간행물

선물연구 update

Korean Journal of Futures and Options

  • : 한국파생상품학회(구 한국선물학회)
  • : 사회과학분야  >  경영학
  • : KCI등재
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  • : 연속간행물
  • : 계간
  • : 1229-988x
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수록정보
수록범위 : 1권0호(1993)~28권3호(2020) |수록논문 수 : 355
선물연구
28권3호(2020년 09월) 수록논문
최근 권호 논문
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KCI등재

1Contagion between Liquid and Illiquid Assets during the Financial Crisis: Evidence from the US Credit Derivative Market

저자 : Jungmu Kim , Yuen Jung Park

발행기관 : 한국파생상품학회(구 한국선물학회) 간행물 : 선물연구 28권 3호 발행 연도 : 2020 페이지 : pp. 297-319 (23 pages)

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This study investigates the existence of contagion between liquid and illiquid assets in the credit default swap (CDS) market around the recent financial crisis. We perform analyses based on vector autoregression model and the dynamic conditional correlation model. The estimation of vector autoregression models reveals that changes in liquid CDS spreads lead changes in illiquid CDS spreads at least one week ahead during the financial crisis period, whereas the leading direction is reversed during the post-crisis period. Moreover, the results are robust after controlling for structural variables which are proven as determinants of CDS spreads and empirically supported. Finally, the dynamic conditional correlation analysis also confirms our main results. Therefore, we interpret that information was incorporated first into the liquid CDSs due to the flight-to-liquidity during the recent crisis period but there's default contagion effect by reflecting illiquidity-induced credit risk after the crisis.

KCI등재

2Information Asymmetry, Time until Deal Completion and Post-M&A Performance

저자 : Ephraim Kwashie Thompson , Changki Kim

발행기관 : 한국파생상품학회(구 한국선물학회) 간행물 : 선물연구 28권 3호 발행 연도 : 2020 페이지 : pp. 321-346 (26 pages)

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This paper aims to show that information asymmetry plays a vital role in the post-M&A performance-time until deal completion nexus. The findings are that the due diligence hypothesis and the overdue hypothesis proposed and tested in Thompson and Kim (2020) are influenced by the information asymmetry of the target during the negotiation process. Thus, mergers that involve more opaque targets that take a shorter time to close perform better, whereas those that take too long to close experience poor post-M&A performance. Conversely, there is no such effect when the mergers involve targets that are transparent and not plagued with large information asymmetry problems. These results hold for the short-term supporting the evidence that information asymmetry problems are severe before the merger is consummated and become attenuated post-merger.

KCI등재

3An Option Embedded Novel Military Service System based on Cognitive Bias Theories

저자 : Hyoung-goo Kang , Byungsuk Han

발행기관 : 한국파생상품학회(구 한국선물학회) 간행물 : 선물연구 28권 3호 발행 연도 : 2020 페이지 : pp. 347-358 (12 pages)

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We 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 completed the service differ significantlyin 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. We test propositions in option framework. Our experimental design proposes a novel military system, a hybrid of conscription and voluntary systems. Our results are consistent with the hypothesis, option theory, and behavioral economics literature.

KCI등재

4The Necessity to Activate Long-Term ETD Derivatives in Korea

저자 : Hyo Seob Lee

발행기관 : 한국파생상품학회(구 한국선물학회) 간행물 : 선물연구 28권 3호 발행 연도 : 2020 페이지 : pp. 359-385 (27 pages)

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This paper aims to provide the necessity to activate long-term ETD derivatives whose maturity of an underlying asset is much longer. In the aging era, low-interest rates, low economic growth, the investment demand for long-term financial products and its hedging demand have steadily increased. Unfortunately, long-term ETD derivatives do not trade in Korea, and we present political suggestions to invigorate long-term ETD derivatives based on overseas cases and empirical analysis. Specifically, we suggest the necessity to activate ETF options, long-term KTB bond futures and options, and long-term VKOSPI future and options. The introduction of those long-term ETD derivatives not only contribute to providing long-term investment and hedging vehicles but also reduce market inefficiencies in the Korean industry of ETFs, bonds, and structured products.

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1연안해역에서 석유오염물질의 세균학적 분해에 관한 연구

(2006)홍길동 외 1명심리학41회 피인용

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2미국의 비트코인 규제

(2006)홍길동41회 피인용

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해당 간행물 관심 구독기관

한양대학교 한국외국어대학교 서울대학교 성균관대학교 한국과학기술원(KAIST)
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  • 1 한양대학교 (27건)
  • 2 한국외국어대학교 (20건)
  • 3 서울대학교 (17건)
  • 4 성균관대학교 (15건)
  • 5 한국과학기술원(KAIST) (15건)
  • 6 경희대학교 (13건)
  • 7 한국과학기술원(서울) (13건)
  • 8 서강대학교 (12건)
  • 9 연세대학교 (11건)
  • 10 한성대학교 (8건)

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