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Open Access
Article
Publication date: 31 August 2018

Myeong-Hoon Yeom and Jihun Kim

KRX (Korea Exchange) gold market opened in March 2014 according to the government policy legalizing financial transactions, and traded one-gram unit of the real gold by Korean…

78

Abstract

KRX (Korea Exchange) gold market opened in March 2014 according to the government policy legalizing financial transactions, and traded one-gram unit of the real gold by Korean currency (KRW) in the exchange market. Despite the fact that KRX gold market showed the high efficiency in terms of tax and fee in contrast to the existing gold market, the studies on KRX gold market were scarcely performed until quite recently. This study introduce KRX gold market and shows the price discovery function of KRX gold market. Empirical analyses and the results were as follows. First, the return rate of CME gold futures at the t-1 day had a positive impact of significance on market rate of return of KRX gold market at the t day. Second, the KRX gold market also has price discovery function in global gold market. We analyze the efficiency of the KRX gold market by comparing the dollar spot price of gold in the KRX gold market and the price of CME gold futures. These results support the proper efficiency of the KRX gold market in terms of price discovery.

Details

Journal of Derivatives and Quantitative Studies, vol. 26 no. 3
Type: Research Article
ISSN: 2713-6647

Keywords

Open Access
Article
Publication date: 30 November 2003

Bae Gi Hong and Su Jae Jang

This paper examines the information efficiency of KOSDAQ50 and KOSPI200 index futures markets. The study analyzes and compares both markets in three respects : 1) price discovery…

13

Abstract

This paper examines the information efficiency of KOSDAQ50 and KOSPI200 index futures markets. The study analyzes and compares both markets in three respects : 1) price discovery (lead-lag relationship between spot and futures markets.), 2) volatility-volume relationship, and 3) mispricings between spot and futures prices. The first, analysis shows the in the KOSPI200 market, futures price leads spot price. While spot price leads futures price in the KOSDAQ50 market. The second analysis shows that the volatility-volume relation is positive in the KOSPI200 futures market, supporting the hypothesis of mixture of distribution. In contrast, there is little relation between volume and volatility in the KOSDAQ50 futures market. This result casts doubt that the futures market price reflects information. The last analysis shows that the magnitude of mispricing becomes smaller with more volume in the KOSPI200 futures market, while it becomes larger with more volume in the KOSDAQ50 futures market. The overall results imply that the KOSDAQ50 futures market is less informationally efficient that the KOSPI200 market. The inefficiency appears due to the lack of institutional investor participation, especially securities firms, in making up the market.

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Journal of Derivatives and Quantitative Studies, vol. 11 no. 2
Type: Research Article
ISSN: 2713-6647

Keywords

Article
Publication date: 1 August 1990

Gregory R. Elliott

The contemporary relevance of thetraditional marketing concept is asource of continuing debate asmarketers question its universalapplication across all situations. In thepast, the

4687

Abstract

The contemporary relevance of the traditional marketing concept is a source of continuing debate as marketers question its universal application across all situations. In the past, the emergence of the societal marketing concept and the marketing warfare metaphor represent challenges to the veracity of the marketing concept. It is argued that the continuing relevance of the marketing concept and the emergence of alternative paradigms can be linked to changes in the operating environments of firms or industries. The traditional marketing concept finds application in relatively placid, benign environments which characterised post‐war economies and markets. The emergence of the “societal marketing concept” can be linked to the emergence of turbulent environments which found expression in the consumerist and ecological movements in the 1970s. More recently, a new emphasis has emerged with the growing recognition of the importance of competitive forces in imperfectly competitive markets and the inadequacy of the marketing concept in such environments. These changing operating environments are examined, arguing that the traditional marketing concept is applicable in “placid clustered” environments, as described by Emery and Trist. Finally, the examples of three contemporary Australian industries are discussed to illustrate the relevance of the argument.

Details

European Journal of Marketing, vol. 24 no. 8
Type: Research Article
ISSN: 0309-0566

Keywords

Open Access
Article
Publication date: 31 May 2014

Sun Young Park

The most commonly observed risk averse behavior in the commercial real estate market is loss aversion on the part of investors; i.e., investors are more sensitive to prospective…

60

Abstract

The most commonly observed risk averse behavior in the commercial real estate market is loss aversion on the part of investors; i.e., investors are more sensitive to prospective losses than to prospective gains. This observation leads to the natural question : Does the market rationally anticipate investors' loss aversion? If not, then does loss aversion become stronger in a relatively illiquid market? The answer to these questions provides strategically important implications to institutional investors. We propose to explore the impact of loss aversion on the commercial real estate market by testing two competing hypotheses : (1) the rational market expectation hypothesis and (2) the liquidity spiral hypothesis. The rational market expectation hypothesis holds that the market rationally anticipates investors' behavioral loss aversion. As a result, the interaction between lagged market liquidity and loss aversion does not have an impact on the probability of property sales. On the other hand, the liquidity spiral hypothesis holds that the interaction between market liquidity and loss aversion has an impact on the probability of property sales due to the self-fulfilling feedback effect between loss aversion and market liquidity. In the context of REITs' property transactions, we find partial evidence for the liquidity spiral hypothesis : private market liquidity and stock market liquidity each has an additional impact on the sale probability of property.

Details

Journal of Derivatives and Quantitative Studies, vol. 22 no. 2
Type: Research Article
ISSN: 2713-6647

Keywords

Open Access
Article
Publication date: 31 May 2014

Xing Qun Xue, Sae Woon Park and Hee Ho Kim

This study examines the volatility spillover effect and forward pricing effect between futures and spot markets, using the daily data of January 1988~April 2013 and Bounds test…

30

Abstract

This study examines the volatility spillover effect and forward pricing effect between futures and spot markets, using the daily data of January 1988~April 2013 and Bounds test, ARDL model, DCC-GARCH model and the new method of spillover index calculation. In particular, the comparison between the developed and emerging markets will shed a light on a difference between the efficiencies of the two groups of markets. Our results show that the volatility spillover effect in the developed market was less in magnitude, compared to that effect in the emerging market. The causal influence from the future market to the spot market was greater in the developed market than in the emerging markets. This indicates that the foreign exchange markets (future and spot both) were much more efficient in the developed markets than in the emerging markets. This also implies very fruitful guides for the foreign exchange intervention policy, including signaling effect, portfolio effects, and direct and indirect intervention effects.

Details

Journal of Derivatives and Quantitative Studies, vol. 22 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 crisis.A…

36

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.

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

Keywords

Article
Publication date: 1 April 1978

Edgar A. Pessemier

The problems of achieving a successful interface between marketing science and marketing practice are numerous. Furthermore, they vary from subject to subject and from environment…

1087

Abstract

The problems of achieving a successful interface between marketing science and marketing practice are numerous. Furthermore, they vary from subject to subject and from environment to environment. To avoid getting lost in this hall of mirrors, attention has been paid in this piece of research to four important subjects. First, a philosophical and organisational point of view is proposed about the proper role and funding structure for marketing research and marketing science activities. Next, some marketing science contributions to design issues are examined. In marketing, these are the ‘what kind’ questions about products, product lines, and associated market communications. Third, the ‘how much’ issue is discussed as it relates to total marketing expenditures and their allocations across the marketing mix. Having discussed some approaches to these ‘gut’ issues, the last section reviews in general terms the current state‐of‐the‐art in marketing science and some factors which may shape future developments. This synopsis deals mainly with the organisational problems of using marketing science.

Details

Management Research News, vol. 1 no. 4
Type: Research Article
ISSN: 0140-9174

Open Access
Article
Publication date: 30 November 2009

Moo Sung Kim and Tae Hun Kang

This article empirically tests the time-correlation of implied information reflecting the return dynamics of KOSPI 200 markets in the view of the decision making and market

14

Abstract

This article empirically tests the time-correlation of implied information reflecting the return dynamics of KOSPI 200 markets in the view of the decision making and market efficiency. Because option prices are not perfectly correlated with each other and with the underlying asset, the information contents of the option are different from those of the underlying market price. And, under the non-complete of the market and the limited arbitrage, the information implied in option (underlying) market price may be more useful in the option (underlying) market than in the underlying (option) market.

The estimation results show that the time-correlation of incremental information are existed in performance of out-of-sample pricing and delta hedging conditioned on MR, a result which is not suggestive of the informational efficiency of the KOSPI 200 market. But, the decision marking using the systematic pattern may not be useful due to the option pricing models that allows moments of higher order than two reflecting the source of which the risk-neutrality assumption is strongly rejected by the data.

Details

Journal of Derivatives and Quantitative Studies, vol. 17 no. 4
Type: Research Article
ISSN: 2713-6647

Keywords

Article
Publication date: 1 February 1990

Nigel Piercy

Focuses on the problems for marketing executives of theimplementation, rather than just those of the generation, of marketingstrategies, and the inevitable associated…

3341

Abstract

Focuses on the problems for marketing executives of the implementation, rather than just those of the generation, of marketing strategies, and the inevitable associated organisational change involved. Conceptually, the focus is on the impact of the “corporate environment” on the marketing decision‐making process, as a variable influencing both the strategic choices which are made by managers, and most particularly the problems which are faced in implementing marketing strategies. These issues are closely related to the emerging area of research concerned with the importance of culture in corporate “excellence”, but the approach here differs in perspective. While the “excellence” literature has attracted much interest, one of its shortcomings is that it offers no remedy for the most immediate problems which it uncovers. Similarly, the marketing literature offers no conceptual framework, and few practical tools for managing organisational culture as a variable significant to marketing implementation and change. This frame of reference issued to identify an agenda for management to address in implementing marketing strategies, and concludes with an examination of some of the practical diagnostic devices developed to support the confrontation of these issues in marketing. The article concludes with the identification of a preliminary research model of the variables to be tested empirically.

Details

European Journal of Marketing, vol. 24 no. 2
Type: Research Article
ISSN: 0309-0566

Keywords

Open Access
Article
Publication date: 28 February 2014

Shiyong Yoo

In this study, we explore the empirical relationship between trading volume and volatility among KOSPI200 index stock market, futures and options markets. In particular, in…

22

Abstract

In this study, we explore the empirical relationship between trading volume and volatility among KOSPI200 index stock market, futures and options markets. In particular, in explaining the volatility of each market, the trading in other markets, as well as the trading volume of other markets, also served as explanatory variables. In other words, cross-market effects of trading volume by investor types are analyzed. The empirical results show that there exist the cross-market effects of the relationship between trading volume and volatility in deeply integrated financial markets such as KOSPI200 index stock, futures and options markets. That is, the volatility of one market is explained by the trading volume of trader types in other financial markets. And, overall options trading increases the volatility of each market, while the overall futures trading volume of foreign investors reduce the volatility of each market. Trading volume of Individual investors does not reduce the volatilities of KOSPI200 index and futures markets. That is, trading volume of Individual investors in stock, futures, and options markets increase the volatilities of stock and futures. This implies that foreign investors are informed traders, whereas individual investors are liquidity traders.

Details

Journal of Derivatives and Quantitative Studies, vol. 22 no. 1
Type: Research Article
ISSN: 2713-6647

Keywords

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