간행물

선물연구 update

Journal of Derivatives and Quantitative Studies

  • : 한국파생상품학회
  • : 사회과학분야  >  경영학
  • : KCI등재
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  • : 연속간행물
  • : 계간
  • : 1229-988x
  • : 2713-6647
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수록정보
수록범위 : 1권0호(1993)~29권2호(2021) |수록논문 수 : 366
선물연구
29권2호(2021년 06월) 수록논문
최근 권호 논문
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KCI등재

1Optimal investment with time-varying transition probabilities for regime switching

저자 : Hyo-chan Lee , Seyoung Park , Jong Mun Yoon

발행기관 : 한국파생상품학회 간행물 : 선물연구 29권 2호 발행 연도 : 2021 페이지 : pp. 102-115 (14 pages)

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This study aims to generalize the following result of McDonald and Siegel (1986) on optimal investment: it is optimal for an investor to invest when project cash flows exceed a certain threshold. This study presents other results that refine or extend this one by integrating timing flexibility and changes in cash flows with time-varying transition probabilities for regime switching. This study emphasizes that optimal thresholds are either overvalued or undervalued in the absence of time-varying transition probabilities. Accordingly, the stochastic nature of transition probabilities has important implications to the search for optimal timing of investment.

KCI등재

2Predicting Korea' business-cycle regimes using OnBid auction data

저자 : Jin Gi Kim , Hyun-tak Lee , Bong-gyu Jang

발행기관 : 한국파생상품학회 간행물 : 선물연구 29권 2호 발행 연도 : 2021 페이지 : pp. 116-133 (18 pages)

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Purpose - This 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 auctionmarket and the business-cycle regimes.

KCI등재

3On the investigation of investment style allocation under the OCIO structure: Evidence from the Korean stock market

저자 : Jeongjoon Park , Jaewan Bae , Changjun Lee

발행기관 : 한국파생상품학회 간행물 : 선물연구 29권 2호 발행 연도 : 2021 페이지 : pp. 134-155 (22 pages)

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Purpose - Given the importance of style allocation strategy under the outsourced chief investment officer (OCIO) structure, the authors examine the validity of style allocation strategies in the Korean stock market. The authors find that external investment agencies can improve performance by using newly suggested investment styles such as high dividend yield and low volatility as well as traditional styles. In addition, the authors find that the style combination strategies create economically large and statistically significant returns. Finally, empirical results indicate that factor timing strategies suggested in this study can improve the reward-to-risk ratio. In sum, the empirical findings indicate that external investment agencies under the OCIO structure can improve performance using active style allocation strategies.

KCI등재

4Transactions of the National Pension Service of Korea in the KOSPI200 futures market

저자 : Meong Ae Kim , Mincheol Woo

발행기관 : 한국파생상품학회 간행물 : 선물연구 29권 2호 발행 연도 : 2021 페이지 : pp. 156-170 (15 pages)

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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.

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