간행물

JDQS update

Journal of Derivatives and Quantitative Studies

  • : 한국파생상품학회(구 한국선물학회)
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수록정보
수록범위 : 1권0호(1993)~28권4호(2020) |수록논문 수 : 358
JDQS
28권4호(2020년 12월) 수록논문
최근 권호 논문
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KCI등재

1Green bonds: a survey

저자 : Chiyoung Cheong , Jaewon Choi

발행기관 : 한국파생상품학회(구 한국선물학회) 간행물 : JDQS 28권 4호 발행 연도 : 2020 페이지 : pp. 175-189 (15 pages)

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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.

KCI등재

2The impacts of day trading activity on market quality: evidence from the policy change on the Taiwan stock market

저자 : Tun-ya Yang , Si-yuan Huang , Wei-che Tsai , Pei-shih Weng

발행기관 : 한국파생상품학회(구 한국선물학회) 간행물 : JDQS 28권 4호 발행 연도 : 2020 페이지 : pp. 191-207 (17 pages)

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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.

KCI등재

3CAPM verification using overnight and daytime returns

저자 : Dae Jin Kang , Soo-hyun Kim

발행기관 : 한국파생상품학회(구 한국선물학회) 간행물 : JDQS 28권 4호 발행 연도 : 2020 페이지 : pp. 209-227 (19 pages)

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Purpose - The 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.

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1연안해역에서 석유오염물질의 세균학적 분해에 관한 연구

(2006)홍길동 외 1명심리학41회 피인용

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2미국의 비트코인 규제

(2006)홍길동심리학41회 피인용

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2미국의 비트코인 규제

(2006)홍길동41회 피인용

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