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Journal of Derivatives and Quantitative Studies: 선물연구最新文献

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Illiquidity, duration and momentum profits: evidence from the Korean stock market 流动性不足、持续时间和动量利润:来自韩国股市的证据
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2021-03-22 DOI: 10.1108/JDQS-11-2020-0028
Jae-hun Bae, Changjun Lee
{"title":"Illiquidity, duration and momentum profits: evidence from the Korean stock market","authors":"Jae-hun Bae, Changjun Lee","doi":"10.1108/JDQS-11-2020-0028","DOIUrl":"https://doi.org/10.1108/JDQS-11-2020-0028","url":null,"abstract":"This paper examines the role of illiquidity and duration factor in understanding the momentum profit in the Korean stock market. We find that the foreigner/institutional illiquidity factor explains the momentum effect. In addition, this paper finds that duration factor defined as the difference in returns of short-duration and long-duration stocks captures well the momentum profits. That is, a two-factor model with the market and duration factor performs much better than competing asset pricing models in explaining the momentum effect. Finally, when controlling for the duration factor, the explanatory power of the foreign/institutional illiquidity factor on the momentum profits disappears. In sum, our empirical finding indicates that the duration factor is the most important ingredient in understanding the momentum effect in the Korean stock market.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132589478","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
Dividend reputation, dividend yield and stock returns in Korea 韩国的股息声誉、股息收益率和股票回报率
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2021-03-18 DOI: 10.1108/JDQS-09-2020-0023
Ryumi Kim
{"title":"Dividend reputation, dividend yield and stock returns in Korea","authors":"Ryumi Kim","doi":"10.1108/JDQS-09-2020-0023","DOIUrl":"https://doi.org/10.1108/JDQS-09-2020-0023","url":null,"abstract":"\u0000Purpose\u0000Although it has often been studied in finance research, the relationship between dividend yields and stock returns remains an unresolved issue, especially in the Korean stock market. When firms continue to pay non-decreasing dividends for three or five years, they may establish a dividend reputation, which could affect this relationship. The author found firms that pay more dividends, larger firms, older firms, more profitable firms, less leveraged firms, firms with less volatile returns, firms with foreign holdings of more than 5%, and firms with more concentrated ownership build dividend reputations. The author also found that the relationship between dividend yields and future stock returns depends on a firm’s dividend reputation. The evidence shows that when firms with higher yields have dividend reputations, they produce higher future returns, whereas there is no significant relationship between yields and returns for firms with no reputation. These results are inconsistent with the findings of studies that use developed market data. In addition, when larger firms with higher growth potential and firms with less concentrated ownership have dividend reputations, future returns are higher.\u0000","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"72 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133769083","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
The necessity to activate long-term ETD in Korea 韩国启动长期ETD的必要性
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2020-11-26 DOI: 10.1108/JDQS-08-2020-0020
Hyoseob Lee
{"title":"The necessity to activate long-term ETD in Korea","authors":"Hyoseob Lee","doi":"10.1108/JDQS-08-2020-0020","DOIUrl":"https://doi.org/10.1108/JDQS-08-2020-0020","url":null,"abstract":"\u0000Purpose\u0000This paper aims to provide the necessity to activate long-term exchange-traded derivatives (ETD) in Korea. In the era of aging, low interest rates and low economic growth, the investment demand for long-term financial products, and its hedging demand have steadily increased. Unfortunately, long-term ETD do not trade in Korea, and this study presents political suggestions to invigorate long-term ETD based on overseas cases and empirical analysis. Specifically, this study suggests the necessity to activate exchange traded funds (ETFs) options, long-term Korea treasury bond futures and options and long-term Volatility Index of Korea Composite Stock Price Index future and options. The introduction of those long-term ETD not only contributes to providing long-term investment and hedging vehicles but also reduces market inefficiencies in the Korean industry of ETFs, bonds and structured products.\u0000","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"89 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133019880","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
CAPM verification using overnight and daytime returns CAPM验证使用夜间和白天的回报
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2020-11-04 DOI: 10.1108/JDQS-05-2020-0010
D. Kang, Soohun Kim
{"title":"CAPM verification using overnight and daytime returns","authors":"D. Kang, Soohun Kim","doi":"10.1108/JDQS-05-2020-0010","DOIUrl":"https://doi.org/10.1108/JDQS-05-2020-0010","url":null,"abstract":"\u0000Purpose\u0000The capital asset pricing model has failed to explain the effect of systematic risk (referred to as beta) on actual stock market returns. Accordingly, this study analyzes daily returns by splitting it into overnight and daytime returns. The study analysis empirically confirms a positive relationship between overnight returns and beta and a negative relation between daytime returns and beta. Furthermore, this paper aims to determine that empirical results are mostly the same with three different beta calculations, namely, daily, overnight and daytime returns. The study concludes that beta on overnight returns has the strongest explanatory power and is statistically significant.\u0000","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127164010","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
The impacts of day trading activity on market quality: evidence from the policy change on the Taiwan stock market 日交易活动对市场质量的影响:来自台湾股票市场政策变化的证据
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2020-11-02 DOI: 10.1108/JDQS-06-2020-0015
Tun-Ya Yang, Siming Huang, Wei‐Che Tsai, P. Weng
{"title":"The impacts of day trading activity on market quality: evidence from the policy change on the Taiwan stock market","authors":"Tun-Ya Yang, Siming Huang, Wei‐Che Tsai, P. Weng","doi":"10.1108/JDQS-06-2020-0015","DOIUrl":"https://doi.org/10.1108/JDQS-06-2020-0015","url":null,"abstract":"This paper aims to investigate the impact of day trading on market quality on the Taiwan stock market with the implementation of a unique policy change. This paper examines 396 listed stocks from June 2015 to October 2016, a period when the stock market in Taiwan officially approved selected stocks for day trading for all investors. Within the sample period, the empirical findings show that day trading increases the bid–ask spread, price depth and stock volatility, indicating that day trading activities not only cause higher transaction costs and trading risk but also raise the market’s ability to absorb price impact. This paper considers two-stage regression and tests the exogenous shock because of further relaxation for day trading to deal with the possible endogenous problem and the main findings remain consistent. Since early 2014, the Taiwan stock market has been experiencing a distinct growth in trading volume after unwinding the day trading; however, the results show that the impacts of stock day trading on market quality are not all positive.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131267455","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
Green bonds: a survey 绿色债券:一项调查
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2020-11-02 DOI: 10.1108/JDQS-09-2020-0024
Chiyoung Cheong, Jaewon Choi
{"title":"Green bonds: a survey","authors":"Chiyoung Cheong, Jaewon Choi","doi":"10.1108/JDQS-09-2020-0024","DOIUrl":"https://doi.org/10.1108/JDQS-09-2020-0024","url":null,"abstract":"This paper is a survey of recent academic developments in the literature on green bonds, which have become an important financial instrument in socially responsible investment. This study provides a review of papers that study the market pricing of green bonds, the economic and environmental effects of green bond financing, as well as legal and institutional issues in the green bond market. The literature on market pricing focuses mainly on the existence of greenium, which represents the extent to which green bonds carry a price premium over otherwise identical non-green counterparts. The literature on the economic and environmental effects mainly concerns stock market reaction to green bond issuance and associated economic value implications to other stakeholders, as well as investment in green projects. This paper discusses current issues in the green-bond market and avenues for future research.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123455502","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: 21
An option embedded novel military service system based on cognitive bias theories 一种基于认知偏差理论的选项嵌入式新型兵役制度
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2020-08-24 DOI: 10.1108/JDQS-07-2020-0018
Hyoung-Goo Kang, Byungsuk Han
{"title":"An option embedded novel military service system based on cognitive bias theories","authors":"Hyoung-Goo Kang, Byungsuk Han","doi":"10.1108/JDQS-07-2020-0018","DOIUrl":"https://doi.org/10.1108/JDQS-07-2020-0018","url":null,"abstract":"\u0000Purpose\u0000The purpose of this study is to hypothesize that cognitive biases such as nostalgia, rosy retrospection, overconfidence, fading-affect bias and prospect theory affect how to serve in the military. The behaviors of those expecting military service and those who have completed the service differ significantly in evaluating the self and social value of the human capital during the military service. This difference corresponds to the predictions of the cognitive-bias literature. The authors test propositions in option framework. This study’s experimental design proposes a novel military system, a hybrid of conscription and voluntary systems. This study’s results are consistent with the hypothesis, option theory and behavioral economics literature.\u0000","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129915024","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
Do firm boundaries matter? The impact of Chinese imports on US conglomerates 明确的界限重要吗?中国进口商品对美国企业集团的影响
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2020-08-21 DOI: 10.1108/JDQS-03-2020-0001
Ryoonhee Kim
{"title":"Do firm boundaries matter? The impact of Chinese imports on US conglomerates","authors":"Ryoonhee Kim","doi":"10.1108/JDQS-03-2020-0001","DOIUrl":"https://doi.org/10.1108/JDQS-03-2020-0001","url":null,"abstract":"The purpose of this paper is to use China’s World Trade Organization accession as a quasi-natural experiment and examine whether conglomeration affects firmss’ ability to respond to a significant increase in competitive pressure. Conglomerate segments have higher sales growth and higher profitability than singlesegment firms, when they face intensified import competition. Conglomerates’ outperformance is not observed when the markets in which segments operate already have high product market competition. Overall, conglomeration encourages competitiveness, and internal resources are allocated to relatively competitive segments.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"102 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122886994","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
Dividend month premium in the Korean stock market 韩国股市的红利月溢价
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2020-07-27 DOI: 10.1108/JDQS-04-2020-0006
Bonhak Koo, J. Chae
{"title":"Dividend month premium in the Korean stock market","authors":"Bonhak Koo, J. Chae","doi":"10.1108/JDQS-04-2020-0006","DOIUrl":"https://doi.org/10.1108/JDQS-04-2020-0006","url":null,"abstract":"The dividend month premium is the phenomenon that firms have abnormal returns in predicted dividend month. This study aims to examine the dividend month premium in the Korean stock market, using common stocks listed on the KOSPI and KOSDAQ from January 1999 to December 2016. Abnormal returns are estimated using the following asset price models: capital asset pricing model, Fama–French three-factor model and the Fama–French–Carhart four-factor model. This study finds positive abnormal returns in predicted dividend months, and even for the within-firm portfolio that buys stocks in the predicted dividend months and sells the same stocks in other months. The price impact and the subsequent reversals are greater with lower liquidity and higher dividend yield, implying that the price pressure from dividend-seeking investors affects this dividend month premium. In addition, the anomalies with the pre-declaration stock are smaller than the post-declaration stock, suggesting the necessity to improve the cash dividend policy of post-declaration for market efficiency.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"79 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131698292","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: 3
Market anomalies in the Korean stock market 韩国股市的反常现象
Journal of Derivatives and Quantitative Studies: 선물연구 Pub Date : 2020-07-20 DOI: 10.1108/JDQS-03-2020-0004
Minyeon Han, Dong-hyun Lee, Hyoung-Goo Kang
{"title":"Market anomalies in the Korean stock market","authors":"Minyeon Han, Dong-hyun Lee, Hyoung-Goo Kang","doi":"10.1108/JDQS-03-2020-0004","DOIUrl":"https://doi.org/10.1108/JDQS-03-2020-0004","url":null,"abstract":"This paper aims to replicate 148 anomalies and to examine whether the performance of the Korean market anomalies is statistically and economically significant. First, the authors observe that only 37.8% anomalies in the universe of the KOSPI and the KOSDAQ and value-weighted portfolios have t-statistics that exceed 1.96. When the authors impose a higher threshold (an absolute value of t-statistics of 2.78), only 27.7% of the 148 anomalies survive. Second, microcaps have large impacts. The results vary significantly depending on whether the sample included stocks in the KOSDAQ and whether value-weighted or equal-weighted portfolios are used. The results suggest that data mining explains large portion of abnormal returns. Any tactical asset allocation strategies based on market anomalies should be applied very cautiously.","PeriodicalId":110334,"journal":{"name":"Journal of Derivatives and Quantitative Studies: 선물연구","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124815661","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
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