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김석진(Seok-Chin Kim),임정대(Jeong-Dae Yim),주초(Chou Zhou) 한국무역연구원 2017 貿易 硏究 Vol.13 No.1
Using the Brown and Warner (1985) and Kolari and Pynnenon (2011)’s methodologies, we examine the announcement effects of mergers and acquisitions (M&A) categorized by the payment methods. The sample data consist of 381 acquiring firms listed in Sanghai Stock Exchange over the period 2004-2013. Main results are as follows: First, acquiring firms receive significantly positive average abnormal returns (AR) from day -2 to 0. Second, in the cash payment sample, significantly positive AR are found for the event window of (-3,0), while AR for that of (-1, +1) are detected in the non-cash payment sample. Third, when the non-cash payment sample is further divided, significantly positive AR are found for the event window of (-1, 0) in the stock and mixed payment sub-samples, while AR are not found in the asset payment subsample. Unlike prior studies, cumulative abnormal returns (CAR) of the stock payment are significantly positive and higher than those of other payments in the Chinese stock market.
김석진 ( Seok Chin Kim ),황종식 ( Jong Sik Hwang ),도영호 ( Young Ho Do ) 한국생산성학회 2011 生産性論集 Vol.25 No.2
This paper investigates arbitrage opportunities and market efficiency by examining the put-call parity (hereafter PCP) in KOSPI 200 options market. The sample period is from January 2, 2001 to December 30, 2008. Interestingly, put premiums tend to be overvalued. Mispricing of OTM is larger than that of ITM or ATM. Overall, PCP does not hold in KOSPI 200 options market. It implies inefficiency of KOSPI 200 options market so that it is possible to make arbitrage profits by exploiting the violation of PCP. Finally, we regress the model to find an evidence on the relationship between the arbitrage profit and the underlying features such as maturity and moneyness. The maturity and moneyness positively affect the arbitrage profit in full and sub-sample periods.
김석진 ( Seok Chin Kim ),포영영 ( Ying Ying Bao ),도영호 ( Young Ho Do ) 한국재무관리학회 2011 財務管理硏究 Vol.28 No.2
본 논문은 1999년 1월 4일부터 2008년 3월 31일까지 한국 KOSPI, 중국 SSEC 지수, 그리고 미국 S&P 500 지수 각각 2,071개 주가지수 자료를 가지고 삼변량 GJR-GARCH 모형을 사용하여 주식시장 간 정보 이전효과를 살펴보았다. 세 수준변수 모두 단위근이 존재하였으나, 1차 차분한 수익률변수는 안정적인 시계열자료였다. 그리고 세 변수에서 비대칭성이 존재하였다. 삼변량 GJR-GARCH 모형의 평균방정식 분석결과, 한국과 중국 주식시장은 미국 주식시장에 영향을 미치지 않았다. 하지만 미국 주식시장은 한국과 중국 주식시장에 양(+)의 영향을 미쳤다. 그리고 중국 주식시장은 한국 주식시장에 음(-)의 영향, 한국 주식시장은 중국 주식시장에 양(+)의 영향을 미쳤다. 그러므로 미국 주식시장에서 한국과 중국 주식시장으로, 한국과 중국 주식시장간에 수익률 이전효과가 존재하였다. 2005년 이후 기간에는, 중국 주식시장에 미치는 한국 주식시장의 영향은 사라졌고 미국 주식시장의 영향은 뚜렷하였다. 분산방정식 분석결과, 호재와 악재에 대해 모두 유의하게 반응하였다. 한국과 중국 주식시장은 모두 비대칭성이 존재하며, 호재보다 악재에 더 민감하게 반응하였다. 한국과 중국 주식시장에 일어난 예측치 못한 충격은 미국 주식시장의 변동성에 양(+)의 영향을 미쳤다. 또한 미국 주식시장에 일어난 예측치 못한 충격도 한국 주식시장의 변동성에 양(+)의 영향을 미쳤고, 한국 주식시장에 일어난 예측치 못한 충격은 중국 주식시장의 변동성에 음(-)의 영향을 미쳤다. 이 결과는 한국과 미국 주식시장 간에, 한국 주식시장에서 중국 주식시장으로, 중국 주식시장에서 미국 주식시장으로 변동성 전이효과가 존재한다는 것을 의미한다. 후기 분석결과, 전체적으로 전기보다 변동성 전이효과가 활발하게 이루어지고 있음을 발견하였다. This paper examines the co-movements among the Korean, Chinese, and American stock markets. We apply the trivariate GJR-GARCH model using 2,071 daily data of each country for Korean KOSPI, Chinese SSEC, and American S&P 500 indices from January 1, 1999 to March 31, 2008. In the augmented Dickey-Fuller test and Phillips-Perron test, three indices are non-stationary, whereas return series are stationary. Asymmetric effects on volatility exist in all three variables. Analytical results of mean equations show that the American stock market has positive influence on the Korean market but the Chinese market has negative one. Moreover, both the American and the Korean stock markets have positive influence on the Chinese stock market. Yet, both the Korean and the Chinese stock markets have no influence on the American stock market. Therefore, return effects transfer from the Korean and the Chinese stock market, from the Chinese and the Korean stock market, and from the American to the Korean and Chinese stock markets. Since 2005, however, the transfer effect from the Korean to the Chinese stock market disappears, while the American influence gets more apparent. In addition, the unexpected shock from the Korean and the Chinese stock markets has positive influence on the conditional volatility of the American stock market in the results of variance equations. And the unexpected shock from the American stock market has positive influence on the Korean stock market. However, the unexpected shock from the Korean stock market has negative influence on the Chinese stock market. These results indicate that there are volatility spillover effects from the American to the Korean stock market, from the Korean to the Chinese and American stock market, and from the Chinese to the American stock market.
김석진 ( Seok Chin Kim ),변현수 ( Hyun Soo Byun ) 한국재무관리학회 2003 財務管理硏究 Vol.20 No.1
We investigate long-run relationships between industry relatedness, operating performance, and stock performance after equity carve-outs(CEO). For homo-industry CEOs, 12-month CAR of subsidiary firms is 26.52% and significantly positive at the 5% level and BHAR is 22.19%. For hetero-industry CEOs, subsidiary 12-month CAR and BHAR are 35.14% and 39.64%, respectively, which are significant at the 1% level. On the other hand, long-run performance of parent firms is insignificant for any sub-sample. Excess operating performance of subsidiaries is significantly positive at the first year and insignificant thereafter. The lower the offering ratio is and the better the operating performance is, the better the subsidiary stock performance is. Unlike IPOs and CEOs, shareholders of subsidiaries benefit from ECOs and parent stocks do not under perform. Hetero-industry CEOs improving corporate focus are more effective restructurings than homo-industry CEOs.
김석진(Seok Chin Kim),노경석(Kyung Seok Roh) 한국경영학회 2000 經營學硏究 Vol.29 No.2
This study investigates the price response of parent shares to equity carve-outs(ECOs) occurred from 1987 to 1996 in the Korean stock market. Our empirical analysis shows that parent shareholders earn the significant cumulative average abnormal return(CAAR) of +0.65%, on average, during the event window(0 day, +1 day). However. CAAR is -0.23% for homo-industry ECOs, whereas CAAR is +1.00% for hetero-industry ECOs. When we partition the sample into dominance ECOs and non-dominance ECOs, both groups earn positive CAAR during the event window, but CHAR of non-dominance ECOs, where the fraction of equity retained by the parent is no more than 50%, is negative thereafter. Regression analyses report that parent return on assets affects parent CAAR of the event window significantly negatively for the whole sample, and parent leverage influences it significantly negatively only for hetero-industry ECOs. On the other hand, subsidiary leverage has a significant positive relationship with parent CAAR of the event window for the whole sample, and fraction of equity retained by the parent has a significant positive impact on it for homo-industry ECOs. In sum, the effect of ECOs is existent but inconsistent in the Korean market. However. the fact that homo-industry ECOs result in a negative impact and hetero-industry ECOs bring a positive influence on parent shares suggests useful implications about industrial policy or restructuring.