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주가지수 파생상품 만기가 기초자산 수익률 변동성에 미치는 영향에 대한 연구
유진 ( Jin Yoo ),정성원 ( Sungwon Chung ),권순채 ( Soonchae Kwon ) 한국재무관리학회 2015 財務管理硏究 Vol.32 No.2
본 연구는 KOSPI 200 선물 및 옵션의 만기일을 포함한 일정 기간의 주가지수 변동성이 이를 제외한 다른 거래일들의 변동성과 유의한 차이를 보이는지를 F-test 및 EGARCH 모형을 통해 실증분석하며, 또한 만기일을 전후하여 가격 역전 현상이 있는지를 Stoll and Whaley(1987)의 방법론을 이용하여 분석한다. 분석 결과 선물 만기일까지의 1주의 변동성, 그리고 선물 만기일 익일인 금요일까지 포함된 1주의 변동성이 이를 제외한 거래일들의 변동성보다 공히 1% 유의수준 하에서 더 크다고 추정되었다. 또 수익률의 조건부 변동성에 대한 EGARCH 모형을 통한 실증 분석 결과, 만기일 4일 전부터 만기일 익일까지 최장 6거래일간을 포함하여 5, 4, 3, 2일간의 각 기간에 걸쳐 유의수준 5% 하에서 높은 변동성이 확인되었다. 또한 선물 및 옵션의 만기일에 유의수준 10% 하에서 가격역전현상이 나타나는 것을 발견하였다. 본 연구는 14년 8월 동안의 장기 자료 및 최근 자료를 사용하여 검증의 신뢰성을 높였고, F-test와 EGARCH 모형을 사용하여 변동성과 조건부 변동성 검증을 모두 실행하였으며, 옵션 만기일과 선물 만기일이 겹치는 3, 6, 9, 12월을 제외한 옵션 만기(일)만의 효과를 추가적으로 분석하였고, 만기일 뿐 아니라 만기일 1주 전부터 만기일 익일까지를 포함하여 분석하는 등 실제 투자자와 시장의 행태를 반영하여 검증하였고 검증 결과 이러한 추가 분석의 필요성이 입증되었다는 점에서 연구의 의의를 찾을 수 있다. We examine whether the volatilities of the KOSPI 200 during a few subsets of days in the expiry week differ from those of their complementary sets, using both F-tests and EGARCH model. Our findings from the F-tests are as follows. First, the volatility of the index from Monday to Thursday, the expiration day, of the KOSPI 200 futures` and options` expiration week was higher than that on other days in the 1% and 5% significance level, respectively. Second, the volatility of the index from Monday to Friday, the next trading day of the expiration day, of the KOSPI 200 futures` expiration week was higher than that on other trading days in the 1% significance level. Meanwhile, our findings from the EGARCH(1,1) model is that the volatilities of the index during the consecutive two, three, four, five, and six days in the expiration week and the previous week were higher than those of other trading days in the 5% significance level. Also, the price reversal around expiation days was verified in the 10% significance level when the methodology from Stoll and Whaley (1987) was used. This implies that research on expiration day effects needs to be extended to a period such as one week containing an expiration day since traders can move before the expiration day is reached.
최원식(Wonsik Chio),박종민(Jongmin Park),권순구(Soongoo Kwon),정성원(Sungwon Chung),권순홍(Soonhong Kwon) 대한기계학회 2006 대한기계학회 춘추학술대회 Vol.2006 No.6
GFRP(glass fiber reinforced plastics) have lots of good points such as light weight, thermal resistance and strong mechanical characteristics. So GFRP is applied to so many industrial area. In this paper, the relationship between test conditions and surface roughness is examined from the drilling experiment, which is the drilling 1000rpm, 1400rpm, 1800rpm with φ 10㎜ of coated drill, HSS regular drill and EX-GDX drill. The results are analysed with consideration with test conditions and surface roughness according to drill types..
Characteristic of Friction on Texturing Bearing Steel with Ultrasonic Hole Machine
Mijung Shin(신미정),Angga Senoaji H,SoonHong Kwon(권순홍),SungWon Chung(정성원),SoonGoo Kwon(권순구),JongMin Park(박종민),JongSoon Kim(김종순),WonSik Choi(최원식) 한국트라이볼로지학회 2015 한국트라이볼로지학회지 (Tribol. Lubr.) Vol.31 No.1
We carry out experiments to characterize textured bearing steel with varying hole density and depth. Textured surface is believed to reduce the friction coefficient, and improve performance and wearing caused by third-body contact. We employ three lubrication regime conditions based on the Stribeck curve: boundary lubrication, mixed lubrication, and hydrodynamic lubrication. Ultrasonic machining is an untraditional machining method wherein abrasive grit particles are used. The hammering process on the work piece surface by abrasive provides the desired form. In this study, we create multi-holes on the bearing steel surface for texturing purposes. Holes are formed by an ultrasonic machine with a diameter of 0.534 mm and a depth of about 2-4 mm, and they are distributed on the contact surface with a density between 1.37-2.23%. The hole density over the surface area is an important factor affecting the friction. We test nine types of textured specimens using four times replication and compare them with the untextured specimen using graphs, as well as photographs taken using a scanning electron microscope. We use Analyzes variant in this experiment to find the correlation between each pair of treatments. Finally, we report the effect of hole density and depth on the friction coefficient.
Wonsik Choi(최원식),Pandu Sandi Pratama(프라타마 판두 산디),Destiani Supeno(수페노 데스티아니),Jaeyoung Byun(변재영),Ensuk Lee(이은숙),Jiung Yang(양지웅),Dimas Harris Sean Keefe(키프 디마스 하리스 신),Yeonho Jeon(전연호),Sungwon Chung(정성원) 한국산업융합학회 2018 한국산업융합학회 논문집 Vol.21 No.5
In this research, tricycle vehicle simulation based on multi-body environment has been introduced. Mathematical model of tricycle vehicle was developed. In this research the left and right wheel speed are calculated based on the rear steering angle and velocity. The kinematic model for the three - wheel drive system was completed and the results were analyzed using the actual vehicle drawings. Through simulink vehicle performance on linear and rotation movement were simulated. Using the mathematical model the control system can be applied directly to the tricycle vehicle. The simulation result shows that the proposed vehicle model is successfully represent the movement characteristics of the real vehicle. This model assists the vehicle developer to create the controller and understand the vehicle during the development process.