bluuebunny/crossref_metadata_2025 huggingface dataset:
Loss of genome maintenance accelerates podocyte damage and aging
Authors: Braun Fabian , Mandel Amrei M. , Blomberg Linda , Wong Milagros N. , Chatzinikolaou Georgia , Nair Viji , Akbar-Haase Roman , Puelles Victor G. , Meyer David H. , McCown Phillip J. , Haas Fabian , Rahmatollahi Mahdieh , Fermin Damian , Slaats Gisela G. , Bork Tillmann , Schell Christoph , Koehler Sybille , Brinkoetter Paul T. , Lindenmeyer Maja T. , Cohen Clemens D. , Kann Martin , Bloch Wilhelm , Sampson Matthew G. , Dollé Martijn ET , Kretzler Matthias , Garinis George A. , Huber Tobias B. , Schermer Bernhard , Benzing Thomas , Schumacher Björn , Kurschat Christine E.
Published: September 2020

DNA repair is essential for preserving genome integrity and ensuring cellular functionality and survival. Podocytes, post-mitotic glomerular epithelial cells, bear limited regenerative capacity, and their survival is indispensable to maintain the function of the kidney’s filtration units. While podocyte depletion is a hallmark of the aging process and of many proteinuric kidney diseases, the underlying factors remain unclear.

We investigated DNA repair in podocyte diseases by using a constitutive and an inducible podocyte-specific knockout mouse model forErcc1,a multifunctional endonuclease cofactor involved in nucleotide excision repair (NER), interstrand crosslink (ICL) repair, and DNA double-strand break (DSB) repair. We assessed the consequences ofErcc1lossin vivo,complemented by mechanisticalin vitrostudies of induced DNA damage in cultured podocytes. Furthermore, we characterized DNA damage-related alterations in mouse and human renal tissue of different ages as well as in patient biopsies with minimal change disease and focal segmental glomerulosclerosis.

Podocyte-specificErcc1knockout resulted in accumulation of DNA damage with ensuing proteinuria, podocyte loss, glomerulosclerosis, renal insufficiency, and reduced lifespan. The response to genomic stress was different to the pattern reported in other cell types, as podocytes activated mTORC1 signaling upon DNA damagein vitroandin vivo. The induced mTORC1 activation was abrogated by inhibiting DNA damage response through DNA-PK and ATM kinasesin vitro. Moreover, pharmacological inhibition of mTORC1 modulated the development of glomerulosclerosis inErcc1-deficient mice. Perturbed DNA repair gene expression and genomic stress was also detected in podocytes of human focal segmental glomerulosclerosis, characterized by podocyte loss. Beyond that, DNA damage accumulation occurred in podocytes of healthy aging mice and humans.

These findings reveal that genome maintenance is crucial for podocyte maintenance, linked to the mTORC1 pathway, and involved in the aging process as well as in the development of glomerulosclerosis, potentially serving as a therapeutic target in the future.
Molecular plasticity of the native mouse skeletal sarcomere revealed by cryo-ET
Authors: Wang Zhexin , Grange Michael , Wagner Thorsten , Kho Ay Lin , Gautel Mathias , Raunser Stefan
Published: September 2020

Sarcomeres are the force-generating and load-bearing devices of muscles. A precise molecular understanding of how the entire sarcomere is built is required to understand its role in health, disease and ageing. Here, we determine thein situmolecular architecture of vertebrate skeletal sarcomeres through electron cryo-tomography of cryo-focused ion beam-milled native myofibrils. The reconstructions reveal the three-dimensional organisation and interaction of actin and myosin filaments in the A-band, I-band and Z-disc and demonstrate how α -actinin cross-links antiparallel actin filaments to form a mesh-like structure in the Z-disc at an unprecedented level of molecular detail. A prominent feature is a so-far undescribed doublet of α-actinin cross-links with ∼ 6 nm spacing. Sub-volume averaging shows the interaction between myosin, tropomyosin and actin in molecular detail at ∼ 10 Å resolution and reveals two coexisting conformations of actin-bound heads. The flexible orientation of the lever arm and the essential and regulatory light chains allow the two heads of the “double-headed” myosin not only to interact with the same actin filament but also to split between two actin filaments. Our results provide new insights into the conformational plasticity and fundamental organisation of vertebrate skeletal muscle and serve as a strong foundation for futurein situinvestigations of muscle diseases.
Reward-associated configural cues elicit theta oscillations of rat retrosplenial neurons phase-locked to LFP theta cycles
Authors: Yoshida Masashi , Chinzorig Choijiljav , Matsumoto Jumpei , Nishimaru Hiroshi , Yamazaki Mitsuaki , Ono Taketoshi , Nishijo Hisao
Published: September 2020

Previous behavioral studies implicated the retrosplenial cortex (RSC) in stimulus-stimulus associations, and also in retrieval of remote associative memory based on EEG theta oscillations. To investigate the neural mechanisms underlying these processes, RSC neurons and local field potentials (LFPs) were simultaneously recorded from well-trained rats performing a cue-reward association task. In the task, simultaneous presentation of two multimodal conditioned stimuli (configural CSs) predicted a reward outcome opposite to that associated with individual presentation of each elemental CS. Here, we show neurophysiological evidence that the RSC is involved in stimulus-stimulus association where configural CSs are discriminated from each elementary CS that is a constituent of the configural CSs, and that memory retrieval of rewarding CSs is associated with theta oscillation of RSC neurons during CS presentation, which is phase-locked to LFP theta cycles.
Methodological Insights Jumping through hoops: publishing interview-based management accounting research
Authors: Tucker Basil P.
Published: September 2020

Purpose

This reflection is aimed primarily at doctoral students, early career researchers and more experienced accounting researchers seeking to undertake interview-based academic accounting research. It is specifically designed to identify and confront some common obstacles to publishing interview-based management accounting research.

Design/methodology/approach

This reflection is autoethnographic in the sense that it is based primarily on my publication experience, observations and reflections as an author/co-author and also as a reviewer and editor/editorial board member in submitting, reviewing and evaluating interview-based management accounting research. It therefore adopts a form of participant observation in approach in which the author seeks to provide to readers a sense of “being there” insofar as addressing the barriers to publishing interview-based management accounting research.

Findings

Whilst the insights that interview-based accounting research can offer are well established, there remain practical obstacles in publishing this form of research. These obstacles – portrayed in this paper as “hoops” through which authors must jump – largely reduce to challenges in convincing the reader of the credibility and authenticity of their approach and demonstrating the trustworthiness and dependability of the findings and conclusions reached.

Research limitations/implications

The academic and practical issues raised in this commentary will assist emerging scholars in anticipating and dealing with the challenges they face in submitting these types of studies to academic accounting journals.

Originality/value

This paper is a critical analysis and reflection of the process of publishing interview-based accounting research. Rather than attempting to replicate the many excellent commentaries on this topic, it is designed to be of practical use to emerging scholars in the design, delivery and presentation of qualitative interview-based accounting research with a particular aim of navigating the submission and review process.
Disaster risk governance: institutional vulnerability assessment with emphasis on non-structural measures in the municipality of Jaboatão dos Guararapes, Pernambuco (PE), Brazil
Authors: Coutinho Roberto Quental , Lucena Rejane , Henrique Hugo Manoel
Published: September 2020

Purpose

Climate change has had serious consequences at the global and local levels, which has required more effective scientific studies and management measures for disaster risk reduction strategies. This paper aims to analyze and discuss the degree of institutional vulnerability in terms of disaster risk governance, with emphasis on non-structural measures taken in the municipality of Jaboatão dos Guararapes, Pernambuco, Brazil.

Design/methodology/approach

Five indicators were analyzed, composed of Planning and Management Instrument, Management Structure, Preventive Action, Multidisciplinary Work and Emergency Funds. It is worth highlighting the form application with government actors, involving technicians from strategic areas of the municipality and official reports analysis. It stands out the importance of non-structural measures to strengthen this governance.

Findings

From the results of this study was noted that municipal management adopted measures to develop integrated planning, acting within the principles recommended in the Sendai framework (2015–2030), characterized as a medium degree of institutional vulnerability. Recommendations are suggested for the improvement of the entire governance system, according to the indicators and documents analyzed.

Originality/value

This article integrates a set of data and analyses relevant to the Disaster Risk Governance, regarding the assessment of institutional vulnerability with a view to non-structural actions. The importance and significance of the composed indicators allow measuring and evaluating institutional vulnerabilities. The methodology created fomented the production of scientific knowledge that allows employment in other municipalities.
Modelling the impact of geo-tourism on geo-conservation of Hell’s Gate National Park in Kenya
Authors: Rop Wendy Chepkemei
Published: September 2020

Purpose

The purpose of this paper is to model the impact of geotourism on geoconservation by observing two popular geotourism activities, namely, rock climbing and hiking. It proposes that as much as geotourism activities have potential negative impacts, they can also bring about positive modification of critical ecosystems like that of Hell’s Gate National Park.

Design/methodology/approach

This research opted for an exploratory research design using both open and close-ended questionnaires from 351 respondents and was complemented by documentary analysis. The statistical relationship between geotourism activities and geoconservation was modelled through linear regression.

Findings

As predicted the computation using hiking and rock climbing to predict geoconservation were significant with p = 0.004 < 0.05 and p = 0.002 < 0.05, respectively. Implying that selected geotourism activity(s) are positively related to geoconservation

Practical implications

Recognizing the symbiotic relationship, values and relevance of geotourism to geoconservation as a dynamic approach to preservation of protected area management is central to promoting ecosystem stewardship and contributes to the achievement of United Nations development goals.

Originality/value

This paper fulfils an identified need to study how geotourism activities can be used to preserve/conserve the ecological environments and geoheritage of a destination
HR professionals cultivating resilience and crisis awareness toward a business excellence environment
Authors: Nizamidou Christina , Vouzas Fotios
Published: September 2020

Purpose

This paper explores how resilience may mitigate the impacts of a crisis and at the same time foster business excellence. Additionally, it seeks to analyze the role of HR department (HRD) in cultivating resilience and crisis awareness.

Design/methodology/approach

In order for the authors to assess their hypotheses, a research model was conceptualized and tested by conducting an empirical study in Greek organizations that enlist the largest number of employees in Greece, belonging to various corporate sectors. Following the review of the relevant literature on resilience, business excellence and crisis management (CM), the research model and research hypotheses are presented.

Findings

The empirical section illustrates the statistical analysis of the collected data and the test of the research hypotheses. The authors managed to validate their research hypotheses through the research. The research demonstrated that promoting resilience and crisis awareness in a business excellence environment can reinforce the role of HRD aiming to overcome crises.

Practical implications

Following the research findings, the implications for managers and organizations are presented alongside with the research limitations. Managers and HRDs can review their mindset towards resilience. Thus, they may reevaluate their CM plans and processes according to the research findings.

Originality/value

The extended literature review proved that limited studies deal with the contribution of resilience regarding CM and business excellence. The originality of the present is to promote the cultivation of resilience in line with a high level of acquaintance with CM procedures to the dynamic role of HRD in terms of CM.
The Feasibility of the Steel Futures Contract and the Impacts of Steel Industry
Authors: Choe Hyeon U
Published: September 2020

Lunching futures market for steel has been regard as one of the most urgent issues in steel industry and futures exchanges. It is followed after chairman of IISI executive committee‘s suggestion and the LME (London Metal Exchange)‘s announcement of lunching plan in May of last year. In this paper, I examine the rationale for and the feasibility of the futures contract, together with the positive and negative impacts of the contract on the steel industry. Though there exist many obstacles, LME would not stop the effort to lunch the contract. This is because the futures market for steel products is expected to provide the industry with the following benefits : ① increase of price transparency, ② weakening of price control power, ③ settling of strained trade issues, and ④ promoting industry restructuring by driving un-competitive companies out of the market.
An Efficient Numerical Integration Method for Basket Option Pricing
Authors: Ki Hosam , Ban Junhwa
Published: September 2020

In this paper we develop a numerical method for valuing multivariate European contingent claims whose payoffs depend on more than one log-normal stochastic variables. This is achieved by means of Gauss-Hermite Integrations, applied to the principal component analysis of correlation matrix to improve our computation speed. Several examples are discussed to compare with other methods.
Optimal Indirect Hedging and Price Conditions
Authors: Kim Hee Ho , 화 김미
Published: September 2020

This study examines the indirect hedging strategy and its price ccndition against exchange risk for the export firms which can not directly hedge due to non-existence of appropriate futures market for the export market currency. The export firms would manipulate their mark-up rate as real hedging against exchange risk in the incomplete export market. Real options tend to reduce the uncertainty of an export profit curve in nonlinear manner and thus, substitute for the financial hedging. As a result, the optimal hedging strategy for the firms exporting to the incomplete market is an under hedge combining short futures and long put. The long put is a substitute with short futures and required to cover the nonlinear risk of export profit derived by real options. Indirect hedging would increase the expected profit by reducing risk, while a sufficient and necessary condition for the optimal indirect hedging depends on exchange volatility and a magnitude of put premium relative to an expected excercise loss.
Skewness of Kurtosis?: Using Corrado and Su (1996)‘s Model
Authors: Kim Sol
Published: September 2020

For the KOSPI 200 index options market. we examine the power of influence on pricing options of the skewness and the kurtosis of the risk neutral distribution. We compare the Black and Scholes (1973) model which does not consider the skewness or the kurtosis of the risk neutral distribution with Corrado and sue 1996)’s model which consider both the skewness and the kurtosis and the models which consider only the skewness or the kurtosis.

It is found that Corrado and sue 1996)‘s model which consider both skewness and kurtosis shows the best performance closely followed by the model which consider only the skewness for tile in-sample pricing and the out-of-sample pricing. As a result. it contributes to pricing options to consider both skewness and kurtosis and the skewness is more important factor for pricing options than the kurtosis.
Information Contents in the Volatility Spread of Index Options
Authors: Kim Sol , Lee Geul
Published: September 2020

This article examines the information contents in the implied volatility spread between the KOSPI200 at-the-money puts and calls with the same strike price and maturity. Using 1-minute KOSPI200 index and options data, our study shows that the volatility spread leads KOSPI200 index return for about 30 minutes during the entire sample period. Moreover, our study reveals that the volatility spread is an independent information source even after using the implied skewness parameter as an additional controlled variable, and that the volatility spread leads the index much more than the skewness paremeter does. We also conduct impulse response tests and variance decomposition based on the VAR model, and the results also show that the volatility spread has the most significant influence on the other variables. Finally, we conduct regression analysis to find whether the extremely bullish or bearish markets affect the informationality of volatility spread, and the results show that the information contents decrease when the market is in an extreme condition.
Underpricing of Index Futures prices, Prospect Theory and Intraday Momentum
Authors: Kim Suhkyong
Published: September 2020

We investigate intraday data for KOSPI 200 index and KOSPI 200 index futures. Hourly theoretical futures prices are calculated based on cost of carry model. we compare hourly index futures prices with their theoretical prices. Consistent with a large body of previous researches in this area, we find the persistent deviation of futures prices from their theoretical prices. Futures prices are undervalued relative to their theoretical prices. The data indicate that the difference between futures price and its theoretical price exhibits U-shaped pattern over the trading hours. The differences are higher at open and at 15:00 and are lower over intraday trading hours, implying that previous studies using daily closing prices overstate this mispricing.

We also examine the effect of intraday spot return on the behavior of the difference between the hourly futures price and its theoretical price. The finding indicates that the intraday momentum generates U-shaped pattern of this mispricing. This contrasts with Kim and Park (2011)'s finding that the difference also increases as the prior 60 day spot return increases. Our finding invalidates their explanation the activities of arbitrageurs bring monotonic increasing pattern of the magnitude of this mispricing in their daily data.

We propose a new explanation the U shaped patttern of the difference between the futures price and its theoretical price generated by the intraday spot return's moment. We introduce risk-seeking trader in our new explanation. The trader's risk-seeking behavior is based on prospect theory (Kahneman and Tversky (1979)). We argue that the risk-seeking traders cause intraday momentum effect to generate the U-shaped pattern of this mispricing. We add speculator's variables to Kim and Park (2011)'s regression equation and estimate it. The results from the regression analysis lend support to our new explanation as well as theirs, implying that speculators and arbitrageurs are present and active in the spot and futures markets and generate different pattern of the mispricing.
Trading Strategy for Stock Index Futures Based on Disposition Effect
Authors: Oh Seung Hyun , Hahn Sang Buhm
Published: September 2020

Grinblatt and Han (2005) argued that unrealized capital gains and expected returns are positively related in the U.S. stock markets. This study investigates the possibility of developing investment strategies for stock index futures using the positive relation. Probing the trading data of futures on KOSPI200 during the period of 1995~2013, several interesting results are obtained. First, the strategy of building long positions when the unrealized capital gain is greater than zero produces positive profit which is statistically significant. Second, the profitability of this strategy during December is significantly positive while the profitability during January is insignificant. Third, the strategy generates positive profit during the second half year while the profitability of the first half year is insignificant. These results imply that it is possible to develop investment strategy by extracting some information from the unrealized capital gains.
Price and Volume Effects Associated with ELW Issuance in Korea
Authors: Kho Bong-Chan , Kim Jin-Woo
Published: September 2020

The option pricing model of Black and Scholes (1973) shows that an option contract is redundant in a complete market as it can be completely replicated by its underlying assets and risk free assets. However, in a real world of incomplete markets, many studies have shown that option contracts are not redundant and can affect prices and trade volume of underlying assets as they contribute to the market completeness. Thus, this paper examines whether this holds for ELWs (Equity-Linked Warrants) in Korean stock market, which are well known to have the same function as option contracts. To do this, we analyze the effects of ELW listings on underlying stocks’ prices, trade volume, and volatilities, and test whether ELWs contribute to market completeness. Using the daily trading data of 5,799 ELWs on individual stocks from December 2005 to September 2011, we find that underlying stocks show significantly positive cumulative abnormal returns (CAARs) and abnormal trade volume after ELW listing dates, implying that the ELW listing affects significantly positive effects on prices and trade volume of underlying stocks. The volatility of underlying stocks is significantly decreasing after the ELW listing. The systematic risk measured as beta, however, does not change over the event window. This result indicates that the decrease in volatility of underlying stocks comes from the decrease of unsystematic risks, and the correlations between returns of market index and underlying stocks are increasing after the ELW listing. The result that ELW listing can have significant effects on the underlying market implies that current stock market is incomplete, and thus, it is natural to ask whether ELWs can contribute to market completeness. Using the method suggested by Buraschi and Jackwerth (2001), we examine whether ELWs are necessary to replicate the pricing kernel used in asset pricing. We select risk-free asset, underlying stock and ELW as reference assets to replicate the pricing kernel, and find that the pricing kernel cannot be replicated completely without ELWs. This result implies that ELWs are not redundant financial assets and are necessary to increase the market completeness in Korean stock market.
The Effect of Discriminative Trading Frictions on Option Strategies
Authors: Hwang Sang Won
Published: September 2020

I estimate that a margin as trading frictions has an effect on the strategies of writing options. The important results are as follows.

First, by the margin requirement is increased, the size of short position is reduced. Second, the discrimination of a margin requirement is due to the way that the member margin is imposed less about 1/3 than the customer margin by derivatives market business regulation in KRX. Third, the customer margin is from 1.4 to 1.6 times more than the member margin, and the margin “haircut” ratio is similar to that of the margin. Fourth, by target weight increases, the difference between target weight and effective weight is increased. Fifth, by target weight is increased, the member have higher returns on writing combination position than the customer have. It means that when investors increase the size of short position using all of account, they not only can suffer loss because of margin call but also can make profit.

Overall, the difference between the returns of the member and the returns of the customer can be quite substantial. So, this paper contributes to the literature that studies the impact of the different imposition of margins by showing how frictions limit the customer from supplying liquidity to the market and hence releasing pressure on the member.
The Valuation of the Electricity Future Contract Under Weather Uncertainty
Authors: Yoo Shi Yong
Published: September 2020

This paper is concerned with the effects of weather uncertainty on the electricity future curve. Following the approach used by Lucia and Schwartz (2002), the behavior of the underlying spot price is assumed to consist of two components ‘ a totally predictable deterministic component that accounts for regularities in the evolution of prices and a stochastic component that accounts for the behavior of residuals from the deterministic part. The weather uncertainty is modeled consistently with seasonal outlook probabilities from the CPC (Climate Prediction Center) outlook. For a given realization of temperature, the electricity load can be predicted very accurately by a time series model using temperature and other explanatory variables. Furthermore, if temperature and electricity load are known, the spot price can be predicted as well using the regime switching model with time-varying transition probabilities. The electricity future price can be calculated for the given seasonal probabilities from the CPC outlook. Then the electricity future price can be obtained as the arithmetic average of the one-day electricity future price. The future price reflects clearly the response of the spot price to different weather patterns. As the summer gets warmer, the high price regime is more likely to be realized, and as a result, the future price increases.
Effects of Security Design of Asset-Backed Securities on the Value of Asset-Backed Securities and the Value of Issuing Firm
Authors: Yoo Jin
Published: September 2020

Security design of asset-backed securities (ABS) could affect the value of the ABS and that of the issuing firm as well when there exists an information asymmetry between insiders and outsiders of the firm, depending on the size of the assets sold. If the size is relatively small, the optimal security design will be such that the firm sells the risk-free, senior security (backed by the asset sold) to outsiders at a minimum size and retains the risky, subordinate security. If the size is large, the firm should sell outsiders both the risk-free security at a maximum size and the risky tranche at a minimum size. Meanwhile, if the firm has to sell an asset portfolio rather than an asset, the firm is better off by selling the portfolio through bundling the assets of the portfolio. It turns out that the bundling into senior and subordinate tranches is preferred to the bundling and selling to outsiders.
Lead-Lag Relationship between Volatility Index and Stock Market Index
Authors: Lee Jae Ha , Chung Je Ryun
Published: September 2020

This study examines the lead-lag relationship between KOSPI200 and the volatility index based on the implied volatility from the KOSPI200 options. The sample period covers from January 2, 2003 to June 30, 2004. Both daily and minute-by-minute data were used for the lead-lag analysis. The study also determines whether the response of volatil ity index to KOSPI200 is symmetric or not. The most important findings may be summarized as follows.

First, there is no lead-lag relationship between the change in volatility index and the KOSPI200 returns on a daily basis. However, on a minute-by-minute basis, volatility index leads KOSPI200 for the group of largest increases in volatility index, and the opposite is true for the group of largest decreases and least changes in volatility index. The option market appears to react more quickly to volatility increases, while the stock market seems more sensitive to volatility decreases. Second, the volatility increase in response to the stock market decline is more severe than the volatility decrease in response to the stock market rise for daily data. This evidence of asymmetry suggests that volatility index plays a role of investors’fear gauge. Our results show no asymmetric response of volatility index to stock market movements for weekly data.
An Empirical Analysis on Change in Price Discovery of KOSPI200 Futures Through Market Maturity Process
Authors: Lee Woo–baik
Published: September 2020

This paper estimates the contribution of KOSPI200 futures to spot price discovery based on methodology of ‘information share’, which is suggested by Hasbrouck (1995). Using the intraday data covering sample period from year 1997 to 2003, I estimate information share with specification of Vector Error Correction Model. Main empirical findings are summarized as followings; First. estimate of information share is above 60 percent on average through-out the entire sample period. Second. the contribution of KOSPI200 futures to error correction increased during the recent year of sample period. showing that futures price have strong tendency to lead the spot price. Third. price discovery of KOSPI200 futures have significantly positive relationship with program trading volume and seems to increase under contango. These empirical findings explain the ‘market maturity effect’ that role of futures in spot price discovery enhances as cointegration between futures and spot prices strengthens and futures market countervails the arbitrage opportunity. In general. this paper presents that mature futures market Significantly contributes to spot market efficiency and price discovery process.
Information Contents of Call-Put Options Trading Value Ratio
Authors: Kim Sol
Published: September 2020

This paper investigates the lead-lag relationship between the call-put options trading value ratio and the KOSPI 200 returns using Chen, Lung, and Tay (2005, 2006)’s model. We report the evidence conSistent with a pooling equilibrium or that informed trades are executed in both equity and options markets when using all options. That is, KOSPI 200 index options and KOSPI 200 are closely interrelated. However, in case of using the short-term or out-of-the-money options, call-put oPtions trading value ratio uni-directionally leads KOSPI 200 index returns. Also under the volatile market condition, the lead effect of call-put options trading value ratio to KOSPI 200 index returns becomes stronger.
Lead-Lag Relationship between Return and Volume in the KOSPI200 Spot and Option Markets
Authors: Lee Jae Ha , Hahn Deok Hee
Published: September 2020

This study explores the Granger causal relationship between return and volume in the KOSPI200 spot and option markets for the period from December 13. 2002 to December 9. 2004. using minute-by-minute data. Specifically, we examine the lead-lag relationship among OPtion volume, option return, cash volume, and cash return to determine whether option volume and return impact cash return.

Our results show that option volume has no direct impact on cash return as cash return unilaterally leads option volume‘ While option volume impacts cash volume. cash return unilaterally leads cash volume. implying no indirect impact of option volume on cash return.

However, there is evidence that option return impacts cash return directly, given a bilateral causality between option return and casll return. Option return also impacts cash volume, but again cash volume has no impact on cash return. meaning no indirect impact of option return on cash return. Our findings were generally robust across days of the week and different maturities. Finally, we analyzed lead-lag relationship within the option market. and found a bilateral causality between option volume and option return. This implies that option volume may impact cash return indirectly via option return.
The Information Content of Extreme Events Implied in the Non-complete Market
Authors: Kim Moo Sung , Kang Tae Hun
Published: September 2020

This paper empirically investigates the usefulness of extreme events implied into the non-complete option market in which return generating process of underlying asset is different from that of options. The empirical results find that the information about the extreme events implied in the option market prices has more accurate forecasting power within the tail than near the first moment of realized distribution. So, we expect that the implied information of extreme jump can help to improve the back-testing performance of value at risk where it is primarily important to take account of low-probability events. Regardless of whether calibration function for density transformation is the beta-distribution or non-parametric kernel density, extreme jump provides consistently satisfactory predictions.
Efficiency of Price Discovery during Nighttime Trading Session : Evidence from KOSPI200 Global Futures
Authors: Lee Woo-Baik , Woo Min-Cheol
Published: September 2020

Trading of KOSPI 200 futures on CME Globex platform, which was launched in November 2009, starts at 18:00 and closes at 05:00 in the next morning. This paper examines how price of KOSPI200 Global futures is discovered during nighttime trading session by using tick data.

The overall results of this study can be summarized as follows; First, we find that the weighted price contribution (WPC) exhibits asymmetric ‘W’-shaped curve during session. This finding is interpreted as that information is consequently transmitted from Globex and NYSE with ‘U’-shaped curve of intradaily price discovery to KOSPI 200 Global futures. Meanwhile, the weighted volume contribution (WVC) also shows ‘W’-shaped curve but weighted price contribution per volume contribution (WPCV) indicates asymmetric ‘U’-shaped curve. This finding that a trade is more (less) informative when trading intensity is higher (lower) provides evidence of partially supporting the “Event Uncertainty Hypothesis” over “Hot Potato Hypothesis”. Second, the price change of closing to opening time significantly contributes to price change during the close-to-close time span. This result explains information during regular daytime trading of KOSPI200 futures is efficiently incorporated in opening price of nighttime session. Third, nighttime traders of KOSPI200 futures recognize volatility of US stock market as more valuable information than the price of futures on CME Globex.
A Study on Alternative Index Strategies in Korean Stock Market
Authors: Yoon Bohyun , Choi Young-Min
Published: September 2020

There have been several studies of alternative equity index strategies which suggest better investment opportunities with higher risk adjusted return pointing out empirical evidence of inefficient risk-return trade-off implied in the market-cap weighted index. Commercial products based on these strategies, regarded as passive equity strategies, become more popular in the U.S. and European stock markets. We investigates whether these strategies are also valid in Korean stock market and our empirical results add support to their efficacy.

From Fama-French 3-factor analysis, we find that the excess return of alternative equity index is attributed to market, size and value factors and it does not show a significantly positive alpha. Even without positive alpha, however, these strategies are valuable to investors in the sense that they offer opportunities to fully exploit size and value premium with long-only portfolios. The advantage of these strategies is more straightforward recalling the fact that rebalancing of Fama-French factor portfolios involves short-sale and high turnover.
Psychological Barrier in Foreign Exchange Rate and Implied Volatility in Currency Exchange Option
Authors: Shin Dong-Hoon , Kim Seonhyeon , Kim Hojoon , Jung Daehwi
Published: September 2020

In this paper, we examine the existence of the psychological barriers in three foreign exchange rate, won/dollar, euro/dollar, yen/dollar, and test that the psychological barriers effect to the implied volatilities of the FX options. For each exchange rate, the existence and spots of the psychological barriers are estimated from roughly 10 years data for each currency rate, and GARCH (1, 1) model was applied to observe the momentum effect about the mean and variance of the conditional returns, and the implied volatility of the FX-options for each currency rate near the psychological barriers. Since this effect is more clearly observed on the implied volatility data, this fact supports that psychological barriers affects to the price of the FX-options.
The Effect of Short Sale Ban on the Relation between Disagreement and Stock Returns
Authors: Kim Jun Sik , Seo Sung Won
Published: September 2020

This paper investigates the effect of the short sale ban by the Korean government on the relationship between the disagreement among investors and the future stock returns. Short selling in Korean stock market was banned twice in 2008 and 2011. The short sale ban provides a natural experiment environment to study the effect of the short sale constraints on the relationship between the disagreement among investors and the future stock returns. Furthermore, it is an exogenous shock in the point of individual stocks. Thus, this paper focus on short sale ban periods to analyzes the stock return predictability of the disagreement among investors’ opinions about analysts’ earnings forecasts. Main results of this paper are as follows: First, the portfolio within the top 30% of the disagreement among investors experiences the significantly higher returns than that within the bottom 30% of the disagreement only during short sale ban periods. However, the two portfolio returns are not significantly different during the other periods excluding the short sale ban periods. These results are robust even after controlling for firm sizes, boot to market ratios, and the momentum effects. Second, a portfolio with higher the disagreement among investors presents significantly positive abnormal returns estimated by Fama-French’s three factor model during short sale ban periods. On the other hand, the abnormal returns of the portfolio with lower the disagreement among investors are not significantly different from zero. Furthermore, those returns of the portfolio with lower disagreement are not affected by the short sale ban. Finally, our findings show that individual stock returns are positively related to disagreement after controlling for the characteristics of individual stocks. Consequentially, the stocks with higher disagreement are overvalued during the short sale ban periods according to our robust empirical analyses with various control variables. According to our findings, we conclude that the short sale constraints are important factors to determine the predictability of disagreement on future stock returns. These are consistent with the results of short sale ban on the U.S. stock market from Autore, Billingsley, and Kovacs (2011).
The Effects of the Regulations on the ELW Markets : An Analysis on ELW Pricing
Authors: Lee Sangki , Hong Chung-hun
Published: September 2020

We examine the effects of new regulations introduced by Korean government to cool down overheated Korean ELW markets. We also investigate whether ELWs are fairly priced as noted in the previous research. The empirical findings are as follows. Firstly, ELW was more expensive than KOSPI200 option not only before but also after the introduction of the new regulations. But degrees of the overpricedness are decreased significantly with the new regulations. Secondly, we confirm the well known facts in the literature that liquidity providers get extra profits as monopolistic providers for ELWs. Thirdly, we analyze the determinants of the differences in premiums between ELW and KOSPI200 option. The trading volume is negatively correlated with premium difference, however, timeto-maturity and market share are not statistically significant. Even though it seems that the financial regulator achieve their primary purpose to control the overheated market, we find that the new regulations have almost no effects on the overpricing problem, which implies that overpricing in ELW is not related to the market inefficiency.
An Empirical Study on the Hedging Effects on Related to ELS Underlying KOPSPI200 and Performance of ELS Redemption
Authors: Cho Byeongmon , Lee Sangbin , Seo Junghoon
Published: September 2020

This study tests empirically the impacts that the issue and redemption of index-typed ELS has on KOSPI200 & KOSPI200 Future Index and the performance of ELS redemption by using daily stock market data of year 2010-2015. The first one of research results is that net amount of ELS issue has significantly negative (-) effect on KOSPI200 Index and KOSPI200 Future Index, which ascertains that the amount of ELS issue becomes larger as KOSPI200 Index gets lower. It shows that index-typed ELS has reverse-hedging effect while underlying stock-typed ELS has hedging effect. This phenomenon seems to have arisen in the complex conditions of ELS structural traits and vulnerable situations of security market where KOSPI Index has moved up and down with in-box pattern and KOSPI200 trading volume and KOSPI200 Future trading amount & volume have been decreasing consistently. Second result is that ELS performance in advanced redemption fund (principal non-guarantee type) shows the fact that return of private equity fund has been significantly 0.37% higher than that of public offering fund, while performance in maturity redemption fund (principal guarantee type) shows the fact that return of public offering fund has been significantly 1.26% higher than that of private placement. Considering of the meager difference of return in advanced redemption fund and the higher return of public offering fund in maturity redemption fund, we can infer that efficiency of ELS market would leave no information asymmetry by the difference between the fund-raising types.
Business Cycle Implication of Long-Run Risk Consumption CAPM: Korean Stock Market Evidence
Authors: Son Sam Ho , Hwang Seiwoon , Binh Ki Beom
Published: September 2020

This paper examines long-run consumption based asset pricing models by studying sixteen Fama-French size and book-to-market portfolios in KRX (Korea Exchange) as test assets. In our empirical implementation, we follow both models of Hansen, Heaton and Li (2008) and Parker and Julliard (2005).

Hansen, Heaton and Li (2008) used recursive utility framework. The stochastic discount factor for this model depends on the present value of expectations about future consumption growth rates. In the empirical specification for this model, we follow Malloy, Moskowiz and Vissing-Jørgensen (2008). Meanwhile, Parker and Julliard (2005) proposed a model based upon the power utility framework and explicitly considers the consumption adjustment period.

Our main results are surprisingly consistent with the results of existing literatures. By assessing both of these models, we find that the significance of the excess returns of the test assets in predicting consumption growth peaks at the horizon of 2.5 years.

These empirical results partly proves the existence of long-run consumption risk in Korean economy. We can relate stock returns to long-run consumption risk and business cycle. Specifically, the stochastic discount factor of Parker and Julliard’s model captures the financial crises in the years of 1997 and 2003. Moreover, it catches the business cycle pattern of composite leading index in Korea.
Hedging Effectiveness of KOSPI200 Index Futures and Options
Authors: Choi Byungwook
Published: September 2020

The purpose of this study is to investigate hedging effectiveness of KOSPI200 index futures and options using three measures proposed by Fishburn (1977), Ederington (1979), and Howard and D’Antonio (1987). The comparison of hedging effectiveness is conducted based on the market prices of KOSPI200 index futures and options traded in Korea Exchange (KRX) between January of 2001 and January of 2011, during which bootstrapping method is utilized to make a dataset of 100,000 random samples with holding period of 1, 3, 6, and 12 months, respectively. We examine the hedging performance of hedge portfolios made of short futures, protective puts and covered calls respectively based on three hedging effectiveness measures.

One of our finding is that short futures hedging is better than options in minimizing total volatility risk as well as down-side risk, which is consistent to the previous researches. Also futures hedging is more effective in reducing the VaR than the others. Secondly, the optimal hedge ratios of futures in minimizing total risk and down-side risk are turned out to be 0.97~0.98 and 0.94~0.95 respectively. Third, OTM short call hedge is the best hedging instrument when hedgers would like to maximize the Sharpe ratio. Finally, protective put hedging strategy is in general inferior to the short futures and covered call hedge based on three hedging effectiveness measures.
Investment Strategies of the KOSPI200 Nighttime Futures
Authors: Yeom Myeonghoon , Baek Jae-Seung , Ryu Doojin
Published: September 2020

This paper investigates investment and hedging strategies using the KOSPI200 nighttime futures product which was launched at November 16th, 2009. To examine the performance of the investment strategies, we analyze one-minute transaction data of KOSPI200 daytime and nighttime futures from November 17th, 2009 to December 6th, 2012.

Our empirical results are as follows: First, the investment strategies using the nighttime futures significantly outperform the investment strategies based only on the daytime futures. Second, the investment and hedging strategies using the KOSPI200 nighttime futures are quite effective when investors have positions in the ETFs. Third, the empirical performance of the investment strategies using the nighttime futures is significantly related to volatility shocks. The strategies are more effective when the market is volatile.
A Study on Retail Structured Product Market and Financial Regulation in Korea
Authors: Eom Young Ho , Jang Woon Wook , Kim Seunghyun
Published: September 2020

This study looks at the characteristics and current status of retail structured product market of Korea and tries to explain, in particular, issues related to issue price, cost of hedging, and overpricing. We also analyzed the perspective of the government and the related regulatory policies. We examined various performance measures for portfolios composed of the KOSPI200 Covered Call Index and other assets in order to change the viewpoint of the authorities that the trading of structured products, such as ELS (equity-linked securities) and DLS (debt-linked securities), is in fact not a zero-sum game between the issuers and investors. The empirical results show that the KOSPI200 Covered Call Index has a superior performance compared to the KOSPI200 Index and the others. In addition, from the perspective of certainty equivalent excess returns, the KOSPI200 Covered Call Index also displays the possibility of improving the utility level of risk-averse retail investors. However, it is difficult in reality for individual investors to construct efficient portfolios that employ covered call strategies using options. Hence, individual investors can form optimal portfolios that benefit indirectly from such covered call strategies via investment in financial derivative products issued by securities firms that are able to more easily utilize investment strategies that incorporate options to form optimum portfolios. This means that both the issuer and investor can profit from these financial derivative products and, therefore, it is not a zero-sum game.