Journal of Derivatives and Quantitative Studies: 선물연구最新文献_第3页

Small-sized asset owners’ OCIO selections and evaluations 小型资产所有者的OCIO选择与评价

Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2023-02-09 DOI: 10.1108/jdqs-06-2022-0015

Deahyeon Park, D. Ryu

引用次数: 0

How does the price structure of two-sided markets affect transaction volume and market share: evidence from the Korean credit card market 双边市场的价格结构如何影响交易量和市场份额:来自韩国信用卡市场的证据

Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2023-01-25 DOI: 10.1108/jdqs-09-2022-0023

Y. Jo, K. Lee

{"title":"How does the price structure of two-sided markets affect transaction volume and market share: evidence from the Korean credit card market","authors":"Y. Jo, K. Lee","doi":"10.1108/jdqs-09-2022-0023","DOIUrl":"https://doi.org/10.1108/jdqs-09-2022-0023","url":null,"abstract":"This study aims to empirically examine the impact of the price structure of two-sided markets on transaction volume and market share (MS) in the context of the Korean credit card industry. The Korean credit card market differs from those in the United States (U.S.) or Europe in terms of transaction structure (i.e. a three-party system in Korea vs a four-party system in the U.S. or Europe) and government policy. In addition to the merchant discount rate and the cardholder annual membership fee rate, the authors included and analyzed exogenous variables to eliminate any endogeneity. Based on the analysis results, the authors found that credit card usage performance (i.e. transaction volume) increases with an increase in the relative price ratio (merchant discount rate ÷ cardholder membership fee rate) paid by merchants and cardholders, provided that the total price (merchant discount rate + cardholder membership fee rate) paid by merchants and cardholders remains constant. Therefore, this study is the first to confirm that the Korean credit card market operated as the theoretical mechanism of a two-sided market during the analysis period. This effect can only be observed in specific cases such as the launch of the so-called “Chief Executive Officer(CEO)-designed card.” When a new CEO takes office in a credit card company and launches a “CEO-designed card,” there is a significant increase in not only card usage performance but MS as well owing to the price structure changes caused by expanding the benefits that customers derive from card use.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"79 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114487468","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Valuation of step-down knock-in in one stock linked security using numerical and Monte Carlo integration 用数值积分和蒙特卡罗积分对单股关联证券的降级冲击进行估值

Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2022-12-21 DOI: 10.1108/jdqs-06-2022-0016

Gyehong Kim

引用次数: 0

Capital immobility and rollover risk in debt markets 债券市场的资本不流动和展期风险

Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2022-12-14 DOI: 10.1108/jdqs-09-2022-0021

Hyunsoo Doh

引用次数: 0

Stock buybacks and credit default swap spread changes 股票回购和信用违约互换价差变化

Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2022-12-13 DOI: 10.1108/jdqs-08-2022-0019

Heewoo Park, Y. Park

引用次数: 0

A comparative study on determinants of housing mortgage prepayment of individual borrowers 个人借款人住房抵押贷款提前还款决定因素的比较研究

Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2022-09-21 DOI: 10.1108/jdqs-05-2022-0013

Sang Won Lee, Su Bok， Ryu, Tae Young Kim, Jin Q. Jeon

{"title":"A comparative study on determinants of housing mortgage prepayment of individual borrowers","authors":"Sang Won Lee, Su Bok， Ryu, Tae Young Kim, Jin Q. Jeon","doi":"10.1108/jdqs-05-2022-0013","DOIUrl":"https://doi.org/10.1108/jdqs-05-2022-0013","url":null,"abstract":"This paper examines how the macroeconomic environment affects the determinants of prepayment of mortgage loans from October 2004 to February 2020. For more accurate analysis, the authors define the timing of prepayment not only before the loan maturity but also at the time when 50% or more of the loan principal is repaid. The results show that, during the global financial crisis as well as the recent period of low interest rates, macroeconomic variables such as interest rate spreads and housing prices have a different effect compared to the normal situation. Also, significant explanatory variables, such as debt to income (DTI) ratio, loan amount ratio and poor credit score, have different effects depending on the macroenvironment. On the other hand, in all periods, the possibility of prepayment increases as comprehensive loan to value (CLTV) increases, and the younger the age, the shorter the loan maturity. The results suggest that, in the case of ultralong (40 years) mortgage loans recently introduced to support young people purchasing houses, the prepayment risk can be, at least partially, migrated by offsetting the increase in prepayment by young people and the decrease in prepayment due to long loan maturity. In addition, this study confirms that the accelerated time failure model compared to the logit model and COX proportional risk model has the potential to be more appropriate as a prepayment model for individual borrower analysis in terms of the explanatory power.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125267891","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The optimal insurance demand under an ambiguity aversion 歧义规避下的最优保险需求

Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2022-09-14 DOI: 10.1108/jdqs-06-2022-0014

Jimin Hong

引用次数: 1

The turn-of-the-month effect and investor trading activities in the KOSDAQ stock market KOSDAQ市场的月初效应和投资者的交易活动

Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2022-08-24 DOI: 10.1108/jdqs-04-2022-0009

Ryumi Kim

{"title":"The turn-of-the-month effect and investor trading activities in the KOSDAQ stock market","authors":"Ryumi Kim","doi":"10.1108/jdqs-04-2022-0009","DOIUrl":"https://doi.org/10.1108/jdqs-04-2022-0009","url":null,"abstract":"The turn-of-the-month (TOM) effect is observed as one of the seasonalities in many markets. The author examines the TOM effect in the KOSDAQ market and finds that the effect is significant. The TOM effect in the KOSDAQ market is not due to size, turn-of-the-year, turn-of-the-quarter or index rebalancing effect. The author also finds that individual and institutional traders do not trade and buy more stocks at the TOM than on the rest days, not consistent with existing explanations of the increased liquidity by individual investors or institutional window-dressing activity. When the author investigated the net buying volume and net turnover of each investor, the net volume and turnover of individual investors at the TOM were significantly lower than those on the other days, rejecting the hypothesis of their increased demand. Interestingly, net foreign volumes at the TOM are significantly higher than on the other days. Finally, using panel regressions, the author finds that stocks with a higher net buying volume of foreigners for the TOM period tend to have higher returns, while stocks with a higher net buying volume of individual traders for the TOM period are likely to have lower returns. The results confirm that the TOM effect is not due to the increased demand of individual investors. Instead, higher net buying volume by foreigners may partially cause the TOM effect. Therefore, this study contributes to the literature by revealing the presence of the TOM effect in the KOSDAQ market and the foreign role in the anomaly in the market even mainly traded by retail investors.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126783034","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

A VECM analysis of Bitcoin price using time-varying cointegration approach 基于时变协整方法的比特币价格VECM分析

Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2022-07-01 DOI: 10.1108/jdqs-01-2022-0001

Yong Lee, J. Rhee

{"title":"A VECM analysis of Bitcoin price using time-varying cointegration approach","authors":"Yong Lee, J. Rhee","doi":"10.1108/jdqs-01-2022-0001","DOIUrl":"https://doi.org/10.1108/jdqs-01-2022-0001","url":null,"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.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126524010","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 4

Foreign investment horizons, corporate governance and payout policy 外商投资视野、公司治理和派息政策

Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2022-06-20 DOI: 10.1108/jdqs-02-2022-0004

Eun Jung Lee, Sungmin Kim, Yong-won Jang

引用次数: 0