Journal of Derivatives and Quantitative Studies: 선물연구最新文献

{"title":"Monetary policy effects on equity returns: application of SVAR identified with high-frequency external instrument","authors":"W. Jang","doi":"10.1108/jdqs-08-2021-0021","DOIUrl":"https://doi.org/10.1108/jdqs-08-2021-0021","url":null,"abstract":"The purpose of this study is to examine the effects of monetary policy on equity returns by applying an alternative econometric approach. Campbell and Ammer (1993) decomposed unexpected equity excess returns into three news components: risk premium news, real interest rate news and cash-flow news. The literature has determined the monetary policy (MP) effects on these news components. The authors propose an alternative MP shock identification approach to analyze the MP effects on the above-mentioned news components under a structural vector autoregression (SVAR) setup. Under this approach, one can apply an MP indicator in the SVAR, which helps forecast equity excess returns along with its external instruments for identification. Further, this study uses the various recently proposed measures of exogenous MP shocks and Fed information shocks as external instruments, and shows the different patterns of the news components' responses depending on the information in the applied instruments.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"64 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134015552","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}

{"title":"Option volume and stock returns: evidence from single stock options on the Korea Exchange","authors":"M. Woo, Meong Ae Kim","doi":"10.1108/jdqs-06-2021-0012","DOIUrl":"https://doi.org/10.1108/jdqs-06-2021-0012","url":null,"abstract":"Informed traders may prefer the options market to the stock market for reasons including the leverage effect, transaction costs, restrictions on short sale. Many studies try to predict future returns of stocks using informed traders' behavior in the options market. In this study, we examine whether the trading volume ratios of single stock options have the predictive power for future returns of the underlying stock. By analyzing the stock price responses to the “preliminary announcement of performance” of 36 underlying stocks on the Korea Exchange from November 2014 to March 2021 and the trading volume of options written on those stocks, we investigate the relation between the option ratios, which are the call option volume to put option volume ratio (C/P ratio) and the option volume to stock volume ratio (O/S ratio), and the future returns of the underlying stock. We also examine which ratio is better in predicting the future returns. The authors found that both option ratios showed the statistically significant predictability about future returns of the underlying stock and that the return predictability of the O/S ratio is more robust than that of the C/P ratio. This study shows that indicators generated in the options market can be used to predict future underlying stock returns. Further, the findings of this study contributed to a dearth of literature pertaining to single stock options. The results suggest that the single stock options market is efficient and influences the price discovery in the stock market.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129429586","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}

{"title":"Thirty years of the Journal of Derivatives and Quantitative Studies: a bibliometric analysis","authors":"Jun Kim, Sol Kim","doi":"10.1108/jdqs-08-2021-0020","DOIUrl":"https://doi.org/10.1108/jdqs-08-2021-0020","url":null,"abstract":"PurposeThis paper aims to provide a retrospective on the Journal of Derivatives and Quantitative Studies (JDQS) on its 30th anniversary based on a bibliometric analysis.Design/methodology/approachThe authors use the performance analysis to analyze patterns in JDQS's publications, citations and citation indices over the years. To investigate the relationship among keywords and authors, the authors of this paper employ science mapping by analyzing keyword-level networks and author-level networks using the KCI- Korean Journal Database of WOS. The authors use VOSviewer for bibliographic analysis and cluster analysis at the keyword and author levels. To study the effect of JDQS articles' attributes on citations of the articles, the authors conduct a regression analysis with KCI data. The authors regress the citations for each article on the article's attributes.FindingsJDQS's yearly publications, citations, impact factors and centrality indices grew in the early 2010s before diminishing in 2020. Keyword network analysis reveals that JDQS's main keywords include 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. Based on the number of views and downloads of JDQS articles, the authors find that recent changes in publisher and editorial and publishing policies have increased the journal's visibility.Originality/valueThis study quantitatively analyzed the bibliographic information of papers published in JDQS, a representative Korean academic journal in the finance area. This confirms the academic contribution of JDQS over the past 30 years and provides implications for future strategies of the journal. It shows the patterns in JDQS's publications, citations and citation indices and identifies the main authors and most cited papers. However, there is no such bibliometric analysis on Korean financial journals; thus, this study can contribute to the literature in this point.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122953117","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}

{"title":"Economic policy uncertainty and overinvestment: evidence from Korea","authors":"Wenwen Jiang, Hwa-Sung Kim","doi":"10.1108/jdqs-05-2021-0010","DOIUrl":"https://doi.org/10.1108/jdqs-05-2021-0010","url":null,"abstract":"The authors show that there is a negative relationship between economic policy uncertainty (EPU) and firm overinvestment using Korean data from 2007 to 2016. Since Jensen (1986) shows that a firm's free cash flow is an important factor of overinvestment, the authors examine how free cash flow influences the sensitivity of overinvestment to EPU. The authors find that a high level of free cash flow attenuates the negative effect of EPU on overinvestment. The authors find that there is no significant difference in the effect of EPU on overinvestment between Chaebol (Korean family-run conglomerates) and non-Chaebol firms, which is consistent with the literature that the features of Chaebol are weakening.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"87 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114359469","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}

{"title":"The effect of short-term return reversals on momentum profits","authors":"Myounghwa Sim, Hee-Eun Kim","doi":"10.1108/jdqs-02-2021-0005","DOIUrl":"https://doi.org/10.1108/jdqs-02-2021-0005","url":null,"abstract":"The authors investigate the effect of a short-term stock return reversal on the term structure of momentum profits in the Korean stock market following Goyal and Wahal (2015). Their empirical findings show that the term structure of momentum is more pronounced when a return reversal lasts up to two months but is substantially weakened when past performance over the last two months is not taken into account for portfolio formation. Their evidence suggests that the term structure of momentum profitability arises primarily from a carryover of the return reversal from the previous two months.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129510741","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}

{"title":"The market impact of futures trading by the National Pension Service (NPS) of Korea","authors":"M. Woo, Meong Ae Kim","doi":"10.1108/jdqs-02-2021-0004","DOIUrl":"https://doi.org/10.1108/jdqs-02-2021-0004","url":null,"abstract":"The National Pension Service (NPS) of Korea is one of the largest institutional investors in the world and it has been known as the market stabilizer in the Korean stock market. Nevertheless, it is hard to find the research about the impact of the NPS on the futures market. We investigated the effect of the NPS’s trading KOSPI200 futures on the returns, the liquidity and the volatility of the market using the recent ten years’ transaction data. The main findings are as follows. First, the NPS’s net investment flow (NIF) in the KOSPI200 futures market shows the predictability about the returns of both KOSPI200 futures and KOSPI200 spot index. Second, the NPS’s NIF in the KOSPI200 futures market improves the liquidity of the KOSPI market, where the transactions involved in both the spot market and the futures market occur. Third, the NPS’s NIF in the KOSPI200 futures market reduces the volatility of both the KOSPI200 futures market and the KOSPI market. Unlike the prior studies showing that our futures market tends to increase the volatility of the stock market through the volatility transfer, our finding suggests that the NPS’s trading KOSPI200 futures contributes to decreasing the volatility in both markets. To the best of the authors’ knowledge, this paper is the first study that investigates the impact of the NPS’s trading KOSPI200 futures on the KOSPI200 futures market and the stock market. It shows that the NPS plays a role of the market stabilizer in the futures market. In addition, the NPS’s trading KOSPI200 futures also affects the KOSPI stock market, stabilizing it in terms of both the liquidity and the volatility.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114473858","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}

{"title":"The short-term mean reversion of stock price and the change in trading volume","authors":"Woosung Jung, Mhin Kang","doi":"10.1108/JDQS-01-2021-0003","DOIUrl":"https://doi.org/10.1108/JDQS-01-2021-0003","url":null,"abstract":"This study aims to analyze the effect of change in trading volume on the short-term mean reversion of the stock price in the Korean stock market. Through the variance ratio test, this paper finds that the market shows the mean reversion pattern after 2000, but not before. This study also confirms that the mean reversion property is significantly reduced if the effect of change in trading volume is excluded from the return of a stock with a significant contemporaneous correlation between return and change in trading volume in the post-2000 market. The results appear in both the Korea Composite Stock Price Index and Korea Securities Dealers Automated Quotation. This phenomenon stems from the significance of the return response to change in trading volume per se and not the sign of the response. Additionally, the findings imply that the trading volume has a term structure because of the mean reversion of the trading volume and the return also has a partial term structure because of the contemporaneous correlation between return and change in trading volume. This conclusion suggests that considering the short-term impact of change in trading volume enables a more efficient observation of the market and avoidance of asset misallocation.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123778471","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}

{"title":"Bitcoin and stock markets: a revisit of relationship","authors":"Hassanudin Mohd Thas Thaker, Abdollah Ah Mand","doi":"10.1108/JDQS-07-2020-0016","DOIUrl":"https://doi.org/10.1108/JDQS-07-2020-0016","url":null,"abstract":"The volatility of bitcoin (BTC) and time horizon is the center point for investment decisions. However, attention is not often drawn to the relationship between BTC and equity indices. Thus, the purpose of this paper is to investigate the volatility and time frequency domain of BTC with stock markets.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117144004","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}

{"title":"Predicting Korea’ business-cycle regimes using OnBid auction data","authors":"Jin Gi Kim, Hyun-Tak Lee, Bong-Gyu Jang","doi":"10.1108/JDQS-11-2020-0027","DOIUrl":"https://doi.org/10.1108/JDQS-11-2020-0027","url":null,"abstract":"\u0000Purpose\u0000This paper examines whether the successful bid rate of the OnBid public auction, published by Korea Asset Management Corporation, can identify and forecast the Korea business-cycle expansion and contraction regimes characterized by the OECD reference turning points. We use logistic regression and support vector machine in performing the OECD regime classification and predicting three-month-ahead regime. We find that the OnBid auction rate conveys important information for detecting the coincident and future regimes because this information might be closely related to deleveraging regarding default on debt obligations. This finding suggests that corporate managers and investors could use the auction information to gauge the regime position in their decision-making. This research has an academic significance that reveals the relationship between the auction market and the business-cycle regimes.\u0000","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"104 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124825294","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}

{"title":"Transactions of the National Pension Service of Korea in the KOSPI200 futures market","authors":"Kim Meong Ae, Woo Mincheol","doi":"10.1108/JDQS-11-2020-0030","DOIUrl":"https://doi.org/10.1108/JDQS-11-2020-0030","url":null,"abstract":"It is known that the National Pension Service (NPS) of Korea contributes to the market stability because it tends to pursue the negative feedback trading strategy in the Korean stock market. While many studies deal with institutional investors’ trading in the financial derivatives market, the NPS’s trading in the derivatives market is rarely studied. Using the NPS’s trading data for the period from January 2010 to March, 2020, the authors examine the transactions of the NPS in the KOSPI200 futures market. We find that the NPS’s net investment flow (NIF) in KOSPI200 futures is negatively associated with the past returns of KOSPI200 futures and the KOPI200 index. However, we also find that the NPS’s NIF of KOSPI200 futures is positively associated with its NIF in KOSPI200 stocks. Along with the legal restriction on the NPS’s trading in the derivatives market, the result suggests that the NPS uses KOSPI200 futures to deviate the problems related to non-synchronous trading in the spot market. To the best of our knowledge, this paper is the first study of the NPS’s transactions of KOSPI200 futures. The paper suggests that the NPS does not trade KOSPI200 futures for hedging or arbitrage profit but for complementing its transactions in the spot market of KOSPI200 stocks.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117352213","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}