bluuebunny/crossref_metadata_2025_split huggingface dataset:
An Empirical Research on the Informational Efficiency of Model Free Implied Volatility
Authors: Rhee Byung Kun , Hwang Sang Won 
Published: September 2020

Black-Scholes Imolied volatility (8SIV) has a few drawbacks. One is that the model Is not much successful in fitting the option prices. and It Is n야 guaranteed the model is correct one. Second. the usual tradition in using the BSIV is that only at-the-money Options are used. It is well-known that IV's of In-the-money or Qut-of-the-money ootions are much different from those estimated from near-the-money options.
In this regard, a new model is confronted with Korean market data. Brittenxmes and Neuberger (2000) derive a formula for volatility which is a function of option prices‘ Since the formula is derived without using any option pricing model. volatility estimated from the formula is called model-tree implied volatillty (MFIV). MFIV overcomes the two drawbacks of BSIV. Jiang and Tian (2005) show that. with the S&P index Options (SPX), MFIV is suoerlor to historical volatility (HV) or BSIV in forecasting the future volatllity.
In KOSPI 200 index options, when the forecasting performances are compared, MFIV is better than any other estimated volatilities. The hypothesis that MFIV contains all informations for realized volatility and the other volatilities are redundant is oot rejected in any cases.
Measuring Informational Advantage of A Group of Investors
Authors: Oh Seung Hyun 
Published: September 2020

This study interprets various theories of volume of stock markets in a unified DOint of view and classifies the theories into 4 categories: risk premium theory, adverse selection theory, privately informed trading theory, and market stabilization theory. Risk premium theory and adverse selection theory predict that net buying amount of an uninformed trader and future stock return have negative correlation and that ttle correlation approaches-I as current return volatility increases. Privately informed trading theory and market stabilization theory predict that net buying amount of an Informed trader and future stock return have posltive correlation and that the correlation approaches 1 as current return volatility increases.
Utilizing these two predictions. this study suggests a method of measuring informational advantage of a group of investors. To measure degrees of Informational advantage of some investor groups in Korean stock market. the method is applied to 7 groups of investors: foreign investors, individual investors. institutional investors, securities companies, Insurers. ITCs, and banks. The result shows that ITCs have the highest degree of informational advant~ age while Individual investors have the lowest level of informational advantage. The fact that this result is consistent with prior researches means that the method suggested in this study has enough empirical validity. This method may be used in a performance evaluation process for a specific fund or a portfolio manager.
A Simulation Analysis on the Tradeoff Between Cost and Risk in Replicating ELS (Equity-Linked Securities) with Transactions Costs: The Early Redeemable Case
Authors: Park Jun Young , Hyun Chongseok 
Published: September 2020

The trade-off between cost and risk of discretely rebalanced ELS hedges is analyzed under the proportional transaction costs. The analysis shows that the transaction costs have a considerable impact on the hedging performance.
The trade-off, or mean-variance graphs move in the right and lower directions in cases that the drift or the volatility of the underlying asset increases, the redemption level of the ELS decreases, or the maturity of the ELS gets longer.
The underlying asset move-based strategy (UAMB) reveals better performances than the time-based strategy (TS), while the delta move-based strategy (DMB) shows worse results. However, as the volatility of the underlying asset grows, the time-based strategy shows worse performances than the other two strategies does.
The difficulty of computational burden in simulating the hedge procedure is alleviated using the vectorized scheme, which makes the simulation analysis in feasible time.
Knock-In and Stocks Market Effect Due to ELS Issuance and Hedging
Authors: Lim Hyuncheul , Choi Youngsoo 
Published: September 2020

In this paper we analyze the shortfall risk implied in the auto call step down equity linked securities (ELS) based on two underlying assets, which is a major product of the rapidly growing ELS market as the low interest rate environment continues. And we also present the hedging strategies for managing shortfall risk. In the position of auto call step down ELS issuer, 1) until the underlying asset price reaches at knock-in (KI) level, the delta of the underlying is continually and significantly increased in order to hedge the short position of the Down and Out (DO) option and the long position of the put option inherent in ELS, 2) however, the hedger must reduce this delta as soon as the underperformed underlying price touches KI level, which triggers the vanishing of the DO option.
As a way to manage these shortfall risks, this paper proposes two new hedging strategies of minimizing these shortfall risks and depending on the KI probability. Also this paper shows that these hedging strategies provide better performance than traditional BS hedging strategy when these hedging strategies are applied to a sample product with real market data.
As the policy proposals, first, in order to prevent the concentration of the KI prices, ELS issue amount based on the same underlying is needed to be determined in consideration of both the average market trading volume and maximum leverage delta. Second, in the realm of pin risk such as Knock-In or Knock-Out, where the leverage increases, it is recommended to mitigate the risk management delta limit based on the BS model which is made under the assumption of continuous hedging infinitesimally.
Analysis of ELW Investor‘s Trading Pattern and P/L Reationship
Authors: Choi Youngsoo , Kwon Eunji 
Published: September 2020

Conventional study on the trading pattern of investors is either done in the viewpoint of the identity of investors or analyzed on the base of investor's type, which is categorized according to the number of transactions using only restricted security company data. Dataset in this paper is extended to all ELW series and investor's type such as the LP (Liquidity Provider). High-frequency traders are categorized on the base of average number of transactions per day and average trading volume per day. We analyze their trading pattern and relationship between P/L (profit and loss) and their trading pattern. Also We develop a new measurement tool, called the holding period, to comprehend the characteristic of high frequency trading and analyze the effect of holding period on P/L of investors.
Our empirical investigation shows that, for general investors, 1) their counterparties are LP during the execution of buy low and sell high trading strategy, 2) they lose in the cumulative P/L for the intermediate transaction although their average sell price is more expensive than average buy price, 3) due to the lack of risk management technique such as stop loss, they lose in the cumulative intermediate transaction P/L although their winning ratio is higher than losing ratio. On the other hand, 1) scalpers are mainly engaged in trading index ELW market, 2) due to the appropriate execution of stop loss, they win in the cumulative P/L for the intermediate transaction although their draw ratio and trading unit price are high. Meanwhile, due to the LP's passive characteristic for the buying execution after selling, their draw ratio is very low and their buy unit price is higher than sell unit price in comparison to other investor type, and their trading pattern is negatively related to that of the other investor type. Finally we confirm that the holding period is a significant impact on P/L of general investors and scalper.
As a policy proposal, it is necessary to introduce a market maker system in the individual stock options market for activating the stock options market, which has a more competitive market structure than ELW market. In the viewpoint of financial consumer protection, education on the time value reduction of contingent claim derivatives with finite maturity is necessary.
A Study on the ELW Market by Investor Types: Focused on DMA System
Authors: Choi Youngmin 
Published: September 2020

This paper focuses on the controversy about DMA (direct market access) system that facilitates ELW (equity linked warrants) transaction. We analyze trading profit/loss and such features in accordance with the investor type by the combination of trading counts and trading amounts. Especially, our analysis centers on whether brokerages’ providing DMA system contributes to the market expansion and DMA system serves as a profit-making expedient for the investors whose trading amount is large or trading frequency is high.
Based on our empirical examination utilizing total ELW trading data from 2009 to 2011, the following implications are obtained as a result: Firstly, the growth of the ELW market mainly comes from the increased transactions by the investors accessing via DMA and there is no evidence that providing DMA system itself adds to the revitalization of overall market. Secondly, our GMM results using dummy variables confirm us that providing DMA possibly plays a critical role in making profit for the investor of large trading amount or high trading frequency. Our results support the structural problem is embedded in ELW market and DMA system intensifies such unfair game.
Does CDS Premium Most Predict Sovereign Default Risk?
Authors: Binh Ki Beom , Woo Seokjin , Lee Sang Min 
Published: September 2020

This paper empirically analyzes the price discovery process between Korean sovereign CDS premium, spread of Korean government debt, Won-Dollar currency swap rate, and Won-Dollar FX rate. With the global financial and fiscal crisis, especially in the U.S. and Euro-zone, the interests in sovereign default risk have risen. Interests in CDS, an OTC credit derivative contract based on debt issuer’s default risk, also have increased.
A large number of presses have reported that CDS premium would be the best international market indicator for the default risk taken or transferred. However, internationally the CDS market liquidity has not been sufficient enough to validate its properties. Hence, based on empirics, this paper discusses whether Korean sovereign CDS premium can be considered as an appropriate indicator of sovereign credit risk in the Korean economy. Other largely accepted indices which contain the similar information about Korean economic fundamental and Korean external sovereign credit risk are also analyzed and compared: the spread of Korean government debt, Won-Dollar Currency Swap Rate, and Won-Dollar FX rate.
Our findings include: (a) in the price discovery process, Won-Dollar spot rate contributes to the price discovery especially most ‘during the financial crisis period’ and the ‘entire period’ (b) Within the period ‘after the financial crisis’, CDS premium and the other indices have mutual influences on the price discovery process higher than the period ‘before the financial crisis’ (c) while Won-Dollar forward rate shows the similar result with Won-Dollar spot rate, NDF rate and CDS premium make the largest mutual influence on price discovery in the period ‘before the financial crisis.’
An Empirical Study on the Factors Influencing on the Hedge Effectiveness of Korea Treasury Bond Futures
Authors: Choi Wan Seuk , Rhee Joon H. 
Published: September 2020

This paper performs the empirical analysis on the factors affection the hedge effectiveness of Korea Treasury Bond (KTB) Futures by different hedge models. Before analyzing the factors, firstly, we compare the hedge effectiveness for benchmark bond portfolio among different hedge models. We find that KTB Futures' hedge effectiveness do not produce significant difference depending on the different models.
Secondly, we test hedge effectiveness for the corporate bond. The results vary depending on the credit ranks. Below BBB rating, hedge effectiveness deteriorated significantly. This seems to be caused by the fact that BBB rated bond is more prone to be affected by credit risk rather than interest rate risk.
Thirdly, hedge effectiveness analysis for the maturity term mismatch, KTB Futures has performed poorly as underlying bond maturity mismatching with Futures. Finally, different yield curve shape, Futures price undervaluation or time to maturity of Futures do not produce significant effect for the hedge effectiveness.
In summary hedge effectiveness of KTB Futures (3 Year, 10 Year) seems to be dominantly affected by the 1) underlying hedging bond credit rating and 2) hedge term mismatch. Other factors such as yield curve shape, undervaluation of Futures and time to maturity of Futures has limited contribution under our research.
Managing Weather-Risks in Korean City-Gas Industry using Weather Derivatives
Authors: Choi Changhui , Shin Dong-Hoon , Kim Changki 
Published: September 2020

The main objectives of this paper are to measure weather-risks in Korean city-gas industry, whose revenue is strongly correlated with temperature changes, and show how managing weather-related risks using weather derivatives (priced using a utility indifference pricing technique) affects Korean city-gas industry's volatility of cash-flow through computational tests.
Since the fluctuation in temperature is the major risk factor for Korean city-gas providers (who are mostly nongovernmental companies), they can considered as strong potential participants in weather-derivatives' market. Therefore, it is worthwhile to investigate the impact of temperature changes on city-gas demands and the effectiveness of the application of weather-derivatives to city-gas providers' revenue. Our tests indicate that hedging weather-risks using weather derivatives can not only reduce the volatility of cash-flow but also increase cash income for Korean city-gas providers.
Profit Analysis of Short Term Weekly Momentum Strategy in the Korean Stock Market
Authors: Hwang Jun Ho 
Published: September 2020

This paper shows the momentum strategies that selected stocks based on their returns from a past 1 week generate long lasting significant abnormal returns. I observe the negative momentum profit from 1 week momentum portfolio and it disappears when the holding period is longer than 22 week.
In addition, I empirically shows that the weekly momentum strategies are able to generate negative profits also after the financial crisis. it is opposite result with literature, reported positive momentum after the financial crisis, I realize this result due to the characteristic of short term weekly momentum and market adjust returns. The price limit is one of the big features of Korean stock market. I consider the set of sample period by change of price limit. I find the positive momentum profits only in the period of narrow price limit range. For the check on the relation between liquidity and profit of momentum strategy, I employ the illiquid measure of Amihud (2002). I find that the strong and long lasting negative momentum profit from illiquid stock portfolio. This result implied that liquidity enhances the profit of momentum.
Who Drive the Rise and Fall of the Bubbles in Korean Stock Market?
Authors: Kho Bong-Chan , Kim Jin-Woo 
Published: September 2020

In this paper, we analyze the trading patterns of investors around the bubble events selected for stocks traded in Korean Stock Market from 1999 to 2013, whose holding period returns exceed 200% for 250 trading days prior to the event and then drop subsequently below -50% thereafter for the next 250 trading days. We examine whether individual investors, commonly known as noise traders, drive the bubbles, and whether institutional investors and foreign investors, known as informed traders, take an arbitrage position to shrink the pricing errors or ride the bubbles to maximize their profits. We also examine whether individual investors suffer losses due to their disposition effect even after the bubble bursts.
Major findings of this paper are as follows : First, we find that individual investors are actually shown to drive the bubbles in our full sample, whereas the burst of the bubbles are largely driven by institutional investors and foreign investors. In particular, it is shown for large-cap stocks that foreign investors take the lead in raising the price at an early stage of the bubbles and then institutional investors follow them until the bubble peak point. Second, for mid-cap and large-cap stocks, institutional investors are found to ride the bubbles from about 75 days prior to the bubble peak point, when foreign investors reverse their trades and start selling to realize profits. Such bubble riding behavior of institutional investors is consistent with the synchronization risk model of Abreu and Brunnermeier (2002, 2003), where it is optimal for informed traders to ride the bubbles until all of informed traders start selling at the bubble peak point. Third, individual investors are found to suffer losses as they keep buying the bubble stocks even after the bubble bursts due to their disposition effect.
Host response to the subtilase cytotoxin produced by locus of enterocyte effacement‐negative Shiga‐toxigenic Escherichia coli
Authors: Tsutsuki Hiroyasu , Ogura Kohei , Moss Joel , Yahiro Kinnosuke 
Published: September 2020

AbstractShiga‐toxigenic Escherichia coli (STEC) is a major bacterium responsible for disease resulting from foodborne infection, including bloody diarrhea and hemolytic uremic syndrome. STEC produces important virulence factors such as Shiga toxin (Stx) 1 and/or 2. In the STEC family, some locus of enterocyte effacement‐negative STEC produce two different types of cytotoxins, namely, Stx2 and subtilase cytotoxin (SubAB). The Stx2 and SubAB cytotoxins are structurally similar and composed of one A subunit and pentamer of B subunits. The catalytically active A subunit of SubAB is a subtilase‐like serine protease and specifically cleaves an endoplasmic reticulum (ER) chaperone 78‐kDa glucose‐regulated protein (GRP78/BiP), a monomeric ATPase that is crucial in protein folding and quality control. The B subunit binds to cell surface receptors. SubAB recognizes sialic carbohydrate‐modified cell surface proteins as a receptor. After translocation into cells, SubAB is delivered to the ER, where it cleaves GRP78/BiP. SubAB‐catalyzed BiP cleavage induces ER stress, which causes various cell events including inhibition of protein synthesis, suppression of nuclear factor‐kappa B activation, apoptotic cell death, and stress granules formation. In this review, we describe SubAB, the SubAB receptor, and the mechanism of cell response to the toxin.
Genetic diversity of mitochondrial cytochrome b gene in swamp buffalo
Authors: Sun T. , Wang S. , Hanif Q. , Chen N. , Chen H. , Lei C. 
Published: September 2020

SummaryThe swamp buffalo (Bubalus carabanensis) is mainly bred for meat, transport and rice cultivation in China and Southeast Asian countries. In the current study, we investigated the genetic diversity, maternal origin and phylogenetic relationship of swamp buffalo by analyzing 1,786 mitochondrial cytochrome b (cytb) sequences from China, Vietnam, Laos, Thailand, India and Bangladesh. Our results indicated that the swamp buffalo can be divided into two major lineages (SA and SB with the sublineages) and three rare lineages (SC, SD and SE), which showed strong geographic differentiation. The SA1 lineage represented a major domestication event, which involved population expansion. Regions III and V showed higher haplotype diversity than the other regions, indicating that the regions of Southwest China and IndoChina are potential domestication centers for the swamp buffalo. In addition, the swamp buffalo showed a closer phylogenetic relationship to tamaraw. In conclusion, our findings revealed a high level of genetic diversity and the phylogenetic pattern of the swamp buffalo.
Learning From Gesture and Action: An Investigation of Memory for Where Objects Went and How They Got There
Authors: Hostetter Autumn B. , Pouw Wim , Wakefield Elizabeth M. 
Published: September 2020

AbstractSpeakers often use gesture to demonstrate how to perform actions—for example, they might show how to open the top of a jar by making a twisting motion above the jar. Yet it is unclear whether listeners learn as much from seeing such gestures as they learn from seeing actions that physically change the position of objects (i.e., actually opening the jar). Here, we examined participants' implicit and explicit understanding about a series of movements that demonstrated how to move a set of objects. The movements were either shown with actions that physically relocated each object or with gestures that represented the relocation without touching the objects. Further, the end location that was indicated for each object covaried with whether the object was grasped with one or two hands. We found that memory for the end location of each object was better after seeing the physical relocation of the objects, that is, after seeing action, than after seeing gesture, regardless of whether speech was absent (Experiment 1) or present (Experiment 2). However, gesture and action built similar implicit understanding of how a particular handgrasp corresponded with a particular end location. Although gestures miss the benefit of showing the end state of objects that have been acted upon, the data show that gestures are as good as action in building knowledge of how to perform an action.
Perspectives of Vietnamese, Sudanese and South Sudanese immigrants on targeting migrant communities for latent tuberculosis screening and treatment in low‐incidence settings: A report on two Victorian community panels
Authors: Degeling Chris , Carter Stacy M. , Dale Katie , Singh Kasha , Watts Krista , Hall Julie , Denholm Justin 
Published: September 2020

AbstractBackgroundTuberculosis (TB) elimination strategies in Australia require a focus on groups who are at highest risk of TB infection, such as immigrants from high‐burden settings. Understanding attitudes to different strategies for latent TB infection (LTBI) screening and treatment is an important element of justifiable elimination strategies.MethodTwo community panels were conducted in Melbourne with members of the Vietnamese (n = 11), Sudanese and South Sudanese communities (n = 9). Panellists were provided with expert information about LTBI and different screening and health communication strategies, then deliberated on how best to pursue TB elimination in Australia.FindingsBoth panels unanimously preferred LTBI screening to occur pre‐migration rather than in Australia. Participants were concerned that post‐migration screening would reach fewer migrants, noted that conducting LTBI screening in Australia could stigmatize participants and that poor awareness of LTBI would hamper participation. If targeted screening was to occur in Australia, the Vietnamese panel preferred ‘place‐based’ communication strategies, whereas the Sudanese and South Sudanese panel emphasized that community leaders should lead communication strategies to minimize stigma. Both groups emphasized the importance of maintaining community trust in Australian health service providers, and the need to ensure targeting did not undermine this trust.ConclusionPre‐migration screening was preferred. If post‐migration screening is necessary, the potential for stigma should be reduced, benefit and risk profile clearly explained and culturally appropriate communication strategies employed. Cultural attitudes to health providers, personal health management and broader social vulnerabilities of targeted groups need to be considered in the design of screening programs.