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한국파생상품학회(구 한국선물학회)> 선물연구> Predicting Korea’ business-cycle regimes using OnBid auction data

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Predicting Korea’ business-cycle regimes using OnBid auction data

Jin Gi Kim , Hyun-tak Lee , Bong-gyu Jang
  • : 한국파생상품학회
  • : 선물연구 29권2호
  • : 연속간행물
  • : 2021년 06월
  • : 116-133(18pages)
선물연구

DOI


목차

1. Introduction
2. Literature review
3. Research method
4. Data
5. Empirical analysis
6. Implications
7. Concluding remarks
Notes
References
Corresponding author

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초록 보기

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.

UCI(KEPA)

간행물정보

  • : 사회과학분야  > 경영학
  • : KCI등재
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  • : 계간
  • : 1229-988x
  • : 2713-6647
  • : 학술지
  • : 연속간행물
  • : 1993-2021
  • : 370


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

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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.

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

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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.

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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.

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4Bitcoin and stock markets: a revisit of relationship

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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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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)

다운로드

(기관인증 필요)

초록보기

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.

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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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