The Lead-Lag Relationship between Volatility Index Futures and Spot in the Korean Stock Market

Rong-Yuan Qin,Ji-Hun Heo 한국무역연구원 2017 무역연구 Vol.13 No.4

This empirical study examines the short-run lead-lag relationship between the VKOSPI index futures and its underlying spot index and KOSPI index using daily data from September 17, 2014 to May 2017. We used the unit root test, Johansen-Juselius cointegration test, Granger causality analysis, impulse response function analysis, and variance decomposition analysis to test the hypothesis that the futures market with no market frictions leads the spot market in this analysis. The results of these analyses using level variables show that there is a bi-directional lead-lag relationship between the VKOSPI futures and VKOSPI index, but in the analysis using first-difference variables, there is only a unidirectional lead-lag relationship form VKOSPI index to VKOSPI futures. This means that the VKOSPI spot market is more efficient than the futures market. Also, there are no lead-lag relationship from VKOSPI futures or VKOSPI index to KOSPI index. It is inconsistent with the main expected hypothesis in our study and the conclusions of previous studies which argue that the VIX futures lead the VIX index and S&P 500 index. This results are related to a lack of liquidity of VKOSPI futures contracts in the Korean derivatives market. Because generally, the Korean institutional investors prefer option trading, to hedge market risk rather than VKOSPI futures. Change in the price of the option will result in the change in the VKOSPI index and subsequently the mechanism that alters the VKOSPI futures or the KOSPI index.

Determination of flutter derivatives by stochastic subspace identification technique

Qin, Xian-Rong,Gu, Ming Techno-Press 2004 Wind and Structures, An International Journal (WAS Vol.7 No.3

Flutter derivatives provide the basis of predicting the critical wind speed in flutter and buffeting analysis of long-span cable-supported bridges. In this paper, one popular stochastic system identification technique, covariance-driven Stochastic Subspace Identification(SSI in short), is firstly presented for estimation of the flutter derivatives of bridge decks from their random responses in turbulent flow. Secondly, wind tunnel tests of a streamlined thin plate model and a ${\Pi}$ type blunt bridge section model are conducted in turbulent flow and the flutter derivatives are determined by SSI. The flutter derivatives of the thin plate model identified by SSI are very comparable to those identified by the unifying least-square method and Theodorson's theoretical values. As to the ${\Pi}$ type section model, the effect of turbulence on aerodynamic damping seems to be somewhat notable, therefore perhaps the wind tunnel tests for flutter derivative estimation of those models with similar blunt sections should be conducted in turbulent flow.

An Empirical Study on the Lead-lag Relationship between Five-year Chinese Government Spot Bonds and Futures Markets

Rong-Yuan Qin,Ji-Hun Heo 한국무역연구원 2017 무역연구 Vol.13 No.1

This empirical study examines the short-term dynamic lead-lag relationship between five-year Chinese government bond futures index and its underlying spot index, using daily data from September 06, 2013 to August 31, 2016. We carry out unit root test, Johansen-Juselius cointegration test, Granger causality analysis, impulse response function analysis, and variance decomposition analysis. The empirical results of this paper reveal that five-year Chinese government bond futures and spot level variables are non-stationary time series data with unit root, but the first differences in the logarithm of the prices are stationary. As a result of the cointegration test, it was confirmed that there is no long-term equilibrium relationship between the two level variables (price). Lastly, the results of Granger causality, impulse response functions, and the variance decomposition analysis show that the returns of five-year Chinese government bond futures one-sidedly lead the underlying spot returns. This means that the five-year government bond futures market is more efficient in China. Also, these results are consistent with the results of previous studies, and are expected to be useful for traders, regulatory bodies and practitioners for several reasons, such as price discovery, hedging and arbitrage opportunities.

The Empirical Study on the Dynamic Relationship among Brent Oil Price, CSI 300 Stock-index Futures and Shenzhen Stock Market

Qin, Rong-Yuan,Yim Byungjin 아시아유럽미래학회 2013 유라시아연구 Vol.10 No.1

이 연구는 브랜트 유가의 변동이 중국 심천주가지수와 CSI 300 주가지수 선물에 미치는 영향에 관한 실증적 연구로 문헌적 연구방법과 실증적 연구방법을 사용하고 있다. 문헌적 연구방법을 통하여 경제변 수들간의 관계에 대한 기존 연구를 검토하였고, 시계열 자료라는 특성을 감한한 분석방법들을 살펴보았 다. 또한 실증적 연구방법을 사용하여 중국 심천지수 및 CSI 300 주가지수 선물과 브랜트 유가와의 관계 분석을 위해 사용한 자료는 2010년 4월 16일부터 2011년 8월 31일 까지 332개의 중국 심천지수 및 CSI 300 주가지수 선물과 브랜트 유가자료를 사용하였다. 연구방법론은 시계열의 안정성 여부의 판정을 위 한 단위근 검정과 변수간 장기적이고 안정적인 관계의 존재여부판정을 위한 공적분(cointegration)검정 이 있고 변수간 상호영향력 분석을 위한 VAR모형을 이용한 예측오차의 분산분해기법으로 연구를 하였 다. 이상의 모든 분석은 Eviews version 7.0을 통해 수행하였다. ADF 및 PP검정 모두에서 단위근이 존 재한다는 귀무가설을 1% 유의수준에서 기각하지 못하고 있다. 그러나 1차 차분(1st difference)한 데이 터에 대하여 1% 유의수준에서 단위근이 존재한다는 귀무가설이 기각되어, 원자료의 안정화를 위해선 1 차 차분이 필요하다는 것으로 나타났다. 따라서 본 연구에서는 중국 심천지수 및 CSI 300 주가지수 선물 과 브랜트 유가자료를 로그 차분하여 안정화시킨 후 분석에 이용하였다. 또한 시계열자료의 공적분 존재 여부를 판정하기 위하여 Johansen의 공적분검정을 수행하였다. 그 결과 유의수준 1%에서 공적분 검정 의 결과도 공적분 관계가 있는 것으로 나타났다. 유가의 상승은 비산유국들에게 경제적인 측면과 개인 생활 등 여러 측면에 영향을 미친다. 특히 경제 성장을 둔화시키고 물가상승률을 높임으로써 경제에 치명적으로 부정적인 영향을 미친다.유가가 상승하 면 소비와 투자, 경상수지흑자가 모두 감소하여 성장 둔화로 이어져 경제에 부정적인 영향을 미치게 된 다. 따라서 중국 주식시장의 지표인 중국 심천지수 및 CSI 300 주가지수 선물과 브랜트 유가의 두 금융지표간 인과 관계와 상호영향력을 살펴봄으로써 중국 주식시장이 어떻게 연계되어 있으며 그들 시장간 영향력의 정도를 분석하고자 한다. 본 연구의 중요한 결과들을 요약하면 다음과 같다. 첫째, 사용하여 중국 심천지수 및 CSI 300 주가지수 선물과 브랜트 유가자료의 원시계열자료에 대한 안정성검정 결과 불안정적인 것으로 나타났다. 둘째, 사용하여 중국 심천지수 및 CSI 300 주가지수 선물과 브랜트 유가자료의 1차 차분시계열자료에 안정성검정 결과는 모두 안정적임을 알 수 있었다. 셋째, 사용하여 중국 심천지수 및 CSI 300 주가지수 선물과 브랜트 유가간에는 공적분관계가 존재한다. Because of the oil prices boom in the recent years, a lot of interest in the relationship between oil prices, stock index futures, financial markets and the economy has been generated. There has been a good deal of literature of theoretical and empirical studies drawing attention on oil prices and stocks markets relationship. The objective of this paper is to discover if there exists a relationship among oil price, stock-index futures and stock markets. For this objective, we investigate empirically the time-varying dynamic relationship among Shenzhen composite index, CSI 300 stock-index futures and Brent oil price. The dataset consists of daily Shenzhen composite index, CSI 300 futures and Brent oil prices during from April 16, 2010 to August 31, 2011 covering 332 trading days. And we utilize unit root test, co-integration test and Granger causality model based on VAR and Johansen co-integration test. In this paper, the stationarity of the data series were checked employing ADF and PP tests, showing that the level variables are non-stationary but the differentiated data are stationary. And then we tested for the existence of co-integration, revealing the existence of cointegrating vectors among test variables. Moreover, the empirical results of these three variables are as follows: First, the short-term forecasting of the returns of current or future Shenzhen stocks CSI 300 futures cannot be improved by the movement of CSI 300 futures and vice verse. Second, the knowledge of recent Shenzhen stock index data has an effect on the short run forecasts of Brent oil prices, but the recent Brent oil price data does not increase or decrease the returns of Shenzhen stock. Third, the recent CSI 300 futures data leads the changes of Brent oil price but the recent Brent oil price data does not improve the current or future forecasting of CSI 300 futures. As a consequence, both Shenzhen stock index and CSI 300 futures affect Brent oil price and the influence from Shenzhen stock index to Brent oil price is stronger than that from CSI 300 futures to Brent oil price.

Electroacupuncture Promotes Neural Proliferation in Hippocampus of Perimenopausal Depression Rats via Wnt/β-Catenin Signaling Pathway

Qin Jing,Lu Ren,Xue Deng,Nan Zhang,Martin Fu,Ge Wang,Xi-Rong Jiang,Shu-Ru Lin,Cai-Rong Ming 사단법인약침학회 2020 Journal of Acupuncture & Meridian Studies Vol.13 No.3

Background and Objective: Perimenopausal depression is caused by the impaired function of the ovarium before menopause and with a series of symptoms. Electroacupuncture (EA) therapy has been demonstrated to improve clinically depression. However, the mechanism underlying its therapeutic activity remains unknown. This study aimed to investigat the effects of EA treatment on the hippocampal neural proliferation through Wnt signaling pathway. Methods: Chronic unpredictable mild stress (CUMS) combined with bilateral ovariectomy (OVX) were used to establish a rat model of perimenopausal depression. The open field test (OFT) and sucrose preference test (SPT) were used to assess depression-like behaviors in rats. ELISAs were used to measure estrogen (E2), luteinizing hormone (LH) and gonadotropin-releasing hormone (GnRH) levels in the serum. RT-PCR and Western blot assay were utilized for measuring the mRNA expressions and protein expressions of GSK-3β/β-catenin. Results: Four-week EA treatment at three points including “Shenshu” (BL23), “Baihui” (GV20) and “Sanyinjiao” (SP6) simultaneously ameliorated depression-like behaviors in rats with CUMS and OVX, whereas rescued the decreased serum level of E2 and prevented the increased serum levels of GnRH and LH. EA treatment ameliorated CUMS and OVX-induced alterations of glycogen synthase kinase-3b (GSK-3β) and β-catenin mRNA levels, β-catenin and phosphorylated β-catenin (p-β-catenin) protein levels. Conclusions: The results showed that EA treatment promoted hippocampal neural proliferation in perimenopausal depression rats via activating the Wnt/b-catenin signaling pathway, indicating that EA may represent an efficacious therapy for perimenopausal depression.

T-SPOT.TB for Detection of Tuberculosis Infection among Hematological Malignancy Patients and Hematopoietic Stem Cell Transplant Recipients

Qin, Li-Li,Wang, Qin-Rong,Wang, Qian,Yao, Hong,Wen, Li-Jun,Wu, Li-Li,Ping, Na-Na,Xie, Jun-Dan,Chen, Mei-Yu,Chen, Su-Ning Asian Pacific Journal of Cancer Prevention 2013 Asian Pacific journal of cancer prevention Vol.14 No.12

The diagnosis of latent Mycobacterium tuberculosis infection (LTBI) is recommended in hematological malignancy patients and before hematopoietic stem cell transplantation (Guidelines for the prevention and management of infectious complications of solid organ transplantation, 2004). Compared to traditional methods such as tuberculin skin test (TST), T-SPOT.TB has been shown to be more specific. In the present study we enrolled 536 patients for whom T-SPOT.TB was performed, among which 295 patients also received the TST test. The agreement (79%) between T-SPOT.TB and TST was poor (x=0.274, P<0.001). The patients with positive T-SPOT.TB results numbered 62 (11.6%), in which only 20 (48.8%) of the 41 receiving the TST test had positive results. A majority of the patients with T-SPOT.TB positive results had some other evidence ofTB, such as TB history, clinical symptoms and an abnormal chest CT scan. Active TB was found in 9 patients, in which 2 had negative TST results. We followed up the patients and no one developed active TB. Our study suggested that the T-SPOT.TB may be more useful for screening LTBI and active TB in hematological malignancy patients and hematopoietic stem cell transplant recipients than the TST test.

An Empirical Study on the Hedging Performance of the CSI 300 Stock Index and the CSI 300 Stock Index Futures

Rong-Yuan Qin,임병진 한국무역연구원 2015 무역연구 Vol.11 No.3

This paper is concerned with the hedging effectiveness of CSI 300 stock-index futures in the China spot market. Various models are used to estimate hedge ratio, namely simple ordinary least squares(OLS), vector error correction model(VECM) and a class of multivariate generalized autoregressive conditional heteroscedastic model (GARCH). The multivariate GARCH model can estimate the time varying hedge ratio whereas the other models give a constant hedge ratio. The data consists of CSI 300 index and its stock-index futures covering the period April 16, 2010 to January 18, 2013 with 669 observations. The hedge performance analysis was performed by out-of-sample. The hedging performance of the models may vary according to the hedge horizon. Therefore, this paper considered the hedging effectiveness of the three models described previously over daily, weekly and monthly horizons. In order to analyze the hedge performance using out-of-sample, the total sample was split into two sections. The first 601 observations were used to estimate the optimal hedge ratio providing 600 returns for each variable and the remaining 68 observations were utilized to check the efficiency of the estimated hedge ratio.Based on analysis of this study, the following conclusions have been drawn: First, the stationarity of the data series were checked using the Augmented Dickey Fuller (ADF) and Phillips and Perron (PP) tests. These results showed that the time series of variable level contain unit roots and were non-stationary, while the time series of first difference variables were stationary at 1% level. Second, the Johansen Co-integration model was applied to find out the co-integration between CSI 300 index and its stock-index futures. The results showed that the null hypothesis of no co-integration between test variables was rejected. Hence, it can be depicted that the variables exhibit a long-run association between each other. Third, the out-of-the-sample forecasts concluded that the VECM and GARCH (1, 1) models resulted to about the same performance of hedging effectiveness with higher percentage in variance reduction than OLS model. The CSI 300 stock-index futures contracts provide a reasonably high level of hedging effectiveness (i.e. 80%~96%) and it can be said that CSI 300 futures contracts provided useful risk management tool hedging and for portfolio diversification.

Some Motifs Were Important for Myostatin Transcriptional Regulation in Sheep (Ovis aries)

( Rong Du ),( Xiao Rong An ),( Yong Fu Chen ),( Jian Qin ) 생화학분자생물학회 2007 BMB Reports Vol.40 No.4

Oridonin Suppresses Proliferation of Human Ovarian Cancer Cells via Blockage of mTOR Signaling

Xia, Rong,Chen, Sun-Xiao,Qin, Qin,Chen, Yan,Zhang, Wei-Wei,Zhu, Rong-Rong,Deng, An-Mei Asian Pacific Journal of Cancer Prevention 2016 Asian Pacific journal of cancer prevention Vol.17 No.2

Oridonin, an ent-kaurane diterpenoid compound isolated from the traditional Chinese herb Rabdosia rubescens, has shown various pharmacological and physiological effects such as anti-tumor, anti-bacterial, and anti-inflammatory properties. However, the effect of oridonin on human ovarian cancer cell lines has not been determined. In this study, we demonstrated that oridonin inhibited ovarian cancer cell proliferation, migration and invasion in a dose-dependent manner. Furthermore, we showed oridonin inhibited tumor growth of ovarian cancer cells (SKOV3) in vivo. We then assessed mechanisms and found that oridonin specifically abrogated the phosphorylation/activation of mTOR signaling. In summary, our results indicate that oridonin is a potential inhibitor of ovarian cancer by blocking the mTOR signaling pathway.

Determination of flutter derivatives by stochastic subspace identification technique

Xian-rong Qin,Ming Gu 한국풍공학회 2004 Wind and Structures, An International Journal (WAS Vol.7 No.3