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This paper investigates empirically the modelling issues for the stochastic processes underlying KOSPI200 index options. Empirical results show that we need to incorporate two factor stochastic volatility processes to have a good option pricing performance. However, the number of the leverage channel is not an important issue for the modelling of the KOSPI200 index options. Our results also show that the models with finite activity large jumps outperform that with infinite activity small jumps for the financial crisis period. On the while, for the pre-crisis period, there is no clear superiority or inferiority between both jumps models.

Finance theory such as Merton’s ICAPM suggests that there should be a positive relationship between the expected return and risk. Empirical evidence on this relationship, however, is far from conclusive. Building on the recent econometric research on this topic such as Lundblad (2007) and Hedegaard and Hodrick (2016), we estimate the risk-return relation implied in the ICAPM using a long sample (1962~2016) of daily, weekly, and monthly excess stock returns in Korea. More specifically, we estimate various volatility models including GARCH-M using the overlapping data inference (ODIN) method suggested by Hedegaard and Hodrick (2016), as well as the traditional maximum likelihood estimation methodology. For the full sample period, we fail to find a positive risk-return relationship that is significant and robust. For the subsample period from 1998 to 2016, however, we find a significantly positive risk-return relation for GARCH-M model regardless of return intervals and estimation methods. This result is also robust to using other specifications such as EGARCH-M which includes the leverage effect of the variance process and EGARCH-M-GED whose conditional distribution has fatter tails. Our findings suggest that there is indeed a positive relationship between the expected return and risk in the Korean stock market, at least for the period after 1998.

Although the V-KOSPI 200 Futures markets opened in November 2014, trading has not been active until recently. One of the reasons for the illiquidity is due to the lack of a market consensus on the stochastic process model for the underlying volatility index (V-KOSPI 200). Given this fact, there is no theoretical pricing model that can be used for the determination of the benchmark price for the V-KOSPI 200 Futures. In this paper, we use the generalized method of moments method to search for a model that fits well with the time series of V-KOSPI 200 under the historical measure. In addition, we compare the performance of each model for the pricing of the V-KOSPI 200 Futures under the risk neutral measure. In the empirical analysis, we find that the CEV (constant elasticity of variance) parameter with the value about 1.5 is needed to price both the underlying V-KOSPI 200 process (under the physical measure) and the V-KOSPI 200 Futures (under the risk neutral measure). We also find that the mean reversion property is necessary to explain the dynamics of V-KOSPI 200.

This study looks at the characteristics and current status of retail structured product market of Korea and tries to explain, in particular, issues related to issue price, cost of hedging, and overpricing. We also analyzed the perspective of the government and the related regulatory policies. We examined various performance measures for portfolios composed of the KOSPI200 Covered Call Index and other assets in order to change the viewpoint of the authorities that the trading of structured products, such as ELS (equity-linked securities) and DLS (debt-linked securities), is in fact not a zero-sum game between the issuers and investors. The empirical results show that the KOSPI200 Covered Call Index has a superior performance compared to the KOSPI200 Index and the others. In addition, from the perspective of certainty equivalent excess returns, the KOSPI200 Covered Call Index also displays the possibility of improving the utility level of risk-averse retail investors. However, it is difficult in reality for individual investors to construct efficient portfolios that employ covered call strategies using options. Hence, individual investors can form optimal portfolios that benefit indirectly from such covered call strategies via investment in financial derivative products issued by securities firms that are able to more easily utilize investment strategies that incorporate options to form optimum portfolios. This means that both the issuer and investor can profit from these financial derivative products and, therefore, it is not a zero-sum game.

We study an efficient numerical method for pricing European options when the dynamics of the underlying asset are described by Levy processes. In this case. we can write a characteristic function solution for a specific Levy option model and then take its inversion numerically. Specifically we use Variance Gamma process as an example of Levy option model and consider various characteristic function representation forms of European option price such as Carr and Madan (1999), Bakshi and Madan (2000). and Lewis (2001). Fast Fourier Transform method is applied to solve the numerical inversion problem with parameters for the KOSPI 200 options data. After analysing the problems in the FFT method, we propose alternative numerical inversion method, Gaussian Quadrature. This paper reports that Gaussian Quadrature numerical inversion method with the representation form of Bakshi & Madan (2000) is more efficient and accurate than other alternatives considered in this paper.

This study examines whether the variance risk is a priced risk factor in Korea using the over-the-counter variance swap quotes and realized variance data. We also study the term structure of variance risk premium. The empirical results show that the model with 2 stochastic variance risk factors with jumps in return is required to fit the variance swap and realized variance data. The analyses with the estimated models suggest that the variance risk premium in Korea are highly negative and the size of the premium increase with the maturities, meaning that risk averse investors in Korea are willing to pay a premium to hedge variance risk.

The purpose of this study is to examine the influence of virtual currency (VC) development on financial stocks’ value in selected Asian equity markets and the moderating role of investor attention on this relationship.

The pooled ordinary least squares regression is used on a sample of 138 listed financial firms from four emerging Asian countries for the period 2016–2020.

This study finds that changes in VC values have greater spillover effects on the values of financial stocks in countries which do not recognize the legitimacy of VCs than in countries which do, due to the lack of breadth and depth of the former markets. Moreover, this paper also reports evidence of the greater moderating role of investor attention on this relationship in countries which do not recognize the legitimacy of VCs than in countries which do.

Although numerous studies have been conducted on the influence of VCs on stock performance, majority of these studies did not distinguish whether the sample countries being studied actually recognize the legitimacy of VC transactions or not. Moreover, extant literature has not considered the moderating role of investor attention on this relationship. It is the aim of this study to address these research voids by using a refined three-factor theory model of capital asset pricing model incorporating VCs to better represent stock performance in the digital economy era.

This paper aims to conduct a bibliometric study on e-government research, with special concern over finding bases on which electronic government studies are constructed.

This paper is a bibliometric study using citation, co-citation and bibliometric coupling analysis, applied to 161 selected articles published in 37 top journals in public administration.

The paper presents existing knowledge on e-government research and provides a categorization in terms of research subfields. The 40 top-cited works were classified into three subfields of intellectual influence: models and evolution; implementation factors; and adoption constraints. In total, 63 works were classified into three subfields of mainstream research: adoption (contextual and technological factors); evolution status and implementation; and social capital. The paper presents gaps in research streams.

Because of the chosen research approach, this study has limitations that are inherent to bibliometric studies, such as the selection of journals and keywords. This work helps e-government students and researchers to understand the mainstream research of the field, presents the references on each stream and, in addition, provides information to public policy makers. Findings from this study can contribute to theory building in e-government research.

This study may provide support to government institutions to assess the allocation of public resources for research.

The paper fulfils an identified need to examine the intellectual foundations and mainstream research in the field of e-government, unlike other reviews. The paper makes a methodological contribution by integrating co-citation and bibliographic coupling in mapping knowledge.

Realizar uma bibliometria sobre pesquisa em e-government, com especial preocupação em encontrar as bases sobre as quais estudos são construídos.

Bibliometria utilizando análise de citação, cocitação e pareamento bibliográfico, aplicado a 161 artigos selecionados publicados em 37 periódicos de ponta em administração pública.

Apresentar o conhecimento existente sobre pesquisa em e-government e fornecer uma categorização de subcampos de pesquisa acadêmica. Os 40 trabalhos mais citados foram classificados em três subcampos: Modelos e Evolução, Fatores de Implementação e Restrições de Adoção. 63 trabalhos foram classificados em três subcampos: Adoção (Fatores Contextuais e Tecnológicos), Status de Evolução e Implementação, e Capital Social.

Devido à abordagem de pesquisa escolhida, este estudo apresenta limitações inerentes aos estudos bibliométricos, como a seleção de periódicos e palavras-chave. Este trabalho auxilia estudantes e pesquisadores do e-government a entender as principais vertentes de pesquisas da área, apresenta as principais referências e, além disso, fornece subsídios aos formadores de políticas públicas. Os resultados deste estudo podem contribuir para a formação da teoria na pesquisa em e-government.

Este estudo pode fornecer suporte a instituições governamentais para avaliar a alocação de recursos públicos para pesquisa.

O documento preenche lacuna identificada em examinar a base intelectual e a pesquisa predominante no campo do e-government. O artigo faz uma contribuição metodológica ao integrar cocitação e pareamento bibliográfico.

Palavras-chave - e-government, Administração pública, Estudo bibliométrico, Análise de cocitação, Pareamento bibliográfico

Artículo de investigación

Realizar una bibliometria sobre la investigación del e-government, con especial preocupación por encontrar las bases sobre las cuales se construyen los estudios del e-government.

Bibliométrica mediante citas, co-citas y análisis de emparejamiento bibliométrico, aplicado a 161 artículos seleccionados en las 37 revistas académicas centrales sobre administración pública.

Presente el conocimiento existente sobre e-government y proporcione una categorización en términos de subcampos de investigación. Las 40 obras más citadas se clasificaron en tres subcampos: Modelos y Evolución, Factores de Implementación y Restricciones de Adopción. 63 trabajos se clasificaron en tres subcampos de investigación general: adopción (factores contextuales y tecnológicos), estado e implementación de la evolución y capital social. El artículo presenta lagunas en las corrientes de investigación.

Debido al enfoque de investigación elegido, este estudio tiene limitaciones inherentes a los trabajos bibliometricos, tales como la selección de revistas y palabras clave. Este trabajo ayuda a los estudiantes e investigadores de e-government a comprender la investigación en este campo, presenta las referencias en cada línea y, además, proporciona información a los responsables de la política pública. Los hallazgos de este estudio pueden contribuir a la construcción de teorías en la investigación del e-government.

Este estudio puede brindar apoyo a las instituciones gubernamentales a la hora de evaluar la asignación de recursos públicos para la investigación.

El documento cumple con una necesidad identificada de examinar los fundamentos intelectuales y la investigación general en el campo del e-government. El artículo hace una contribución metodológica al integrar la co-cita y el emparejamiento bibliográfico.

Palabras clave - E-government; Administración pública, Estudio bibliométrico, Análisis de co-citas, Pareamento bibliográfico.

revisión de literatura

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.

This chapter aims to build a systematization of the current theoretical and empirical academic contributions on smart working (SW) in the organization studies domain and to examine which are the main paths that researchers are concerning themselves with, with specific attention being paid to the new meaning that the work itself has acquired in the model proposed by SW. Particular consideration is devoted to an analysis of the characteristics of the present debate on this construct and the meaning of SW, identifying two different – and contrasting – approaches: one considers it as a totally new concept; the other is notable for its continuity with previous arrangements such as telework. Further, some relevant concepts, strictly related to that of SW in working environments are considered. In the last part of the chapter, some key points for further research are proposed to create stimuli for discussion in the community of organization studies and HRM scholars and among practitioners, given from the perspective of deepening the change in progress, the relevance for which there is general consensus.