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맹준성(Junsung Maeng),최흥식(Heung Sik Choi),김선웅(Sun Woong Kim) 한국산학기술학회 2023 한국산학기술학회논문지 Vol.24 No.8
위클리 옵션의 상장으로 기존 월물 옵션 거래에만 의존하던 옵션 투자의 다양화가 이루어졌다. 본 연구의 목적은 GARCH 모형을 사용하여 위클리 옵션의 변동성을 예측하고, 이동평균선을 통해 옵션 매도 진입전략을 설정하여 그 성과를 분석하는 것이다. 2019년 9월부터 2022년 10월까지의 변동성과 방향성 분류모형을 최적화한 결과, 제안된 투자전략은 전체 기간 중 51%의 거래 발생으로 131.97%의 누적 기간 가중수익률을 달성하면서 투자위험을 줄였다. 이 연구는 위클리 옵션 만기일의 변동성과 방향성에 기반한 새로운 투자전략을 실증적으로 분석하고 제시하였다. 향후 연구에서는 변동성 증가로 인한 진입을 회피하는 전략과 월물 옵션 만기일 전략에 관한 추가적인 연구 필요성이 있다. The diversification of options trading, which had previously relied solely on the trading of monthly options, has been achieved through the introduction of weekly options. The purpose of this study was to predict the volatility of weekly options using the generalized autoRegressive conditional heteroskedasticity (GARCH) model and analyze the performance by setting option selling entry strategies based on moving averages. Through the optimization of volatility and directional classification models from September 2019 to October 2022, the proposed investment strategy achieved a cumulative period-weighted return of 131.97% with 51% of trades occurring during the entire period, while reducing investment risk. This study empirically analyzes and presents a new investment strategy based on the volatility and directionality of options that expire weekly. Future research should focus on strategies that avoid entry due to increased volatility and additional studies on strategies based on monthly option expiration dates.
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비동일방법편의(Uncommon Method Bias)의 원인과 해결방안
박원우(Won-Woo Park),박수빈(Soobin Park),이혜림(Healyim Lee),오민주(Minju Oh),맹준성(Junsung Maeng) 한국경영학회 2023 經營學硏究 Vol.52 No.1
Common method bias(CMB) occurs when the measurement of all variables within a conceptual framework is done with a single i.e. common method. The importance of overcoming CMB as a key way to increase the quality of research has been recognized by most scholars, that it is often treated as a basic condition to be fulfilled in doing an empirical study. Thus, the use of uncommon methods became a fad to overcome CMB. By recognizing that uncommon method also has problems, this paper describes uncommon method bias(UMB) thoroughly: What it is, why it happens, and finally the six ways to overcome it. Furthermore, 1,529 empirical papers published in past 14 years (2008~2021) in three prominent Korea journals were analyzed in detail to see to what extent they recognized the issue of CMB and/or UMB, and how they tried to overcome them. Unlike growing recognition and effort to overcome CMB, none of the 1,529 papers has mentioned anything about UMB, not to mention any efforts to overcome it.
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