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Open Access
Article
Publication date: 29 February 2016

Sang Hoon Kang and Seong-Min Yoon

This paper investigates the impact of structural breaks on volatility spillovers between Asian stock markets (China, Hong Kong, India, Indonesia, Japan, Korea, Singapore…

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Abstract

This paper investigates the impact of structural breaks on volatility spillovers between Asian stock markets (China, Hong Kong, India, Indonesia, Japan, Korea, Singapore, and Taiwan) and the oil futures market. To this end, we apply the bivariate DCC-GARCH model to weekly spot indices during the period 1998-2015. The results reveal significant volatility transmission for the pairs between the Asian stock and oil futures markets. Moreover, we find a significant variability in the time-varying conditional correlations between the considered markets during both bullish and bearish markets, particularly from early 2007 to the summer of 2008. Using the modified ICSS algorithm, we find several sudden changes in these markets with a common break date centred on September 15, 2008. This date corresponds to the collapse of Lehman Brothers which is considered as our breakpoint to define the global financial crisis. Also, we analyse the optimal portfolio weights and time-varying hedge ratios based on the estimates of the multivariate DCC-GARCH model. The results emphasize the importance of overweighting optimal portfolios between Asian stock and the oil futures markets.

Details

Journal of Derivatives and Quantitative Studies, vol. 24 no. 1
Type: Research Article
ISSN: 2713-6647

Keywords

Open Access
Article
Publication date: 29 February 2012

Hong-Bae Kim, Yeonjeong Lee, Sang Hoon Kang and Seong-Min Yoon

This study investigates the influence of theoretical determinants on the Korea sovereign CDS spreads from January 2007 to September 2009 based on structural credit risk…

11

Abstract

This study investigates the influence of theoretical determinants on the Korea sovereign CDS spreads from January 2007 to September 2009 based on structural credit risk model. For the analysis of determinants on the sovereign CDS spread, this study adopts interest swap rate as reference interest rate, and decomposes yields curve into two components, ie, interest level and slope. Considering multivariate regression in level and difference variables, Stock returns and Interest rates have a significant effect on the CDS spreads among the theoretical determinants of structural credit risk models. CDS spreads may behave quite differently during volatile regime compared with their behavior in tranquil regime. We therefore apply Markov switching model to investigate the possibility that the influence of theoretical determinants of CDS spread has a regime dependent behavior. In all regimes Korean sovereign CDS spreads are highly sensitive to stock market returns, whereas in tranquil regime interest rates also have influence on CDS spreads. We conclude that for the efficient hedging of CDS exposure trader should adjust equity hedge ratio to the relevant regime.

Details

Journal of Derivatives and Quantitative Studies, vol. 20 no. 1
Type: Research Article
ISSN: 2713-6647

Keywords

Open Access
Article
Publication date: 31 May 2019

Sang Hoon Kang

This paper aims to investigate the network structure of connectedness among global index futures markets in different distress periods. In this purpose, this employs the…

1

Abstract

This paper aims to investigate the network structure of connectedness among global index futures markets in different distress periods. In this purpose, this employs the multivariate DECO-GARCH model of Engle and Kelly (2012) and the spillover index method of Diebold and Yilmaz (2014). From empirical analysis, this paper finds an evidence of a positive equicorrelation among global index futures, implying the contagion effect in global index futures markets. The spillover connectedness is intensified due to recent market distress, i.e., the 2008-2009 GFC, the 2010-2012 ESDC, the collapse of Chinese stock market in 2015, and the US FRB interest rate hike in 2018. Further, this paper measures the direction and strength of volatility connectedness assessed by the net pairwise directional spillover indexes. Thus this paper identifies the net spillover connectedness (transmitter/receiver) across global index futures markets. Finally, this paper shows the network structure of spillover connectedness in different market distress periods, and provides the channels of spillover connectedness across global index future markets.

Details

Journal of Derivatives and Quantitative Studies, vol. 27 no. 2
Type: Research Article
ISSN: 2713-6647

Keywords

Open Access
Article
Publication date: 28 February 2011

Hong Bae Kim and Sang Hoon Kang

This study investigated the relationship between the CDS (credit default swap) market with the FX spot (FX swap) market, including the period of recent global financial…

7

Abstract

This study investigated the relationship between the CDS (credit default swap) market with the FX spot (FX swap) market, including the period of recent global financial crisis.

A measure for market efficiency is the condition that the derivative markets dominate the asset market in price discovery. In our case, however, FX market should be leading the CDS market. We found FX (spot and Derivatives) market has co-integration relationship with CDS market. Looking at Gonzalo Granger (GG) and Hasbrouck's price discovery measure, we found the FX spot and derivatives market dominated CDS market in price discovery.

This study has also examined the direction of shock spillover and volatility transmission between Korean CDS spread and Foreign exchange spot (FX swap) markets using the VECM bivariate GARCH approach. Our evidence suggested the presence of bi-directional shock volatility and volatility transmission between the CDS market and FX spot market partially exist. However, volatility spillover effects from CDS market to FX Swap market are stronger than in the reverse direction during the global financial crisis, indicating that the CDS spread signaling sovereign risk play a more important role in influencing the volatility of FX derivatives market.

There are some particular features in FX market. The volatility and shock of CIP deviations reflecting arbitrage opportunities in FX swap market are influenced by those of CDS spread in tranquil period prior to Lehman failure. But after Lehman failure CDS played a crucial role in signaling credit risk in FX derivatives market. We found that higher liquidity and trading volume of market matters more in price discovery and information transmission.

Details

Journal of Derivatives and Quantitative Studies, vol. 19 no. 1
Type: Research Article
ISSN: 2713-6647

Keywords

Open Access
Article
Publication date: 31 August 2011

Sang Hoon Kang and Seong-Min Yoon

This paper investigates the price discovery, volatility spillover, and asymmetric volatility spillover effects between the KOSPI 200 market and its futures contracts…

14

Abstract

This paper investigates the price discovery, volatility spillover, and asymmetric volatility spillover effects between the KOSPI 200 market and its futures contracts market. The investigation was performed using the VECM-DCC-GARCH approach. In the case of returns, we found a significant unidirectional information flow from the futures market to the spot market; this implies that the KOSPI 200 futures market plays an important role on the price discovery in the spot market. In addition, we found a strong bi-directional casualty involving the volatility interaction between the spot and futures markets; this implies that market volatility originating in the spot market will influence the volatility of the futures market and vice versa. We also found strong asymmetric volatility spillover effects between the two markets.

Details

Journal of Derivatives and Quantitative Studies, vol. 19 no. 3
Type: Research Article
ISSN: 2713-6647

Keywords

Article
Publication date: 28 January 2022

Walid Mensi, Imran Yousaf, Xuan Vinh Vo and Sang Hoon Kang

This paper examines asymmetric multifractality (A-MF) in the leading Middle East and North Africa (MENA) stock markets under different turbulent periods (global financial…

Abstract

Purpose

This paper examines asymmetric multifractality (A-MF) in the leading Middle East and North Africa (MENA) stock markets under different turbulent periods (global financial crisis [GFC] and European sovereign debt crisis [ESDC], oil price crash and COVID-19 pandemic).

Design/methodology/approach

This study applies the asymmetric multifractal detrended fluctuation analysis (A-MF-DFA) method of Cao et al. (2013) to identify A-MF and MENA stock market efficiency during the COVID-19 pandemic.

Findings

The results show strong evidence of different patterns of MF during upward and downward trends. Inefficiency is higher during upward trends than during downward trends in most of the stock markets in the whole sample period, and the opposite is true during financial crises. The Turkish stock market is the least inefficient during upward and downward trends. A-MF intensifies with an increase in scales. The evolution of excessive A-MF for MENA stock returns is heterogeneous. Most of the stock markets are more inefficient during a pandemic crisis than during an oil crash and other financial crises. However, the inefficiency of the Saudi Arabia and Qatar stock markets is highly sensitive to oil price crashes. Overall, the level of inefficiency varies across market trends, scales and stock markets and over time. The findings of this study provide investors and policymakers with valuable insights into efficient investment strategies, risk management and financial stability.

Originality/value

This paper first explores A-MF in the MENA emerging stock markets. The A-MF analysis provides useful information to investors regarding asset allocation, portfolio risk management and investment strategies during bullish and bearish market states. In addition, this paper examines A-MF under different turbulent periods, such as the GFC, the ESDC, the 2014–2016 oil crash and the COVID-19 pandemic.

Details

International Journal of Emerging Markets, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1746-8809

Keywords

Article
Publication date: 25 August 2021

Walid Mensi, Ramzi Nekhili, Xuan Vinh Vo and Sang Hoon Kang

This paper examines dynamic return spillovers and connectedness networks among international stock exchange markets. The authors account for asymmetry by distinguishing…

Abstract

Purpose

This paper examines dynamic return spillovers and connectedness networks among international stock exchange markets. The authors account for asymmetry by distinguishing between positive and negative returns.

Design/methodology/approach

This paper employs the spillover index of Diebold and Yilmaz (2012) to measure the volatility spillover index for total, positive and negative volatility.

Findings

The results show time-varying and asymmetric volatility spillovers among the stock markets under investigation. During the coronavirus disease 2019 (COVID-19) pandemic, bad volatility spillovers are more pronounced and dominated over good volatility spillovers, indicating contagion effects.

Originality/value

The presence of confirmed COVID-19 cases positively (negatively) affects the good and bad spillovers under low and intermediate (upper) quantiles. Both types of spillovers at various quantiles agree also influenced by the number of COVID-19 deaths.

Details

International Journal of Emerging Markets, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1746-8809

Keywords

Article
Publication date: 28 October 2014

Sora Kim, Soo-Yeon Kim and Kang Hoon Sung

The purpose of this paper is to examine how Fortune 100 companies are using Facebook (FB) in terms of employing corporate ability (CA), corporate social responsibility…

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Abstract

Purpose

The purpose of this paper is to examine how Fortune 100 companies are using Facebook (FB) in terms of employing corporate ability (CA), corporate social responsibility (CSR), and hybrid communication strategies, meeting different stakeholders’ expectations, and incorporating interactivity components into social media.

Design/methodology/approach

A quantitative content analysis was used to examine a total of 1,486 corporate FB postings.

Findings

Fortune 100 companies predominantly employed a CA strategy over a CSR strategy or a hybrid strategy. They prioritize customers’ needs over other stakeholders’ (e.g. stockholders and community members) on FB. FB fans are more likely to post “like” when companies personalize their FB messages. Seeking specific action-oriented participation on FB increased the frequencies of “like” and “comment,” whereas using the generic terms like “try” or “learn” decreased such frequencies. Finally, the frequencies of fans posting “like” and “comment” are affected by how often companies responded to fans’ postings and not influenced by how often companies feed new FB updates to fans.

Originality/value

This study provides a benchmark case of how corporations are using a mainstream social media outlet to engage different stakeholders. It helps to assess the current status of public relations communication strategies on the mainstream social networking site. Companies can increase public engagement and response on social media through more personalized messages and techniques to encourage active participation and dialogue.

Details

Journal of Communication Management, vol. 18 no. 4
Type: Research Article
ISSN: 1363-254X

Keywords

Open Access
Article
Publication date: 10 September 2021

Jun Sik Kim and Sol Kim

This paper investigates a retrospective on the Journal of Derivatives and Quantitative Studies (JDQS) on its 30th anniversary based on bibliometric. JDQSs yearly…

Abstract

This paper investigates a retrospective on the Journal of Derivatives and Quantitative Studies (JDQS) on its 30th anniversary based on bibliometric. JDQSs yearly publications, citations, impact factors, and centrality indices grew up in early 2010s, and diminished in 2020. Keyword network analysis reveals the JDQS's main keywords including behavioral finance, implied volatility, information asymmetry, price discovery, KOSPI200 futures, volatility, and KOSPI200 options. Citations of JDQS articles are mainly driven by article age, demeaned age squared, conference, nonacademic authors and language. In comparison between number of views and downloads for JDQS articles, we find that recent changes in publisher and editorial and publishing policies have increased visibility of JDQS.

Details

Journal of Derivatives and Quantitative Studies: 선물연구, vol. 29 no. 4
Type: Research Article
ISSN: 1229-988X

Keywords

Article
Publication date: 8 October 2019

Honglei Liu, Sang Jin Kim, Huanzhang Wang and Kyung Hoon Kim

The purpose of this paper is to understand how market uncertainty affects sustainability management for long-term survival and growth.

Abstract

Purpose

The purpose of this paper is to understand how market uncertainty affects sustainability management for long-term survival and growth.

Design/methodology/approach

Structural equation modeling is applied to evaluate the research model using data from a survey of 210 firms in China.

Findings

Empirical findings show that market uncertainty encourages entrepreneurship, which is an impetus for sustainability management. Economic and environmental responsibility positively affects balanced scorecard, but social responsibility does not.

Research limitations/implications

The study results show that economic and environmental responsibility is essential for success, but social responsibility appears to lack effect. Therefore, future research might further explore why social responsibility fails to enhance corporate performance.

Practical implications

When firms consider sustainability management for long-term survival and growth, they should not only strive to grow regional economic benefits but also adhere to environmental regulations and protect the local ecosystem.

Originality/value

This study observes how market uncertainty, entrepreneurship and corporate sustainability (economic, environmental and social responsibility) affect the overall performance of firms in China.

Details

Asia Pacific Journal of Marketing and Logistics, vol. 32 no. 5
Type: Research Article
ISSN: 1355-5855

Keywords

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