간행물

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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)~29권3호(2021) |수록논문 수 : 370
선물연구
29권3호(2021년 09월) 수록논문
최근 권호 논문
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KCI등재

1The effect of short-term return reversals on momentum profits

저자 : Myounghwa Sim , Hee-eun Kim

발행기관 : 한국파생상품학회 간행물 : 선물연구 29권 3호 발행 연도 : 2021 페이지 : pp. 174-189 (16 pages)

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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.

KCI등재

2The short-term mean reversion of stock price and the change in trading volume

저자 : Woosung Jung , Mhin Kang

발행기관 : 한국파생상품학회 간행물 : 선물연구 29권 3호 발행 연도 : 2021 페이지 : pp. 190-214 (25 pages)

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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.

KCI등재

3The market impact of futures trading by the National Pension Service (NPS) of Korea

저자 : Mincheol Woo , Meong Ae Kim

발행기관 : 한국파생상품학회 간행물 : 선물연구 29권 3호 발행 연도 : 2021 페이지 : pp. 215-233 (19 pages)

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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.Weinvestigated 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 bothKOSPI200 futures andKOSPI200 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 tradingKOSPI200 futures contributes to decreasing the volatility in bothmarkets. 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 theKOSPI200 futures market and the stock market. It shows that theNPS 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.

KCI등재

4Bitcoin and stock markets: a revisit of relationship

저자 : Hassanudin Mohd Thas Thaker , Abdollah Ah Mand

발행기관 : 한국파생상품학회 간행물 : 선물연구 29권 3호 발행 연도 : 2021 페이지 : pp. 234-256 (23 pages)

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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.

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