Han, Eunjung Grace Oh and Sung “Pil” Kang
Based on the job characteristics theory (Oldham and Hackman, 2010), the authors highlighted the mediating role of job meaningfulness as a critical psychological state. Employees'…
Abstract
Purpose
Based on the job characteristics theory (Oldham and Hackman, 2010), the authors highlighted the mediating role of job meaningfulness as a critical psychological state. Employees' positive perception of job meaningfulness could maximize organizational positive outcomes based on task orientation and trustful relationship-based satisfying behaviors. The purpose of this paper is to examine the structural relations among transformational leadership, job characteristics, job meaningfulness and task-related job performance. The conceptual model of this paper is developed based on the theoretical foundations for assessing mediating and moderating path relations among the exogenous and endogenous variables.
Design/methodology/approach
Based on the research questions with literature review, the research framework was developed to show the moderated mediating mechanism of the link between transformational leadership and in-role performance. Data analyses for hypothesis testing were conducted by Hayes' PROCESS macro-based hierarchical regression.
Findings
Understanding how organizations can optimally design a job based on job characteristics and helping employees maintain psychological states having meaningfulness and responsibility for outcomes are critical. This paper calls attention to how job characteristics and an individual's meaningfulness of work embedded in a given job play a role in influencing job performance.
Originality/value
This study provides a snapshot for examining the job characteristic model on the link between leadership and job performance. By using process analysis (Hayes, 2013), this study examined the moderating role of job characteristics and mediating role of meaningfulness at work in the link of leadership–performance.
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Sungwan Hong, Soo Hyun Oh and Seung-Gyu Sim
Unlike the common belief in the so-called “trickle-down effect,” trade-induced output growth in a small open economy does not necessarily improve the domestic welfare of the…
Abstract
Purpose
Unlike the common belief in the so-called “trickle-down effect,” trade-induced output growth in a small open economy does not necessarily improve the domestic welfare of the economy. The purpose of this paper is to analyze the conditions under which the trickle-down effect does not work properly such that the connection between trade-induced output growth and welfare improvement is broken.
Design/methodology/approach
This paper introduces an inter-sectoral migration barrier in the general equilibrium model and conducts various simulation experiments under reasonable parameter values.
Findings
This paper demonstrates that subsidizing export industries may raise the total value-added of an economy but deteriorate aggregate welfare. This worsens especially when the supply of non-tradable domestic goods is inelastic, and the demand for them is more substitutable by tradable goods.
Practical implications
To reinforce the trickle-down effect, it is necessary to facilitate efficient labor reallocation and to induce capitalization in the non-tradable sector.
Originality/value
That output growth and welfare improvement do not always move in the same direction requires a reappraisal of the former common belief on the trickle-down effect which emphasizes output growth as an indicator of welfare improvement.
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Jihye Oh, Soo Jeoung Han and Seung Hyun Han
Informed by the job characteristics model (JCM) and job crafting theory (JCT), this study aims to investigate the mediating role of meaningfulness at work in the relationship…
Abstract
Purpose
Informed by the job characteristics model (JCM) and job crafting theory (JCT), this study aims to investigate the mediating role of meaningfulness at work in the relationship between a growth mindset and in-role performance and moderating role of job crafting in this indirect effect.
Design/methodology/approach
To this end, the authors examined the moderated mediation model with 271 corporate trainers enrolled in the largest online community for adult educators in South Korea.
Findings
Results showed that the relationship between a growth mindset and in-role performance is positively mediated by meaningfulness at work. Furthermore, job crafting acted as a moderator in this relationship, such that trainers with high levels of job crafting showed a greater in-role performance, while trainers with low levels of job crafting reported a negative indirect effect of a growth mindset.
Originality/value
The current study contributes to the JCM and JCT by suggesting a growth mindset as individual characteristics to promote meaningfulness at work and in-role performance. The study also responds to the calls to expand the mediation mechanisms and boundary conditions of a growth mindset in the workplace. The authors provide important insights into how corporate trainers’ job crafting is crucial in enhancing or impeding their performance and meaningful work.
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Seung Hyun Han, Eunjung Oh, Sung Pil Kang, Sumi Lee and Shin Hee Park
The purpose of this study is to investigate the link between informal learning and employees’ in-role performance and whether the mechanism through informal learning mediates the…
Abstract
Purpose
The purpose of this study is to investigate the link between informal learning and employees’ in-role performance and whether the mechanism through informal learning mediates the relationships between self-efficacy, job characteristics, trust and in-role performance.
Design/methodology/approach
Based on data (n = 294) obtained from the firms with the Work–Learning Dual System in South Korea, a structural equation modeling (SEM) analysis was conducted.
Findings
The findings indicated that trust and job characteristics affected informal learning and informal learning mediates the relationships of trust and job characteristics with job performance.
Originality/value
The significant contributions of this study to the extant literature on informal learning are as follows: first, the present study investigates a mechanism and a mediating role of informal learning using SEM, while most previous studies in literature have employed qualitative research in informal learning. Second, this study explores the mediating role of informal learning between personal/job-related determinants of informal learning and in-role performance, which has not yet been examined in existing literature. Finally, this study provides practical implications regarding how organizations can facilitate more informal learning among employees to enhance their performance.
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Yun Dong Yeo and Seung-Hyun (Sean) Lee
The purpose of this paper is to examine how the risk of war aroused by North Korea’s threatening actions trigger strategic responses from US multinational enterprises (MNEs…
Abstract
Purpose
The purpose of this paper is to examine how the risk of war aroused by North Korea’s threatening actions trigger strategic responses from US multinational enterprises (MNEs) operating in South Korea. The authors compare two competing perspectives of real options and risk diversification to see which prevails when US MNEs are facing risk of war.
Design/methodology/approach
The authors hand collected news articles regarding North Korea’s threatening actions that may trigger strategic responses from MNEs operating in South Korea. The authors use archival data of US MNEs to verify our results.
Findings
Empirical tests of the two competing perspectives reveal that US MNEs adopt the risk diversification strategy when threatened by the risk of war. However, as MNEs have more available foreign markets outside the host country that is at risk of war, MNEs tend to take an operational flexibility approach more seriously and shift their productions to the remaining global operations. The ownership structure of the subsidiary does not appear to have significant effect on US MNEs’ strategic risk management.
Originality/value
This paper compares two perspectives, namely, real options and risk diversification, to observe how US MNEs treat their subsidiaries when facing risk of war in South Korea.