Inho Lee and Shiyong Yoo
There have always been North Korea Risks in South Korea stock market since its opening. Some studies have concluded that it does not have a substantial impact on South Korea’s…
Abstract
There have always been North Korea Risks in South Korea stock market since its opening. Some studies have concluded that it does not have a substantial impact on South Korea’s economy due to chronic geopolitical risks, while others have argued it has had an impact. However, in light of the Efficient Market Hypothesis (EMH) it can be argued that both opinions view that information about North Korea Risks affects stock markets and that stock prices react to it. This study analyzed the effects of North Korea Risks on South Korea’s stock market using event study methodology empirically, and it tested the semi-strong EMH-a market in which prices always fully reflect available information. The research results are following:
First of all, North Korea Risks have an impact on South Korea’s stock market and the data was statistically significant. In particular, stock market already reflected information about the forewarned events like nuclear test. However, market also responded to information about sudden events such as the impact of Kim Jung-il’s death on the South-North economic cooperation stock. Portfolio analysis demonstrated that small capital stocks were affected more than large caps. These results cannot reject the EMH.
Also, estimates of market model and that of Fama-French three-factor model did not show a statistically significant difference in different verification. There was no statistically significant difference between growth and value stock in large caps portfolio either. However, there was a statistically significant difference between defense stock and South-North economic cooperation stock, small caps and big caps, and weighted average and simple average.
The significance of this study lies in that it conducted the event study by variety estimation model with objective standards for selecting events when measuring the effect of North Korea Risks.
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This paper tried to find out whether the information from foreign capital markets can improve the forecasting power for the realized volatility of KOSPI200 index. The realized…
Abstract
This paper tried to find out whether the information from foreign capital markets can improve the forecasting power for the realized volatility of KOSPI200 index. The realized volatility is estimated by using both daily return series and 5 minutes intraday data of KOSPI200. The volatilities of S&P100 return series and Won/Dollar exchange rate are considered as the information from foreign capital markets, and the volatility of Korean domestic interest rate is introduced as an additional variable to improve the forecasting power for the realized volatility of KOSPI200 returns. It turns out that those additional variables are statistically significant to improve the forecasting power for the realized volatility of KOSPI200.
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In this study, we analyzed whether the expiration day effect of domestic single stock futures exists. One-minute stock prices and trading volume by trader types is used. Data…
Abstract
In this study, we analyzed whether the expiration day effect of domestic single stock futures exists. One-minute stock prices and trading volume by trader types is used. Data ranges from May 2008 to June 2016. The expiration day effects are measured by price reversal, price shock, volatility effect, and volume effect. Since the expiration day of single stock futures is on the second Thursday of each month, we analyzed whether the expiration day effects differ between expiration Thursday and non-expiration Thursday. The price reversal effect is evident in Samsung Electronics and Hyundai Steel, and the price shock effect is evident for KT and KT&G. However, price reversals and price shocks are not generally found in other stocks. On the other hand, in most stocks (16 out of 22), the volatility effect variables were statistically significantly larger on the expiration Thursday than non-expiration Thursday. The expiration day effects of single stocks are evident in the trading volume. First of all, trading volume increased significantly on expiration Thursday than non-expiration Thursday. In particular, the trading-volume shares of institutional investors and foreign investors increase and the share of individual investors is decreasing. This suggests that the increase in trading volume on expiration Thursday is mainly due to the increase in the trading-volume shares of institutional investors and foreign investors, who are supposed to be in the information superiority. In addition, we can conjecture that the larger volatility level on expiration Thursday than on non-expiration Thursday may be due to institutional investors and foreign investors rather than individual investors.
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In this study, we explore the empirical relationship between trading volume and volatility among KOSPI200 index stock market, futures and options markets. In particular, in…
Abstract
In this study, we explore the empirical relationship between trading volume and volatility among KOSPI200 index stock market, futures and options markets. In particular, in explaining the volatility of each market, the trading in other markets, as well as the trading volume of other markets, also served as explanatory variables. In other words, cross-market effects of trading volume by investor types are analyzed. The empirical results show that there exist the cross-market effects of the relationship between trading volume and volatility in deeply integrated financial markets such as KOSPI200 index stock, futures and options markets. That is, the volatility of one market is explained by the trading volume of trader types in other financial markets. And, overall options trading increases the volatility of each market, while the overall futures trading volume of foreign investors reduce the volatility of each market. Trading volume of Individual investors does not reduce the volatilities of KOSPI200 index and futures markets. That is, trading volume of Individual investors in stock, futures, and options markets increase the volatilities of stock and futures. This implies that foreign investors are informed traders, whereas individual investors are liquidity traders.
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Donghwan Ahn, Shiyong Yoo and Seungho Cho
This study investigates the effect of managerial ability on labor productivity by analyzing various methods in the firm-year panel data of listed firms in South Korea from 2002 to…
Abstract
This study investigates the effect of managerial ability on labor productivity by analyzing various methods in the firm-year panel data of listed firms in South Korea from 2002 to 2019. Managerial ability was analyzed using the measurement method of Demerjian et al. (2012), while labor productivity was analyzed using value-added and sales. The authors find that managerial ability has a positive effect on labor productivity. In other words, the productivity of employees improves with the appointment of a manager with higher abilities. The study’s findings suggest that firms should consider managerial ability as a means of improving labor productivity.
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Minxue Huang, Xiu Hu and Shiyong Zheng
There is always a matching effect in advertising persuasion – the information that matches product characteristics or target consumer characteristics is considered to be…
Abstract
Purpose
There is always a matching effect in advertising persuasion – the information that matches product characteristics or target consumer characteristics is considered to be relatively more persuasive. Based on the accessibility-diagnosability theory, this paper discusses the influence of the matching degree between the information presentation (vague description and precise description) and product attribute (vertical attribute and horizontal attribute) on people's attitudes toward advertising.
Design/methodology/approach
Study 1 aims to explore the impact of the matching effect of different information presentation methods (precise presentation vs vague presentation) and product attribute (horizontal attribute vs vertical attribute) on consumers' attitudes toward advertising; secondary data was used to support this research. Study 2 mainly used the situational simulated experiment to examine the results of study 1, and further explored the mediating mechanism of its matching effect.
Findings
The authors found that the matching degree between the information presentation method and product attribute will positively affect the fluency of advertising information processing, that is, the use of vague description of product vertical attribute can positively affect consumers' extraction fluency; while the use of precise description of product horizontal attribute can positively affect consumers' processing fluency, and both extraction fluency and processing fluency will positively affect consumers' attitude toward the advertisement.
Originality/value
An essential enlightenment of the research is that it sheds light on the interaction between product attribute (vertical attribute vs horizontal attribute) with the information presentation method (vague description vs precise description) from the perspective of accessibility-diagnosability theory, which explains consumers' information processing mechanisms in dealing with different advertising information.
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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…
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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Ayesha Afzal, Jamila Abaidi Hasnaoui, Saba Firdousi and Ramsha Noor
Climate change poses effect on banking sector’s risks and profitability through adaptation of green technology. This study aims to incorporates green technology adaptation in…
Abstract
Purpose
Climate change poses effect on banking sector’s risks and profitability through adaptation of green technology. This study aims to incorporates green technology adaptation in three sectors: green banking, green entrepreneurial innovation (EI) and green human resource (HR), in a model of bank’s performance. And determines the impact of climate change on bank risk and profitability.
Design/methodology/approach
An assessment of profitability and risk profile of commercial banks is done for 27 European countries for 2013–2022, employing a two-step difference system-generalized method of moments estimation technique with a moderate effect of climate change by including interaction between climate change and green technology adaptation.
Findings
The results indicate that green banking increases profitability, reduces credit risk and increases liquidity risk. The results also show that green human resource increases profitability and becomes a source of credit and liquidity risks for the banks. Green EI increases credit risk and liquidity risk, while the effects of green EI on profitability vary with the use of two proxies: Green patents increase profitability and environment, social and corporate governance (ESG) scores decrease profitability.
Practical implications
Supportive government initiatives, including subsidies and tax rebates to green borrowers, may take the burden of green transition off the banking sector.
Originality/value
This paper observes the impact of green technology adaptation in three sectors: banks, EI and HR, moderated by climate change, adding substantially to the existing literature in conceptual framework and methodology.