An Empirical Study on the Statistics Properties of Time Dependency using High-Frequency Data of KOSPI and KOSPI200 Futures

Cheoljun Eom,Daesung Jung,Seunghwan Kim 한국재무학회 2009 한국재무학회 학술대회 Vol.2009 No.05

본 연구의 목적은 한국 금융시장의 고빈도 자료를 이용한 시계열 속성 연구의 일환으로 검 증결과에 영향을 미칠 수 있는 수익률 측정기간단위에 따른 통계적 속성의 변화를 관찰하였다. 검증 대상은 한국 금융 시장을 대표하는 KOSPI와 KOSPI200 선물지수를 사용하였으며, 동일한 검증기간 2000년 5월 22일부터 2008년 4월 30일을 설정한 후, 수익률 측정기간단위를 변화에 따른 분포의 통계적 속성에 대한 분석을 실시하였다. 검증 결과를 살펴보면, 첫째, 수익률 측정기간단위 를 증가시킴에 따라서 수익률 분포의 중심부분을 나타내는 첨도는 지수적인 감소를 보였으며, 수 익률이 0인 지점의 확률은 점차 정규분포와 가까워졌다. 둘째, 분포의 꼬리 부분의 결과를 살펴보 면, 분포의 꼬리는 Levy 영역과 정규영역에서 벗어났다. 수익률 측정기간단위가 증가시킴에 따라 서 분포의 꼬리는 점점 얇아짐을 보였다. 셋째, 수익률과 변동성의 자기상관관계의 검증결과에서도 수익률 측정기간단위의 변화에 종속적인 구조를 가짐을 확인하였다. 결과를 정리해보면, 연구자의 필요에 의해서 결정되어지는 수익률 측정기간단위는 검증결과에 유 의적인 영향을 준다는 것을 실증적으로 확인하였다. 이러한 금융시계열자료의 통계적 성질변화는 수익률의 시간종속적인 구조에 기인한 것으로 시간속성의 영향요소에 대한 연구의 필요성을 시사 한다. We investigate the scaling behavior of the Korean financial market, this study examines the statistical properties of KOSPI and KOSPI200 Futures using methods including probability density function, cumulative distribution function, autocorrelation function, and conditional probability across time scales. This study confirms a few time dependent features of financial market: (1) the center part of the return distribution aggregating to that of Gaussian distribution, (2) the tail parts deviating from the Gaussian and the Levy distribution, (3) a short range correlation for returns and a long range correlation for absolute returns, and (4) volatility clustering.

Effective Portfolio Optimization Based on Random Matrix Theory

Cheoljun Eom,Woo-Sung Jung,Taisei Kaizoji,Yong H. Kim,Jongwon Park 한국재무학회 2009 한국재무학회 학술대회 Vol.2009 No.05

In this study, we investigate empirically whether the control of the correlation matrix via the random matrix theory (RMT) method can create a more efficient portfolio than the traditional Markowitz's model. The reasons for this improvement are also investigated. From the viewpoints of both the degree of efficiency and diversification, we find that the portfolio from the correlation matrix without the properties of the largest eigenvalue via the RMT method is more efficient than the one created from the conventional Markowitz’s model. Furthermore, we empirically confirm that the properties of the largest eigenvalue cause an increase in the value of the correlation matrix and a decrease in the degree of diversification, thus ultimately increasing the degree of portfolio risk. These results suggest that the properties of a market factor are negatively related to the degree of efficiency obtainable through the Markowitz's portfolio model. In addition, on the basis of the ex-ante test (using the expected stock returns and risk of the past period as well as actual data in the future period) we find that the performance of the observed RMT-based efficient portfolio is superior to that of the portfolio from Markowitz's model. These results demonstrate that the improvement of Markowitz's portfolio model via the control of the correlation matrix can be a source of significant practical utility.

Topological Properties of a Minimal Spanning Tree in the Korean and the American Stock Markets

Cheoljun Eom,Gabjin Oh,Seunghwan Kim 한국물리학회 2007 THE JOURNAL OF THE KOREAN PHYSICAL SOCIETY Vol.51 No.II

By using individual stock data listed on the $S\&P500$ and the KOSPI, we investigate a factor that can affect the number of links of a specific stock in a network between stocks created by the minimal spanning tree (MST) method. Among the common factors mentioned in the arbitrage pricing model (APM), widely acknowledged in the financial field, the representative market index is established as a possible factor. We found that the correlation distribution, $\rho_{ij}$, of 400 stocks taken from the $S\&P$500 index was very similar to that of the Korean stock market and that those deviated from the correlation distribution of a time series with a nonlinearity removed by using a surrogate method. We also shows that the degree distribution in the network between stocks obtained by using the MST method for both stock markets follows a power-law distribution with an exponent $\zeta_{S\&P500, KOSPI} \sim$ 2.1 while the degree distribution of the time series with nonlinearity eliminated follows an exponential distribution with an exponent $\delta_{S\&P500(surrogate), KOSPI(surrogate)} \sim 0.77$. Furthermore, the correlation, $\rho_{iM}$, between the degree k of individual stocks and the market index for both the stock markets is positively related to the degree k. Thus, regardless of the market, individual stocks closely related to a common factor in the market, the market index, are likely to be located around the center of the network between stocks while those weakly related to the market index are likely to be placed outside.

Green Tea Extract Exhibits Antidiabetic Effects Partly Through Regulating Dipeptidyl Peptidase-4 Expression in Adipose Tissue

Cheoljun Choi,Juhyeong Han,Yeonho Son,Sungug Joo,Yun-Hee Lee 한국식품영양과학회 2022 한국식품영양과학회 학술대회발표집 Vol.2022 No.10

Short-term idiosyncratic momentum in cross-sectional stock returns : Empirical evidence

Cheoljun EOM 한국재무학회 2023 한국재무학회 학술대회 Vol.2023 No.11

This study uncovers short-term idiosyncratic momentum (SIMOM) in cross-sectional stock returns. SIMOM utilizes the daily residuals estimated by the pricing models for the previous month. This differs from idiosyncratic volatility (IVOL) and short-term reversals (SREV) in the same previous month. SIMOM exhibits persistently significant positive performance until the next eight months and has unique information that cannot be explained by known factor premiums or firm-specific variables. Institutional and foreign investors who focus on public market information tend to underreact to high SIMOM stocks, leading to over-selling trading. . Individual investors who prioritize firm-specific information seem to use high SIMOM stocks as a profitable strategy. There is a strong negative relationship, exceeding 95%, between the performance of SIMOM and IVOL in terms of their predictive power for expected returns; that is, the existence of a significant positive SIMOM implies the existence of a significant negative IVOL, and vice versa. Therefore, this finding is expected to lead to further studies that verify SIMOM and provide new insights into the IVOL puzzle and individual investors’ trading behavior.

Risk Characteristic on Fat-tails of Return Distribution: An Evidence of the Korean Stock Market

Cheoljun Eom 강원대학교 경영경제연구소 2020 Asia-Pacific Journal of Business Vol.11 No.4

Purpose - This study empirically investigates whether the risk property included in fat-tails of return distributions is systematic or unsystematic based on the devised statistical methods. Design/methodology/approach - This study devised empirical designs based on two traditional methods: principal component analysis (PCA) and the testing method of portfolio diversification effect. The fatness of the tails in return distributions is quantitatively measured by statistical probability. Findings - According to the results, the risk property in the fat-tails of return distributions has the economic meanings of eigenvalues having a value greater than 1 through PCA, and also systematic risk that cannot be removed through portfolio diversification. In other words, the fat-tails of return distributions have the properties of the common factors, which may explain the changes of stock returns. Meanwhile, the fatness of the tails in the portfolio return distributions shows the asymmetric relationship of common factors on the tails of return distributions. The negative tail in the portfolio return distribution has a much closer relation with the property of common factors, compared to the positive tail. Research implications or Originality - This empirical evidence may complement the existing studies related to tail risk which is utilized in pricing models as a common factor.

Investor Attention, Firm-Specific Returns, and Momentum in the Korean Stock Markets

Cheoljun EOM,Jong Won PARK 한국재무학회 2019 한국재무학회 학술대회 Vol.2019 No.11

본 연구는 투자자관심과 기업고유요인이 한국주식시장에서 확인되는 음(-)의 모멘텀 이익에 어떤 영향을 미치는지를 분석한다. 이를 위해 투자자관심을 대리하는 거래량회전율 정도에 따 라 주식집단을 분류하고 공통요인과 기업고유요인의 특성을 담는 수익률자료를 구성하여 포트 폴리오와 개별주식 차원에서 검증한다. 주요검증결과는, 첫째, 투자자관심이 높은 주식집단이 낮은 집단에 비해 보다 유의한 음(-)의 모멘텀 이익을 갖는다. 둘째, 음(-)의 모멘텀 이익은 미래기간에 패자포트폴리오(승자포트폴리오가 아닌)의 성과가 반전하는 특성에 지배적으로 의 존한다. 셋째, 음(-)의 모멘텀 이익은 공통요인의 속성 보다는 개별기업의 고유요인 속성에 보 다 큰 영향을 받는다. 한편, 투자자관심과 함께 모멘텀 현상에 유의한 영향을 미치는 것으로 알려진 작은 기업규모와 낮은 장부-시장가치 비율을 갖는 주식집단에서도 역시 유의한 음(-) 의 모멘텀 이익이 나타난다. 이러한 결과는 포트폴리오 구성방법이나 하위기간 이동방법의 실 증설계 변경, 그리고 주식시장의 변동 상황에 관계없이 일관되게 나타나는 결과이다.

Effects of the Fat-Tail Distribution on the Relationship between Prospect Theory Value and Expected Return

Cheoljun EOM,Jong Won PARK 한국재무학회 2019 한국재무학회 학술대회 Vol.2019 No.05

This study investigates the negative relationship between prospect theory value and expected return considering the fat-tail property of the return distribution. The results of both decile portfolio and crosssectional regression show evidence supporting the hypothesis related to prospect theory value. However, these results are very sensitive to whether the model includes a short-term reversal factor. In the empirical design combining the hypothesis with the degree of fat-tail of the return distribution, stock groups with the fat-tail return distribution definitely show that prospect theory value has a significant information value for explaining expected return, regardless of whether the short-term reversal and other factors are included in the models. These results suggest that both the fat-tail property in the stock return distribution and the property of the skewed return distribution must be considered in examining the relationship between prospect theory value and expected return. Furthermore, our findings on the effects of the fat-tail property of the return distribution are verified through robustness testing while considering changes in empirical design and using out-of-sample stock markets of the U.S., Japan, and China, as well as the in-sample Korean stock market.

Metarhizium anisopliae for the simultaneous control of Aedes albopictus and Culex pipiens mosquito adults with high conidia persistence and productivity

CheolJune Choi,JinYong Lee,JunSu Bae,Hyun Soo Kim,Yong Kim,TaeHee Kim,WonSeok Gwak,SooDong Woo 한국응용곤충학회 2019 한국응용곤충학회 학술대회논문집 Vol.2019 No.10

횡단면 주식가격오류와 고유변동성 : 새로운 접근법

엄철준(Cheoljun Eom) 한국증권학회 2018 한국증권학회지 Vol.47 No.3

본 연구는 유가증권 및 코스닥시장의 개별주식들을 이용하여 가격오류와 재정거래 비대칭성의 결합에 의한 고유변동성 수수께끼의 유의적 설명을 조사한다. 이를 위해 횡단면 가격오류 단일측정치를 새롭게 고안하고, 과대평가 및 과소평가 주식집단을 분류한다. 주요 검증결과는 다음과 같다. 통계적 가설검증을 통해 가격오류 측정치는 과대평가된 주식들과 과소평가된 주식들의 유의적 분류능력을 갖는다는 것을 확인했다. 한국주식시장에서 관찰된 고유변동성 수수께끼는 가격오류 집단구분에 직접적으로 영향을 받고, 그 원인은 재정거래 비대칭성에 근거한 설명이 가능하다. 즉, 고유변동성과 기대수익률간의 음(-)의 관계는 과대평가 주식집단에서 유의적인 강한 증거를 보이지만, 과소평가 주식집단에서는 유의적인 고유변동성 효과를 확인할 수 없다. 최근 가격오류와 재정거래 비대칭성의 결합을 통해 기대수익률 불균형 존재에 대한 설명력 개선의 연구동향에 비추어 볼 때, 본 연구에서 고안한 가격오류 단일측정치는 기대수익률의 불균형 존재를 관찰하는데 유용할 것으로 기대한다. This study investigates empirical evidence for a possible explanation of the idiosyncratic volatility puzzle by combining stock mispricing and arbitrage asymmetry using stock returns traded in KOSPI and KOSDAQ. For this purpose, a measure of cross-section mispricing is devised and two groups are categorized consisting respectively of overvalued and undervalued stocks. The main study results are as follows. Through statistical hypothesis testing, it is empirically proven that the devised method has a significant ability to classify overvalued and undervalued stocks using historical stock returns. The idiosyncratic puzzle observed in the Korean stock market is directly affected by mispricing groups, and the cause can be explained based on arbitrage asymmetry. In other words, the negative relationship between idiosyncratic volatility and expected return shows much stronger evidence in the group of overvalued stocks; however, this evidence is not confirmed in the group of undervalued stocks. These are not explained in the risk and return relations of traditional financial theory, but are explained on the basis of arbitrage asymmetry. In recent research trends to improve the explanatory power of expected returns’ anomalies based on the combination between mispricing and arbitrage asymmetry, the devised method that can determine the degree of mispricing is expected to be useful when observing anomalies of expected returns.