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Journal of Derivatives and Quantitative Studies: 선물연구最新文献

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Market impact cost asymmetry of the National Pension Service and its determinant analysis 国民年金制度的市场影响成本不对称及其决定因素分析
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2022-04-08 DOI: 10.1108/jdqs-01-2022-0003
Yunsung Eom, M. Woo
{"title":"Market impact cost asymmetry of the National Pension Service and its determinant analysis","authors":"Yunsung Eom, M. Woo","doi":"10.1108/jdqs-01-2022-0003","DOIUrl":"https://doi.org/10.1108/jdqs-01-2022-0003","url":null,"abstract":"As of March 2021, the National Pension Service (NPS) is the world’s 3rd largest pension fund with 872.5tn won (KRW) in management. Recently, the NPS proposed a policy to gradually reduce the proportion of domestic stocks in the portfolio in the future. This change in the asset allocation strategy is related to the NPS’s exit strategy for domestic stocks. This study aims to examine the market impact cost asymmetry between buys and sells of the NPS and suggest a trading strategy for mitigating the market impact cost. The results are as follows. First, there is an asymmetry between buys and sells in the market impact cost of the NPS. The market impact cost of the NPS is gradually increasing over time. In particular, the market impact cost from selling has increased significantly in recent years. Second, past returns, volatility, liquidity and trading intensity can be found as external factors affecting the asymmetric market impact cost of the NPS. Although there is no difference between the buying and selling ratios of the NPS, the market impact cost from sells is relatively higher than that from buys. Third, after controlling for the order execution size of the NPS, the longer the trade execution period, the lower the market impact cost. This result implies that the strategy of splitting orders as a way to reduce the market impact cost is effective. The trading behavior of the NPS directly or indirectly affects other investors. If the sell of the NPS incurs excessive market impact cost, the negative impact on the stock price will be further exacerbated. Therefore, it is necessary for the NPS to reduce the market impact cost through split trading in executing orders in the domestic stock market. Findings of this study provide implications for countermeasures and long-term management strategies that can minimize the market impact cost of the NPS in the process of reducing the proportion of domestic stocks in the future.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129294858","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
Stock lending and short-selling: evidence from national pension service in Korea 股票借贷与卖空:来自韩国国民年金制度的证据
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2022-03-15 DOI: 10.1108/jdqs-02-2022-0005
Kuan-Hui Lee, Shu-Feng Wang
{"title":"Stock lending and short-selling: evidence from national pension service in Korea","authors":"Kuan-Hui Lee, Shu-Feng Wang","doi":"10.1108/jdqs-02-2022-0005","DOIUrl":"https://doi.org/10.1108/jdqs-02-2022-0005","url":null,"abstract":"The National Pension Service (NPS) of Korea suddenly announced that they would suspend their stock lending business from October 22, 2018. Using this ideal setting, the authors investigate the effects of this suspension on market quality and short-selling activities. The authors find that stock return does not increase after the suspension of stock lending for both the KOSPI and KOSDAQ markets. However, the returns of stocks with NPS ownership decline less than those without NPS ownership. The authors also find that the institutional and foreign investors' short sales did not increase in both markets after the lending business suspension by the NPS. In addition, the effect of suspension of stock lending on market quality is mixed, so the authors cannot conclude that market quality has improved. Overall, the authors’ results indicate that the stock market, especially for short-sales activity, has not been affected by the suspension of the stock lending service by the NPS.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125107227","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
How does sovereign bond volatility interact between African countries? 非洲国家之间的主权债券波动是如何相互作用的?
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2022-03-14 DOI: 10.1108/jdqs-06-2021-0015
K. Emenike
{"title":"How does sovereign bond volatility interact between African countries?","authors":"K. Emenike","doi":"10.1108/jdqs-06-2021-0015","DOIUrl":"https://doi.org/10.1108/jdqs-06-2021-0015","url":null,"abstract":"The importance of sovereign bond as a source of financing revenue deficit, benchmarking for corporate bonds and debt management in Africa, calls for continual monitoring of its volatility dynamics. This study evaluates the nature of sovereign bond volatility interaction between African countries using bivariate BEKK-GARCH (1, 1) model. Based on a sample of eight African countries, the results show evidence of unidirectional volatility spillover from Morocco sovereign bond to Egypt sovereign bond. Next, the results show absence of volatility interaction between Ghana and Nigeria sovereign bonds. The results further show the existence of bidirectional volatility transmission between Uganda and Kenya. Finally, the results indicate evidence of bidirectional volatility interaction between Botswana and South Africa. Overall, the results show existence of full interaction between Uganda–Kenya and Botswana–South Africa sovereign bond returns, partial interaction between Egypt and Morocco sovereign bond returns and no interaction between Ghana and Nigeria sovereign bonds markets. Thus, these results provide valuable implications for sovereign and corporate credit risk management, as well as strategy for monitoring and minimising negative effect of sovereign bond volatility spillover in Africa.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125380201","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: 2
Cross-currency credit spreads: harvesting the idiosyncratic basis as a source of ARP 跨货币信贷息差:获取作为ARP来源的特殊基础
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2022-03-10 DOI: 10.1108/jdqs-10-2021-0026
Karim Henide
{"title":"Cross-currency credit spreads: harvesting the idiosyncratic basis as a source of ARP","authors":"Karim Henide","doi":"10.1108/jdqs-10-2021-0026","DOIUrl":"https://doi.org/10.1108/jdqs-10-2021-0026","url":null,"abstract":"This paper identifies the “idiosyncratic basis”, the residual premia computed from stripping away the hypothetical cross-currency basis (CCB) from the cross-currency credit spread (CCCS) of eligible senior corporate dollar-denominated bonds relative to their hypothetical euro-denominated comparator of identical seniority, duration, credit risk and issuer. The adherence of the idiosyncratic basis to the no-arbitrage condition is subsequently evaluated through the application of an indicative market-neutral credit strategy that is designed to harvest the apparent static arbitrage opportunities. The success of the strategy, which systematically captures the idiosyncratic basis as it adheres to the no-arbitrage conditions, is validated retrospectively to frame the basis as an additional class of alternative risk premia (ARP), which investors can seek to optimise exposure to in a long-only context.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131108376","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
Improved iterative methods for solving risk parity portfolio 求解风险平价组合的改进迭代方法
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2022-02-28 DOI: 10.1108/JDQS-12-2021-0031
Jaehyuk Choi, Rong Chen
{"title":"Improved iterative methods for solving risk parity portfolio","authors":"Jaehyuk Choi, Rong Chen","doi":"10.1108/JDQS-12-2021-0031","DOIUrl":"https://doi.org/10.1108/JDQS-12-2021-0031","url":null,"abstract":"Risk parity, also known as equal risk contribution, has recently gained increasing attention as a portfolio allocation method. However, solving portfolio weights must resort to numerical methods as the analytic solution is not available. This study improves two existing iterative methods: the cyclical coordinate descent (CCD) and Newton methods. The authors enhance the CCD method by simplifying the formulation using a correlation matrix and imposing an additional rescaling step. The authors also suggest an improved initial guess inspired by the CCD method for the Newton method. Numerical experiments show that the improved CCD method performs the best and is approximately three times faster than the original CCD method, saving more than 40% of the iterations.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"64 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121776436","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
Geometric and arithmetic realized comoments 几何和算术实现的注释
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2022-02-21 DOI: 10.1108/jdqs-11-2021-0028
Kwangil Bae
{"title":"Geometric and arithmetic realized comoments","authors":"Kwangil Bae","doi":"10.1108/jdqs-11-2021-0028","DOIUrl":"https://doi.org/10.1108/jdqs-11-2021-0028","url":null,"abstract":"The author investigates realized comoments that overcome the drawback of conventional ones and derive the following findings. First, the author proves that (even generalized) geometric implied lower-order comoments yield neither geometric realized third comoment nor fourth moment. This is in contrast to previous studies that produce geometric realized third moment and arithmetic realized higher-order moments through lower-order implied moments. Second, arithmetic realized joint cumulants are obtained through complete Bell polynomials of lower-order joint cumulants. This study’s realized measures are unbiased estimators and they can, therefore, overcome the drawbacks of conventional realized measures.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128268288","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
Asset allocation efficiency from dynamic and static strategies in underfunded pension funds 从动态和静态策略看资金不足养老基金资产配置效率
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2022-02-07 DOI: 10.1108/jdqs-10-2021-0025
Chunsuk Park, Dong－Soon Kim, K. Lee
{"title":"Asset allocation efficiency from dynamic and static strategies in underfunded pension funds","authors":"Chunsuk Park, Dong－Soon Kim, K. Lee","doi":"10.1108/jdqs-10-2021-0025","DOIUrl":"https://doi.org/10.1108/jdqs-10-2021-0025","url":null,"abstract":"This study attempts to conduct a comparative analysis between dynamic and static asset allocation to achieve the long-term target return on asset liability management (ALM). This study conducts asset allocation using the ex ante expected rate of return through the outlook of future economic indicators because past economic indicators or realized rate of returns which are used as input data for expected rate of returns in the “building block” method, most adopted by domestic pension funds, does not fully reflect the future economic situation. Vector autoregression is used to estimate and forecast long-term interest rates. Furthermore, it is applied to gross domestic product and consumer price index estimation because it is widely used in financial time series data. Based on asset allocation simulations, this study derived the following insights: first, economic indicator filtering and upper-lower bound computation is needed to reduce the expected return volatility. Second, to reach the ALM goal, more stocks should be allocated than low-yielding assets. Finally, dynamic asset allocation which has been mirroring economic changes actively has a higher annual yield and risk-adjusted return than static asset allocation.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"177 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115442240","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
Long-term underperformance of public versus rights offering firms 上市公司与配股公司长期表现不佳
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2021-11-25 DOI: 10.1108/jdqs-08-2021-0023
J. Kim, K. Song
{"title":"Long-term underperformance of public versus rights offering firms","authors":"J. Kim, K. Song","doi":"10.1108/jdqs-08-2021-0023","DOIUrl":"https://doi.org/10.1108/jdqs-08-2021-0023","url":null,"abstract":"The authors compare the post-issue stock and operating performance of rights issue versus public offer firms using Korean data. The authors find that the stock returns of rights issue firms are less negative than those of public offering firms during the three years subsequent to the seasoned equity offering. The authors further find that the profitability of rights offering firms is superior to those of public offering firms and that the ratio of sales to assets for rights issue firms is much higher over the post-issue period. The results substantiate Heinkel and Schwartz’s (1986) and Eckbo and Masulis’ (1992) theoretical models that posit firms with better quality tend to select the rights issue rather than public offer method when issuing seasoned equity.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"113 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-11-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132808314","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
Earnings quality, foreign investor and dividends 收益质量、境外投资者和分红
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2021-11-23 DOI: 10.1108/jdqs-07-2021-0018
Jong Hwa Lee
{"title":"Earnings quality, foreign investor and dividends","authors":"Jong Hwa Lee","doi":"10.1108/jdqs-07-2021-0018","DOIUrl":"https://doi.org/10.1108/jdqs-07-2021-0018","url":null,"abstract":"This study discovers the relation between corporate governance factors and earnings quality and finds that increases in dividends and foreign ownership deter earnings management. The author shows that dividend increases and foreign ownership enhance earnings quality, but they appear to be substitutes in that role. In other words, as foreign ownership increases, the influence of dividends in increasing earnings quality decreases. Improving transparency through dividend increases and monitoring by foreign institutional investors are substitutes in preventing earnings management.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133426376","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: 2
Mean–variance relationship and uncertainty 均方差关系和不确定性
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2021-11-15 DOI: 10.1108/jdqs-09-2021-0024
J. Kim
{"title":"Mean–variance relationship and uncertainty","authors":"J. Kim","doi":"10.1108/jdqs-09-2021-0024","DOIUrl":"https://doi.org/10.1108/jdqs-09-2021-0024","url":null,"abstract":"This study investigates the impact of uncertainty on the mean-variance relationship. We find that the stock market's expected excess return is positively related to the market's conditional variances and implied variance during low uncertainty periods but unrelated or negatively related to conditional variances and implied variance during high uncertainty periods. Our empirical evidence is consistent with investors' attitudes toward uncertainty and risk, firms' fundamentals and leverage effects varying with uncertainty. Additionally, we discover that the negative relationship between returns and contemporaneous innovations of conditional variance and the positive relationship between returns and contemporaneous innovations of implied variance are significant during low uncertainty periods. Furthermore, our results are robust to changing the base assets to mimic the uncertainty factor and removing the effect of investor sentiment.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125417065","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
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