bluuebunny/crossref_metadata_2025 huggingface dataset:
Kitasatospora acidiphila sp. nov., isolated from pine grove soil, exhibiting antimicrobial potential
Authors: Kim Min Ji , Roh Su Gwon , Kim Min-Kyeong , Park Changwoo , Kim Seil , Kim Seung Bum
Published: September 2020

A polyphasic study was carried out to establish the taxonomic position of an acidophilic isolate designated MMS16-CNU292T (=JCM 32302T) from pine grove soil, and provisionally assigned to the genus

Kitasatospora

. On the basis of 16S rRNA gene sequence similarity, the strain formed a novel evolutionary lineage within

Kitasatospora

and showed highest similarities to

Kitasatospora azatica

KCTC 9699T (98.75 %),

Kitasatospora kifunensis

IFO 15206T (98.74 %),

Kitasatospora purpeofusca

NRRL B-1817T (98.61 %) and

Kitasatospora nipponensis

HKI 0315T (98.42 %), respectively. Strain MMS16-CNU292T possessed MK-9(H6) and MK-9(H8) as the major menaquinones, and a major amount of meso-diaminopimelic acid in the cell-wall peptidoglycan. The whole-cell hydrolysates were rich in galactose, glucose and mannose, and the polar lipids mainly consisted of diphosphatidylglycerol, phosphatidylethanolamine, phosphatidylinositol, phosphatidylglycerol and phosphatidylinositol mannosides. The major fatty acids were anteiso-C15 : 1-A, anteiso-C15 : 0, and iso-C15 : 0, and the DNA G+C content was 71.5 mol%. The strain exhibited antibacterial activity against a number of bacterial strains, and the activity was generally greater when grown in acidic conditions. The phylogenetic, chemotaxonomic and phenotypic properties enabled distinction of MMS16-CNU292T from related species, and thus the isolate should be recognized as a new species of the genus

Kitasatospora

, for which the name Kitasatospora acidiphila sp. nov. (type strain=MMS16-CNU292T=KCTC 49011T=JCM 32302T) is proposed.
Genomic diversity of Escherichia coli isolates from non-human primates in the Gambia
Authors: Foster-Nyarko Ebenezer , Alikhan Nabil-Fareed , Ravi Anuradha , Thilliez Gaëtan , Thomson Nicholas M. , Baker David , Kay Gemma , Cramer Jennifer D. , O’Grady Justin , Antonio Martin , Pallen Mark J.
Published: September 2020

Increasing contact between humans and non-human primates provides an opportunity for the transfer of potential pathogens or antimicrobial resistance between host species. We have investigated genomic diversity and antimicrobial resistance in

Escherichia coli

isolates from four species of non-human primates in the Gambia: Papio papio (n=22), Chlorocebus sabaeus (n=14), Piliocolobus badius (n=6) and Erythrocebus patas (n=1). We performed Illumina whole-genome sequencing on 101 isolates from 43 stools, followed by nanopore long-read sequencing on 11 isolates. We identified 43 sequence types (STs) by the Achtman scheme (ten of which are novel), spanning five of the eight known phylogroups of

E. coli

. The majority of simian isolates belong to phylogroup B2 – characterized by strains that cause human extraintestinal infections – and encode factors associated with extraintestinal disease. A subset of the B2 strains (ST73, ST681 and ST127) carry the pks genomic island, which encodes colibactin, a genotoxin associated with colorectal cancer. We found little antimicrobial resistance and only one example of multi-drug resistance among the simian isolates. Hierarchical clustering showed that simian isolates from ST442 and ST349 are closely related to isolates recovered from human clinical cases (differences in 50 and 7 alleles, respectively), suggesting recent exchange between the two host species. Conversely, simian isolates from ST73, ST681 and ST127 were distinct from human isolates, while five simian isolates belong to unique core-genome ST complexes – indicating novel diversity specific to the primate niche. Our results are of planetary health importance, considering the increasing contact between humans and wild non-human primates.
Ancestral state reconstruction of metabolic pathways across pangenome ensembles
Authors: Psomopoulos Fotis E. , van Helden Jacques , Médigue Claudine , Chasapi Anastasia , Ouzounis Christos A.
Published: September 2020

As genome sequencing efforts are unveiling the genetic diversity of the biosphere with an unprecedented speed, there is a need to accurately describe the structural and functional properties of groups of extant species whose genomes have been sequenced, as well as their inferred ancestors, at any given taxonomic level of their phylogeny. Elaborate approaches for the reconstruction of ancestral states at the sequence level have been developed, subsequently augmented by methods based on gene content. While these approaches of sequence or gene-content reconstruction have been successfully deployed, there has been less progress on the explicit inference of functional properties of ancestral genomes, in terms of metabolic pathways and other cellular processes. Herein, we describe PathTrace, an efficient algorithm for parsimony-based reconstructions of the evolutionary history of individual metabolic pathways, pivotal representations of key functional modules of cellular function. The algorithm is implemented as a five-step process through which pathways are represented as fuzzy vectors, where each enzyme is associated with a taxonomic conservation value derived from the phylogenetic profile of its protein sequence. The method is evaluated with a selected benchmark set of pathways against collections of genome sequences from key data resources. By deploying a pangenome-driven approach for pathway sets, we demonstrate that the inferred patterns are largely insensitive to noise, as opposed to gene-content reconstruction methods. In addition, the resulting reconstructions are closely correlated with the evolutionary distance of the taxa under study, suggesting that a diligent selection of target pangenomes is essential for maintaining cohesiveness of the method and consistency of the inference, serving as an internal control for an arbitrary selection of queries. The PathTrace method is a first step towards the large-scale analysis of metabolic pathway evolution and our deeper understanding of functional relationships reflected in emerging pangenome collections.
Sensory feedback-dependent coding of arm position in local field potentials of the posterior parietal cortex
Authors: VanGilder Paul , Shi Ying , Apker Gregory , Buneo Christopher A.
Published: September 2020

Although multisensory integration is crucial for sensorimotor function, it is still unclear how sensory cues provided by the visual and proprioceptive systems are combined in the brain during motor behaviors. Here we characterized the effects of multisensory interactions on local field potential (LFP) activity obtained from the superior parietal lobule (SPL) as non-human primates performed an arm position maintenance task with either unimodal (proprioceptive) or bimodal (visual-proprioceptive) sensory feedback. Based on previous analyses of spiking activity, and observations that LFP and spikes are highly correlated in some cortical areas, we hypothesized that evoked LFP responses would be tuned to arm location but would be suppressed on bimodal trials, relative to unimodal trials. We also expected to see a substantial number of recording sites with enhanced beta band spectral power for only one set of feedback conditions, as was previously observed for spiking activity. We found that evoked activity and beta band power were tuned to arm location at many individual sites, though this tuning often differed between unimodal and bimodal trials. At the population level, both evoked and beta band activity were consistent with feedback-dependent tuning to arm location, while beta band activity also showed evidence of suppression on bimodal trials. The results suggest that multisensory interactions can alter the tuning and gain of arm position-related LFP activity in the SPL and that this activity can be used to decode the arm’s location under varying sensory conditions.
From population to neuron: exploring common mediators for metabolic problems and mental illnesses
Authors: Takayanagi Yoichiro , Ishizuka Koko , Laursen Thomas M. , Yukitake Hiroshi , Yang Kun , Cascella Nicola G. , Ueda Shuhei , Sumitomo Akiko , Narita Zui , Horiuchi Yasue , Niwa Minae , Taguchi Akiko , White Morris F. , Eaton William W. , Mortensen Preben B. , Sakurai Takeshi , Sawa Akira
Published: September 2020

Major mental illnesses such as schizophrenia (SZ) and bipolar disorder (BP) frequently accompany metabolic conditions, but their relationship is still unclear, in particular at the mechanistic level. We implemented an approach of “from population to neuron”, combining population-based epidemiological analysis with neurobiological experiments using cell and animal models based on a hypothesis built from the epidemiological study. We characterized high-quality population data, olfactory neuronal cells biopsied from patients with SZ or BP, and healthy subjects, as well as mice genetically modified for insulin signaling. We accessed the Danish Registry and observed (1) a higher incidence of diabetes in people with SZ or BP and (2) higher incidence of major mental illnesses in people with diabetes in the same large cohort. These epidemiological data suggest the existence of common pathophysiological mediators in both diabetes and major mental illnesses. We hypothesized that molecules associated with insulin resistance might be such common mediators, and then validated the hypothesis by using two independent sets of olfactory neuronal cells biopsied from patients and healthy controls. In the first set, we confirmed an enrichment of insulin signaling-associated molecules among the genes that were significantly different between SZ patients and controls in unbiased expression profiling data. In the second set, olfactory neuronal cells from SZ and BP patients who were not pre-diabetic or diabetic showed reduced IRS2 tyrosine phosphorylation upon insulin stimulation, indicative of insulin resistance. These cells also displayed an upregulation of IRS1 protein phosphorylation at serine-312 at baseline (without insulin stimulation), further supporting the concept of insulin resistance in olfactory neuronal cells from SZ patients. Finally,Irs2knockout mice showed an aberrant response to amphetamine, which is also observed in some patients with major mental illnesses. The bi-directional relationships between major mental illnesses and diabetes suggest that there may be common pathophysiological mediators associated with insulin resistance underlying these mental and physical conditions.
SATB homeobox 1 regulated genes in the mouse ectoplacental cone are important for placental development
Authors: Chakravarthi V. Praveen , Borosha Shaon , Ratri Anamika , Ghosh Subhra , Wolfe Michael W. , Rumi M. A. Karim
Published: September 2020

SATB homeobox 1 (SATB1) is abundantly expressed in the stem-state of trophoblast cells but downregulated during trophoblast differentiation. It is also expressed in high levels in the mouse ectoplacental cones (EPCs). We detected that SATB1 is involved in maintaining the self-renewal of trophoblast stem cells and inhibiting trophoblast differentiation. In this study, we have identified SATB1-regulated genes in the mouse EPC and analyzed their potential functions. A total of 1618 differentially expressed genes were identified inSatb1nullEPCs by mRNA sequencing. Remarkably 90% of the differentially expressed genes were found to be upregulated inSatb1nullEPCs suggesting a transcriptional repressor role of SATB1 in mouse trophoblast cells. Ingenuity Pathway Analyses demonstrated that the differentially expressed genes inSatb1nullEPCs are particularly linked to WNT and TGFβ signaling pathways, which regulate self-renewal of stem cells and cell differentiation. Moreover, twenty-six of the EPC genes that are known to be involved in placental development includingEomes, Epas1, Fgfr2, Cdkn1c, andPlac9were found dysregulated inSatb1nullEPCs due to the loss of SATB1 expression. These genes are particularly involved in the formation of labyrinthine zone. Our results emphasize that SATB1-regulated genes in the mouse EPC contribute to key roles in the regulation of trophoblast differentiation and placental development.
Taught resilience programmes: a case study from the perspective of employees of a large pharmaceutical company based in the UK
Authors: Costello Frances
Published: September 2020

Purpose

Research was undertaken to understand whether taught resilience programmes which highlight the protective factors of resilience would impact individual resilience outcomes. The research focussed on specific resilience dimensions, change agility, physical, emotional and mental resilience, purpose in life and recovery; in an attempt to bridge the gap in understanding whether it is possible through taught programmes to improve resilience through the creation of new habits.

Design/methodology/approach

The research was conducted using interpretative phenomenological analysis methods and used semi-structured interviews with 12 participants to understand participants lived experience of a one-day personal resilience programme, conducted within a private global manufacturing organisation.

Findings

The research found that all 12 participants interviewed 12–18 months post-programme made sustainable habits changes increasing personal resilience levels. Participants built new habits into their everyday lives, in the physical dimension exercising more regularly, taking breaks, changes in nutrition and creating better sleep patterns. Through increased understanding of emotional intelligence participants were able to react more favourably to adverse situations and through mental increased resilience focus achieve work and home priorities. In understanding the change journey participants found that they were able to move more quickly through the change cycle. Almost all participants found understanding their life purpose difficult and were not able to give a conclusive answer to what this might be, they found that attending the programme helped reflection in this dimension.

Originality/value

The paper includes an overview of previous resilience research but differs in its examination of the impact of a specific taught resilience programme in a large private sector organisation using IPA methodology.
Comparing sentiment measures in mutual fund performance
Authors: Bu Qiang , Forrest Jeffrey
Published: September 2020

Purpose

The purpose of this study is to investigate whether the direct and indirect sentiment measures are similar in explaining mutual fund performance.

Design/methodology/approach

The authors examine the role of direct and indirect sentiment measures on fund performance in two scenarios. One is when a sentiment measure is added to market models, and the other is when it used independently. Also, the authors propose a system science theory to explain the findings.

Findings

The authors find that both direct and indirect sentiment measures are integral to the benchmark models to explain fund performance. However, while the explanatory power of the direct sentiment index is robust when used independently or collectively, the indirect sentiment measures can explain fund performance only when used along with other market factors.

Originality/value

Given the number of sentiment measures, it is critical to determine whether these measures contain the same information of sentiment. This paper represents the first study on this topic.
An Alternative Futures Hedge for Minor Currencies
Authors: Choe Myeong Sig
Published: September 2020

In a world of trade among nations using different currencies, every exchange of goods, services, or assets taking place between economic actors of different nations requires an accompanying currency transaction. If foreign exchange rates were fixed, this would be little more than a formality and not a potential source of market distortion. In the current world, however, the currency exchange rates are often very volatile and can affect market prices when viewed from outside the economy. Individuals with risk-averse preferences seek to minimize the potential losses possible from their currency positions through the use of currency hedging tools. When a nation‘s currency hedging instrument (e.g. a currency futures contract) is traded in liquid market, it is easy to hedge the risk posed by holding a foreign currency position. In these market situations, currency futures contracts can be purchased for hedging the currency position. However, when a nation‘s currency hedging instrument is not traded in liquid markets, it is impossible to hedge the risk by the direct hedging. Hence, a proxy for the currencies of small economies (i.e. minor currencies) must be found. This study examines five nations‘ currencies, the Fiji Dollar, Cyprus Pound, Maltese Lira, Taiwanese Dollar, and South Korea Won in order to determine an effective currency futures hedge for the three minor currencies in the above list : the Fiji Dollar, the Cyprus Pound, and the Maltese Lira. The results of this study‘s tests indicate that multiple futures contract hedge proposed in this study is an appropriate hedging tool for both the Fiji Dollar and the Cyprus Pound. In the case of the Maltese Lira, the results are less conclusive and suggest that the selection of the appropriate futures contracts should be improved.
An Empirical Analysis on Trading strategy of KTB and KTF Using the Two Factors CIR Term Structure Model
Authors: Kim Tong Suk , Lee Yun Keun , Hyun Jung-Soon
Published: September 2020

The term structure of KTB (Korea Treasury Bond) is empirically implemented and forecasted by the extended 2-factor CIR model. Pearson and Sun model. MLE is applied to estimate parameters. Using KTB prices forecasted by the model, strategies of trading and hedge between KTB, KTF (Korea Treasury Futures) are established. In this article we can see that Pearson and Sun model appropriately explains the term structure of KTB but does not fit forecasting KTB prices. However, the model well forecasts the direction of interest rate moving up or down. Through such a forecast‘ profit via trading KTB and KTF can be realized.
Analysis on the Characteristics and Fair Value of “Option CP”
Authors: Won Seung Yeon
Published: September 2020

Much debate was brought forth during the South Korean credit card companies' liquidity crisis in 2003. This paper is an in-depth analysis of those credit card issuers' option embedded commercial paper (mentioned as ‘option CP’ henceforth). The main purpose of this paper is in evaluating the ‘option CP's fair value, with the decomposition and analysis on ‘option CP’.

Option CP is stipulated as a CP joined by an OTC credit derivative product. The structure is set so that anyone of the two options, put options and call options, will be executed.

Therefore, the price of option CP excluding the credit option portion will be equal to that of the standard coupon bond at the same maturity.

However, empirical evidence shows otherwise. The evidence clearly states that the option CP yield rates were generally quoted lower than the fair-value rates, even if option premium of credit option portion was included in calculating the value. This evidence has an implication that ‘option CP’s rates are generally issued and traded with unfair value. This paper has significance that it made valuation model of ‘option CP’ and evaluated its fairness, by way of the in-depth analysis of option CP which has not been before.
Estimation of the Size of the Settlement Fund of the Korean Securities and Derivatives Markets Utilizing Stress Tests
Authors: Kim Yu Kyung
Published: September 2020

The Korean securities and derivatives markets, which offer such internationally renowned products as KOSPI 200 futures and options, along with proliferation of such derivative securities as ELS have offered an opportunity for investors to manage risk and select investment products for all different future prospects. However, if the market was to face with a shock in the magnitude of, for instance, the Black Monday of October 1987, possibly the market may trap into total confusion as the increased demand for portfolio insurance could enlarge the volatility of both cash and derivatives markets‘

In this paper we estimate the amount of settlement fund required in the Korean securities and derivatives markets via stress testing if the market falls into an extreme case of vulnerability. The required settlement fund was estimated using two step procedures. Firstly, we estimate market risk applying three different approaches, namely, 99% VaR. EVT and the historical time periods when the market exhibited extreme volatility. We found that from six member companies to as many as 16 companies could face settlement failures, which are represented by having the operating-income-to-capital ratio of less than 100%.

Secondly‘ after estimating each company's settlement amount and summing them to forecast the aggregate amount of settlement fund, it was found that at maximum 350 billion won was required for settlement fund. However, as OTC products become more popular in the near future, the required settlement fund will be larger. Especially if the CCP takes over the OTC market in terms of settlement and clearing, it is expected that the emergency settlement requirement will even become larger.
Arbitrage Profitability of the KOSPI200 Futures Spread
Authors: Lee Jae Ha , Kwon Sun Chan
Published: September 2020

This study explores the arbitrage profitability of the KOSPI200 futures spread, using intraday data during 10 days prior to the expiration day of each contract for the 9/3/2001 ∼ 6/912005 period. The theoretical frameworks for arbitrage strategies were developed for the analysis. Our results show that 97.36% of the total 8.633 observations were fairly priced. 1.46% (126 observations) were underpriced, and 1.18% (102 observations) were overpriced, in the ex post arbitrage profitability analysis between the futures spread and the calendar spread. Also, in the arbitrage profitability analysis based on the mispricing of the KOSPI200 futures spread against the theoretical price. 90.39% of the total 10.054 observations were fairly priced and 9.61 % (966 observations) were underpriced. There was no overpriced observation. The ajority of those underpriced observations were concentrated in the 3rd Quarter of 2001 and the 1st quarter of 2003. Overall, there were very few arbitrage opportunities except for the introductory period and some contracts with high uncertainty, implying that the KOSPI200 futures spread market has been generally efficient.
Comparative Analysis on the Hedging Effectiveness Among Domestic Currency Futures Contracts
Authors: Yun Won Cheol
Published: September 2020

This study empirically compares the hedging performances of the newly listed Japanese yen (JPY) and European euro (EUR) currency futures in the KRX relative to that of the us dollar (USD) currency futures. For this purpose, assuming the situation of foreign-asset investment the minimum variance hedging models based on OLS and ECM are compared with a simple 1: 1 hedge. The difference between previous studies and this one is in that the latter uses various kinds of hedging performance measures and analyzes the hedging performances by different hedging horizon. According to the empirical results, the USD currency futures outperforms the JPY and EUR currency futures when considering the risk only.

However, the results are reversed wilen incorporating the return as well as the risk. With respect to the comparative advantages among hedging types, the ECM-hedge turns out to be better than the others for evaluating the risk only, and the 1: 1 hedge proves to be superior to the others when considering both of the return and risk aspects. Based on the risk-reduction aspect. the hedging performances are gradually improving as the length of hedging period increases, while they deteriorate for considering both the return and risk aspects.
The Unbiasedness and Hedging Effectiveness in KOSPI200 Futures Market
Authors: Kang Seok Kyu
Published: September 2020

This study is to examine the unblasedness hypothesis and hedging effectiveness in KOSPI20() futures market. The unbiasedness and efficiency hypothesis is carried out using a cointegration methodology. And hedging effectiveness is measured by comparing hedging performance of the naive hedge model, OLS hedge model. and constant correlation bivariate GARCH (1. 1) hedge model based on rolling windows. The sample period covers from May. 3. 1996 to December. 8, 2005.

The empirical results are summarized as follows: First, there exists the cOintegrating relationship between realized spot prices and futures prices of the 10 day. 22 day. 44 day. and 59 day prior to maturity. Second. futures prices of backward the 10 day. 22 day. 44 day from maturity provide unbiased forecasts of the realized spot prices. The KOSPI200 futures price is likely to predict accurately future KOSPI200 spot prices without the trader having to pay a risk premium for the privilege of trading the contract. Third. for shorter maturity. the futures price appears to be the best forecaster of spot price. Forth, bivariate GARCH hedging effectiveness outperforms the naive and OLS hedging effectiveness.

The implications of these findings show that KOSPI200 futures market behaves as unbiased predictor of future spot price and risk management instrument of KOSPI200 spot portfolio.
Fractal Interest Rate Model without Ito Formula
Authors: Rhee Joon Hee
Published: September 2020

Empirical findings on interest rate dynamics imply that short rates show some long memories and non-Markovian. It is well-known that fractional Brownian motion (IBm) is a proper candidate for modelling this empirical phenomena. IBm. however. is not a semimartingale process. For this reason. it is very hard to apply such processes for asset price modelling.

Without using Ito formula, we investigate the IBm interest rate theory‘ We obtain a pure discount bond price. and Greeks by using Malllavin calculus.
The Effects of Correlated Jump Risks on Default Correlation
Authors: Kim Hwa-Sung
Published: September 2020

The previous theoretical studies on default correlations analyze them only when the firm value moves continuously. Unlike these researches, this paper examines them when the firm value is exposed to jump risks and these jump risks between firms are correlated. Under these conditions, the effects of the correlated jump risks on default correlations are the followings. First, as stated in the previous study, this paper also states that the default correlations increase and then decrease with time. Second, there is a big difference between the existing study and this paper in the aspect of the firms' credit qualities. In the previous study, over a long horizon, default correlations of lower credit qualities of firms are lower than those of higher credit qualities of firms. However, under the jump-diffusion model we are able to obtain the opposite result to the previous study, which is that the jump-diffusion model is consistent with the empirical study in the case of lower credit qualities of firms. Third, on default correlations between the speculative graded firms over a long horizon, this paper is more consistent with the empirical results rather than the previous theoretical study. On contrary, on default correlations between the investment graded firms over a short horizon, the result is completely the opposite. Finally, in contrast to the diffusion model of Merton (1974) where default correlations over a short period are insignificant, default correlations under the jump-diffusion model may be consistent with the empirical results due to correlated jump risks.
Stochastic Behavior of Commodity Prices: The Valuation of Derivative-Linked Securities
Authors: Jang Bong-Gyu , Lim Sang-Gyu , Lee Ho-Seok
Published: September 2020

We investigated term structure models for commodity prices to value derivative-linked securities (DLS) traded in Korea. We especially highlighted geometric Brownian motion (GBM) model considering a convenience yield and Schwartz model reflecting mean-reverting property.

One of key characteristics of the paper is that this paper provides theoretical models for multi underlying assets and the model combining GBM model and Schwartz model. Furthermore, it gives us an analysis for quanto adjustment which occurs in the valuation of DLS. In case of GBM model, quanto adjustment seems to be relatively simple by adjusting a constant ratio to risk-free interest rate. Unlike GBM model, we find out that, in case of Schwartz model, such adjustment can be achieved only when the stochastic process of foreign exchange rate is considered.

After having valuation, both models show stable results for DLS prices using WTI index as an underlying asset. However, they results in outcomes, which are relatively not stable, on valuing DLS written on multi underlying assets including nickel.
The Information Content of Open Limit order Book in Price Discovery of KOSPI200 index Futures Market
Authors: Lee Woo Baik , Kim Jong Oh , Woo Min Cheol
Published: September 2020

This paper assesses the informational contents of open electronic limit order book in KOSPI 200 index futures market spanning sample period from December 2004 to November 2005 with a particular focus on the incremental information contained in the limit orders behind the best bid and offer. Using Vector Error Correction Method to estimate ‘Information share’ of quotes as suggested by Hasbrouck (1995), we find that the order book is significantly informative–its contribution to price discovery is approximately above 70%, while remaining is from cash price. Furthermore, we find the limit orders from step 2 to 5 is more informative than the best bid and offer in price discovery process, based on the estimation of information share. This empirical finding sharply contradicts the evidence suggested by previous literature that the best quotes contribute the most to price discovery and the contribution of order book the beyond the best bid and offer is marginally additional in cash market. Summarizing overall empirical evidence, limit order book in KOSPI 200 index futures market plays a differential role in contrast with stock markets.
The Term Structure Model under the α-Stable Levy Process
Authors: Rhee Joon Hee , Park Soo Chun
Published: September 2020

This paper derives the analytic solutions of the pure discount bond price under the various types of -stable Levy process. It is well-known that only a few cases in-stable Levy process have the moment generating function. This paper extends the model to damped-stable Levy processes, which have artificial stable process with the moment generating function. This paper also extends models to stochastic volatility by time change method of Levy process.
Style Analysis and Its Application of Domestic Mutual Funds
Authors: Kho Bong Chan , Chang Uk , Choi Youngsoo
Published: September 2020

We illustrate empirically the use of return-based style analysis for domestic stock funds. We search the optimal style model according to the tracking errors, investigate the consistency of the fund style for the optimally selected model, and finally investigate the relationship between fund styles and their fund performance. We use weekly fund return data of domestic stock funds from January 2, 2002 to June 30, 2008, and do style analyses based on the various style indices. The major findings are as follows.

Firstly, we find that the style index models with constraint which in practice restricts short sale are better than those with no such constraint. Secondly, we find that the style index model which divides stock market with four categorized indices based on the dimension of size and book-to market and includes the bond market index is the most useful if they are evaluated based on the out-of-sample tracking errors. While adding the Fama-French 3 factors to the selected model does not improve the explanation power, adding the industry sector indexes improves the explanation power. Thirdly, we investigate the consistency of the fund style models and find that the better performing funds are more volatile in the change of the fund style. Fourthly, we find that, contrary to the expectation that the growth-oriented funds perform better than the value-oriented one, the fund performance and style are observed to be mixed. This finding shows that the fund styles are frequently changed according to their performances and market conditions.
Information Contents of Open Interest Value Ratio about KOSPI 200 Index Return
Authors: Kim Sol , Park Hye-Hyun
Published: September 2020

This paper investigates the lead-lag relationship between the call-put options open interest value ratio and the KOSPI 200 Index returns. In addition, we tried to find whether the open interest value ratio has the information contents about KOSPI 200 Index return. When estimating call-put options open interest value ratio, we use Chen, Lung, and Tay (2005, 2009) models. The sample period covers from January 5, 1998 to December 28, 2006 with the closing price returns of KOSPI 200 Index and the open interest of the KOSPI 200 options. We use statistical methodology such as VAR (vector autoregressive model), Granger causality test, impulse response and variance decomposition model for the dynamic empirical tests.

Followings are the major findings and implications drawn from the empirical analysis of the Korean options market. Most previous researches claims that options open interest can provide the information contents to estimate the KOSPI 200 spot price movement. However, unlike the results of most previous researches, we found that the call-put options open interest value ratio does not have the information contents predicting the KOSPI 200 index return where as KOSPI 200 spot price leads the call-put options open interest value ratio.
Analysis on the Hedging Effectiveness of KIKO Currency Options
Authors: Choi Byungwook
Published: September 2020

This article explores the hedging effectiveness of KIKO options by using the mean-variance analysis of Markowitz and by comparing three hedge measures such as Sharpe hedging effectiveness measure proposed by Howard and D’Antonio (1987), Fishburn (1977)’s measure, and Ederington (1979)’s. which calculates the degree to which the rate of return per unit of risk increases and total volatilty and down-side risk of hedged portfolio diminishes respectively. This paper differs from the previous researches in that this research first assumes that the firms hold the same value of dollar amount as that of short calls at each of settlement dates, and secondly this article performs multiple period of analysis instead of single period.

This paper finds first that the hedging effectiveness of KIKO options is not better than that of currency forward contract in making a reduction of the total volatility and down-side risks of hedged portfolio. Secondly the hedge effectiveness is the highest at the first settlement date but it plunges when the time passes by, which is mainly due to the fact that the value of in-the-money put decreases, but that of out-of-the-money call increases as the time to maturity increases. Thirdly, it is found that another KIKO option with the equal premium shows even better hedging performance than the original KIKO in three aspects of hedging effectiveness. In conclusion, the KIKO turns out to be a lemon.
Currency Crises and Exchange Rate Exposure
Authors: Cho Jin-Wan , Bian AiLian , Park Kyung-In
Published: September 2020

While undergoing currency crises, countries under fixed exchange rate regime elect to adopt flexible exchange rate regime. It is generally expected that if a country launches floating exchange rate regime, the exchange rate volatility increases. Therefore, the increase in exchange rate volatility may increase exposures to currency risks at the firm level. Previous research, however, such as Bian, Park and Cho (2006) shows that right after the currency crisis of 1997~1998, currency risk exposure for Korean firms actually decreased after the government adopted flexible exchange rate regime. In this study, we intend to study the effects of changes in exchange rate regimes on foreign currency exposures at the firm level around the currency crises in the 1990s using worldwide data. We use 2116 firms in 23 countries finds evidence that exchange rate exposure of majority of firms decreases after the financial crises. In a sub-sample analysis in which sub-samples are created depending on whether the home country changed exchange rate regime from fixed to flexible, we find that the reduction of exposure was greater for firms in countries that changed the regimes than those in countries that did not.
Information Flow between Stock Skew and Options Risk Neutral Skew: Evidence from KOSPI200 Options
Authors: Kim Sol , Park Hye-Hyun , Eom Ki-Jung
Published: September 2020

This paper investigates the effects of risk neutral distribution (RND) from option prices on the distribution of the underlying asset. More specifically, we focus on the third moment of distribution, called skewness, which contains important information predicting the jumps of stock index. The sample period covers from January 2002 to July 2006 with the closing price returns of KOSPI200 Index and the KOSPI200 options. The skewness of the risk neutral distribution is estimated from non-parametric method of Bakshi et al.(2003) and the parametric method of Corrado and Su (1996). When estimating the skewness of the underlying assets, we employ Chen et al.(2001) model and calculate the historical skewness from the1-month ahead return underlying asset. Using statistical methodology such as VAR (Vector Autoregressive model), Granger causality test, impulse response and variance decomposition model, we examine whether the skewness of the underlying asset responds to the change of the implied RND. Followings are the major findings and implications drawn from the empirical analysis of the Korean options market. First of all, skewness of options estimated from non-parametric method have information contents predicting the third-moment of KOSPI200 index return whereas skewness of options estimated from parametric method does not have any information forecasting the skewness of KOSPI200 index return.
Risk Margin Calculation for Lapse Risk in Guaranteed Minimum Accumulation Benefit of Variable Annuities-A Market-Consistent Approach
Authors: Kwon Yongjae , Park Myungho , Yun Jeongsun
Published: September 2020

In 2002, variable annuities were introduced in South Korea and have shown enormous success since then. They are life-insurance products with investment guarantees. Variable annuities allow policyholders to allocate premiums into a wide range of investment vehicles such as stocks, bonds, money market instruments, or some combinations of them. Due to the investment guarantee which is called guaranteed living benefits (GLBs), the benefit is always the greater of (1) the account value of the policyholder investment and (2) the guaranteed amount. Life insurance companies set aside reserves for the guarantees in the general account. Just as the account value depends on the performance of investments, VA lapses also rely on the performance of investments. For example, policyholders will not terminate the contracts when account value is way lower than the guaranteed amount. Considering that lapses determine the total benefit of VAs that a insurance company should pay, calculating risk margin for lapse is a key issue in the VA business. In this study, risk margin for VA lapses is estimated with Wang transform suggested by Wang (2000, 2002).
A Study on the Empirical Performance of the Volatility Estimation Models
Authors: Kim Jeehye , Chang Kook-Hyun
Published: September 2020

In this paper, we examine which volatility estimation model best explains KOSPI200-realized volatility in the Korean stock market, which has both heteroscedasticity and jump risk. The sample covers from July 1, 2010 to July 31, 2014, which is a low-volatility period in Korean stock market by which time the effects of the global crisis had almost vanished. We use the intra-day return of KOSPI200, which has been measured by 5-minute intervals. This study finds GARCH-family models are efficient estimators compared to historical volatility and EWMA. Also, among the GARCH-family models, Jump-Diffusion GARCH has shown comparatively good results. Especially this study finds that VKOSPI200 is the most efficient model with the largest adj. R2 and the smallest evaluation statistics during the sample period. Meanwhile, it seems to be necessary to consider jump risk when we estimate volatility in Korean stock market.
The Spot Price Discovery of Put-call Ratio of KOSPI200 Nighttime Options
Authors: Lee Woo-baik
Published: September 2020

Trading of KOSPI200 options on Eurex launched in 2010 starts at 17:00 after market and closes at 05:00 in the next morning. This paper attempts to examine the role of put-call ratio of KOSPI200 nighttime options in price discovery process of spot market. The main findings of this paper are summarized as followings; The information content of put-call ratio of nighttime options is significantly incorporated in opening price of spot market next trading day but not delayed to the daytime spot market. Specifically, all put-call ratios measured in terms of total volume, total value, and cleared volume of nighttime options has strongly positive correlation with returns of KOSPI200 next trading day but put-call ratio of daytime option market has no predictive power of next daily return during sample period. This implies that the nighttime options market shows more leading role than daytime options in opening price discovery. This relationship between put-call ration and spot market return remains statistically significant during the period of the multiplier for KOSPI200 options increased. However, the change in put-call ratio of nighttime options is significantly explained by precedent put-call ratio of daytime market. This Overall empirical evidence indicates that traders of KOSPI200 options have tendency to implement strategy of linkage between price movement of daytime and nighttime market.
A Study on Multi-Class Fund Flows and Consumer Protection
Authors: Roh Tai-Yong , Yoon Sun-Joong , Seo Sung Won
Published: September 2020

We examine whether the suitability principles hold for the mutual fund industry in Korea, by analyzing the dynamics and the characteristics of the multi-class fund flows. For 12-years from 2002 to 2013, the volatility of fund flows associated with A-class fund, which is more appropriate for long-term investments, is larger than that associated with C-class fund. Therefore, it can be interpreted that the suitability principles do not hold. To examine the empirical observation, we mainly focus on the role of the dollar cost averaging (DCA) style funds. We show that if we adjust for the effect of DCA funds, the suitability principles does not hold only before the 2008 financial crisis. Thus, we argue that individuals' irrational decision making is caused by heavy investments on A-class fund through DCA style types before the financial crisis. This leads to the observed violation of the suitability principles before the crisis. Our findings also suggest that after the financial crisis, the mutual fund industry in Korea becomes mature.
The Volatility Dynamics of the Global REITs Market
Authors: Lee Min A , Chang Kook Hyun
Published: September 2020

This paper tries to estimate the dynamic linear latent factor model (DLLFM) with jump in order to find jump risk, heteroscedasticity and time varying correlations in Global REITs Markets.

Using five major Global Reits rates such as the United States, Japan, the United Kingdom, Australia and Hong Kong form January 4, 2000 to June 29, 2018, this study finds the evidence of common factor and time-varying correlations in addition to the country-specific idiosyncratic risk.

According to the main estimated results of this paper, approximately 60% of the common factors of global REITs market risk. Can be explained by global stock markets.

Second, REITs market integration among five countries seems to have been increasing gradually since Global Financial Crisis.
Derivatives Pricing in the Positive Interest Rates
Authors: Rhee Joon Hee
Published: September 2020

This paper examines the pricing of interest rates derivatives such as caps and swaptions in the pricing kernel framework. The underlying state variable is extended to the general infinitely divisible Levy process. For computational purposes, a simple pricing kernel as in Flesaker and Hughston (1996) and Jin and Glasserman (2001) is used. The main contribution or purpose of this paper is to find several proper positive martingales, which is key role of practical applications of the pricing kernel approach with interest rates guarantee to be positive. Particularly, this paper first finds and applies a quite general type of a positive martingale process to pricing interest rate derivatives such as swaptions and range notes in the incomplete market setting. Such interest rate derivatives are hard to find analytic solutions. Consequently, this paper shows that such a choice of the positive martingale in the kernel framework is a promising approach to price interest rate derivatives
Recursive Valuation of European Multivariate Contingent Claims
Authors: Choi Jong Sung , Ki Ho Sam
Published: September 2020

In this paper we develop a numerical method for valuing multivariate contingent claims whose payoffs depend on more than one stochastic variables. This is achieved by mean of Gauss-Hermite Integration, applied to a recursive formulation of multidimensionalintegral to vaIue multivariate contingent claims with arbitrary payoff functions. Several examples are discussed.
Estimating the Term Structure of Interest Rates and Default Risk Embedded in Korean Corporate Bonds
Authors: Kang Jang Koo , Kim Sung Hwan , Han Chul Woo
Published: September 2020

This article uses a Kalman filter to fit yields of investment-grade corporate bonds to the model of instantaneous default risk, based on Duffee (1999. Review of Financial Studies. 12. PP. 197-226). The first part of this article fits the term structure of default-free interest rates to a translated two-factor square-root diffusion model. The parameters in the two-factor model are estimated by using a quasi-maxirnum-likelihood estimator in a state-space model in the Korean treasury bond market. A Kalman filter is used to estimate the unobservable factors.

The two-factor model successfully incorporates random variations in the slope of the term structure and the level of interest rates‘ After estimating the default-free term structure of interest rates, the second part of this article extends the model to noncallable corporate bonds‘ This is done by assuming that the probability of default follows a translated square-root diffusion process with the possibility of being correlated with default-free interest rates. The parameters of the process are estimated for investment-grade corporate bonds including AM. AA, A. and BBB. Empirical results show that the default risk is negatively correlated with default-free interest rates and confirm that the default risk is greater for lower grades. In addition, the estimated model successfully produces the term structures of credit spreads for corporate bonds and show that the credit spreads for lower grade bonds are more steeply sloped than those for higher grade bonds. These results show that Duffee's model can reasonably account for the observed corporate bond prices in the Korean bond market.