우리나라 콜시장에서의 유동성 효과: 공개시장조작 자료를 이용한 분석

권태용 ( Tae Yong Kwon ),강영관 ( Young Kwan Kang ) 한국금융학회 2008 금융연구 Vol.22 No.1

본 논문에서는 2006년 1월 9일~2007년 10월 22일 동안의 콜금리와 한국은행의 일별 지급준비금 자료를 이용하여 우리나라 콜시장에서의 유동성 효과를 분석하였다. EGARCH 모형을 이용한 분석결과는 다음과 같다. 첫째, 우리나라에서는 지급준비금 적립 마감 1~4일을 제외하고는 지준적립기간 중의 대부분의 날에서 유동성 효과가 발견되지 않았다. 특히 미국이나 일본과 달리 지준마감일에 유동성 효과가 크지 않았는데, 이는 한국은행이 과거 지준마감일에 예금은행의 지준과부족을 시장금리와 큰 차이가 없는 금리수준에서 해소해 주던 유동성 조절 관행 때문이라고 판단된다. 둘째, 2006년 11월 23일 지준율 인상 발표 이후 유동성 효과가 그 이전 기간 보다 커졌다. 이는 한국은행의 공개시장조작이 지준율 인상 발표 이후에는 시장개입 빈도를 줄이고 지준마감일에는 시장금리보다 높거나 낮은 금리로 지준과부족을 해소하는 방식으로 변경된 데 기인하는 것으로 보인다. 셋째, 한국은행의 공개시장조작이나 외생적 요인에 의한 지급준비금 변동에 대하여 현행 통화정책 운용목표인 콜금리보다 국내은행의 콜차입금리가 더 민감하게 반응하는 것으로 나타났다. 이는 현행 운용목표인 콜금리가 은행 뿐 아니라 지준 적립의무가 없는 제2금융권의 거래량과 거래금리까지 가중평균하기 때문인 것으로 분석된다. 넷째, 지급준비금의 증가와 감소가 각각 콜금리에 미치는 효과가 비대칭적이었는데 이는 은행들이 지급준비금이 부족할 때 처할 수 있는 평판 손상(stigma)을 회피하기 때문인 것으로 보인다. There seems to be a consensus among financial market participants in Korea that as the overnight call rate has been almost fixed at the target level, regardless of liquidity supply and demand conditions in the money market, its functions of market information signaling and liquidity allocation have greatly weakened. Also, restricted volatility of the call rate has led to an over-concentration of short-term funds in the overnight call market and the drying-up of term transactions in the money market. Accordingly, the transmission channel running from the call rate to short-term interest rates and long-term interest rates has not been able to function properly. Considering the drawbacks in the call rate targeting framework, the Bank of Korea (BOK) has recently reformed its monetary policy operational framework. This reform includes the change of the policy rate from the call rate to the BOK`s Base Rate applied to transactions between it and financial institutions, the regularization of open market operations and the introduction of standing facilities. In order to empirically verify this consensus by estimating the liquidity effect in the Korean call market, we use the daily aggregate level of reserves calculated by the Bank of Korea while preparing open market operations during January 2006~October 2007. We apply the EGARCH model to estimate the liquidity effect. Our key findings are as follows. First, unlike in other overnight inter-bank markets in foreign countries, we cannot find a liquidity effect on most days of the reserve maintenance period except during the one-to four-day period before settlement day (the end day of the maintenance period). Particularly, there is only a very weak liquidity effect even on settlement day - unlike the case in inter-bank markets in most foreign countries, where it is strong. This may be attributed to the BOK`s liquidity management practice of absorbing excess liquidity or supplementing for liquidity shortages at the market rate on settlement day. In addition, the higher aggregate level of reserve balances in comparison with settlement demand in the banking system is associated with the smaller liquidity effect in the Korean call market. These factors have contributed to the fixedness of the call rate. Second, we find that since the announcement of the increase in reserve requirements in November 2006, the liquidity effect has become stronger than before. This is because the BOK has changed its method of liquidity management to encourage banks to adjust their reserves in more moderate ways. The BOK has minimized liquidity adjustments on settlement day and reduced the number of market interventions during the maintenance period. This has led banks to pay more attention to changes in the aggregate level of reserves than before. In this sense, the BOK`s new framework, which has less frequent but more regular market intervention, is expected to alleviate the fixedness of the call rate. Third, what we refer to as "the banks` call rate," calculated based on the rates quoted by commercial banks only, responds more sensitively to a change in reserves than the overall call rate (the BOK`s operating target and policy rate), which weighs the rates quoted by all participants in the call market. This may be attributed to the fact that call loan volume and interest rate have been dominated by asset management companies, which are under no reserve requirement obligation. This means that the BOK`s operating target might not significantly represent changes in demand and supply in the reserve market. Finally, the banks` call rate responds more sensitively to the impact of a reserve decrease than to that of a reserve increase. This asymmetric response of the banks` call rate to a reserve change reflects the fact that most banks try to avoid the stigma attached to a bank that is short of reserves. This finding indicates that the banks may be reluctant to use the BOK`s newly introduced lending facility.

계약해제의 효과와 그 법적 성질에 대한 검토- 비소급채권적효과설

오시영 한국민사법학회 2012 民事法學 Vol.58 No.-

There are conflicting theories on the legal nature of contract cancellation, such as the theory of direct effect, the theory of indirect effect, the theory of liquidation relation, and eclecticism. When the civil code was being established in Germany, German legislators considered how to deal with the legal effects of introducing contract cancellation to civil law. It can be seen in the statement of reasons for the legislation that they initially favored the theory of indirect effect, changed to eclecticism during the deliberation process, and then in the final settlement process changed to the theory of direct effect. Afterwards, during the process of establishing the national assembly, it was reasoned that the effects of contract cancellation were difficult to codify and their interpretation would be left to theories and precedents. Legislators focused instead on obligations for restoration, which could be regarded as the practical effects of contract cancellation, and achieved a legislative compromise of codifying those obligations. As a result, in Japan, which inherited the German civil code, Japanese legislators also preferred the theory of direct effect but are now gradually switching to the theory of liquidation relation, a phenomenon that is occurring in Korea as well. In the personal view of this writer, however,each of the above approaches has its own set of problems. Accordingly,the writer purposes to argue a new view that an original contract which has been cancelled loses its efficacy for the future and the obligations for restoration should appropriately be viewed as a special act of claim for restitution of unjust enrichment in other words, a theory of the effect of non-retroactive bond. According to this view, it can be judged that the intent of the parties regarding contract cancellation, or the cessation of obligation to perform the parts of a contract not yet performed due to its lapse, is recognized, and the basis of the claim for restitution of unjust enrichment regarding the parts that have already been executed and the basis of liability for damages that have actually occurred are also properly recognized.

유동성과 디스포지션 효과 간의 관계에 관한 연구

김소명,옥기율 한국재무관리학회 2023 財務管理硏究 Vol.40 No.6

This study investigates the relationship between the disposition effect and liquidity in the Korean stock markets. The disposition effect refers to investors exhibiting irrational behavior, having a risk-seeking tendency for assets in the loss area, and a risk-averse tendency for assets in the profit area. In this research, we use liquidity to examine the presence of the disposition effect in both the KOSPI market and the KOSDAQ market. According to the research findings, the disposition effect occurs throughout the KOSPI market, indicating that investors tend to exhibit this behavior in various situations. However, in the KOSDAQ market, the disposition effect is not significantly observed. Notably, our study reveals a commonality in both markets, where extremely low liquidity mitigates the disposition effect. On the other hand, in assets with extremely high liquidity, both the KOSPI and KOSDAQ markets exhibit significant disposition effects. It is observed that very low liquidity, especially for assets incurring losses, leads investors to adopt a risk-averse stance, thereby weakening the disposition effect. We emphasize that the disposition effect manifests differently from advanced markets when considering illiquidity measurements. Furthermore, through empirical analysis, we confirm that investors’ risk preferences can change in the domain of unrealized capital losses and suggest implications that take into account illiquidity measurements as a determining factor. Based on the latest data, this study thoroughly examines the disposition effect and investor risk preferences in the KOSPI and KOSDAQ markets, providing valuable insights for the relevant field. 본 연구는 한국 주식시장에서 디스포지션 효과와 유동성 간의 관계를 조사한다. 디스포지션 효과는 투자자들이 비합리적인 행동을 보여 손실의 자산에 대해서는 위험선호적인 성향을 가지고, 이익의 자산에 대해서는 위험회피적인 성향을 가지는 것을 의미한다. 본 연구에서는 유동성을 이용하여 유가증권시장과 코스닥 시장에서 디스포지션 효과의 존재 유무를 확인한다. 연구 결과에 따르면, 유가증권시장에서는 시장 전반에 걸쳐 디스포지션 효과가 발생한다. 반면, 코스닥 시장에서는 디스포지션 효과가 유의하게 나타나지 않는다. 유동성을 기반으로 유가증권시장과 코스딕시장에서 디스포지션 효과를 면밀히 조사한 결과, 유동성이 극단적으로 낮은 자산에서 디스포지션 효과를 약화시키는 현상이 발생한다는 공통점을 발견한다. 반면, 유동성이 극단적으로 높은 자산에서는 유가증권시장과 코스닥시장 모두 유의한 디스포지션 효과가 발생한다. 유동성이 매우 낮으며, 손실의 영역에 속한 자산에 대해서는 투자자가 위험회피적인 성향을 가져 디스포지션 효과가 약화됨을 발견한다. 우리는 비유동성 측정을 통해 디스포지션 효과가 선진시장과는 다른 양상을 보인다는 점에 주목한다. 또한, 실증분석을 통해 투자자의 위험성향이 미실현 자본손실의 영역에서 변화할 수 있음을 확인하고, 이를 결정짓는 요인 중 비유동성 측정치를 고려하는 시사점을 제시한다. 최신의 자료를 바탕으로 유가증권시장과 코스닥시장에서 디스포지션 효과와 투자자의 위험성향을 철저히 조사하여 관련 분야에 유용한 정보를 제공한다.

Liquidity Risk and Expected Stock Returns in Korea : A New Approach

Jeewon Jang,Jangkoo Kang,Changjun Lee 한국재무학회 2012 한국재무학회 학술대회 Vol.2012 No.05

We propose a simple way to capture the multidimensionality of liquidity. Our analysis indicates that existing liquidity measures have considerable asset specific components, which justifies our new approach. Constructing a two-factor model with the market and liquidity factor proposed in this paper, we find that our two-factor model well explains the cross-section of stock returns in Korea during 1987~2010, describing the liquidity premium, size and value effects that the CAPM and Fama-French three-factor model fail to explain. Our results also show that the role of liquidity risk on expected stock returns is especially pronounced during the post-Asian financial crisis period.

Corporate Liquidity Risk: A Case Study on the Evergrande Group in China

Wenxuan Gao(Wenxuan Gao) 아시아무역학회 2022 Journal of Asia Trade and Business Vol.9 No.2

Purpose - Given that China Evergrande Group has recently been caught in a liquidity risk, the purpose of this study is to identify and assess its liquidity using traditional financial indexes. We analyze the reasons for the liquidity risk exposures, so as to provide practical implications for real estate companies. Design/Methodology/Approach - This study combines the principal-agent and the trade-off theories in order to analyze China Evergrande Group’s exposure to liquidity risk under the leverage effect. In addition, China Evergrande Group’s financial position is analyzed in depth, and its liquidity risk is defined and identified. Findings - The results show that under the high leverage effect, the company suffers from a high liquidity risk, and eventually falls into a financial crisis due to the shortage of cash for short-term debt accumulated in previous periods, and the long delay in returns on property sales. Research Implications - This study provides a new perspective for debt research by examining the leverage and liquidity risk of real estate-related enterprises. During the golden era of the real estate industry, real estate enterprises should uphold the principle of moderation in debt management, make reasonable use of financial leverage, clarify the strategic goal of diversification, and avoid credit risk.

The turn-of-the-month effect and investor trading activities in the KOSDAQ stock market

( Ryumi Kim ) 한국파생상품학회 2022 선물연구 Vol.30 No.4

The turn-of-the-month (TOM) effect is observed as one of the seasonalities in many markets. The author examines the TOM effect in the KOSDAQ market and finds that the effect is significant. The TOM effect in the KOSDAQ market is not due to size, turn-of-the-year, turn-of-the-quarter or index rebalancing effect. The author also finds that individual and institutional traders do not trade and buy more stocks at the TOM than on the rest days, not consistent with existing explanations of the increased liquidity by individual investors or institutional window-dressing activity. When the author investigated the net buying volume and net turnover of each investor, the net volume and turnover of individual investors at the TOM were significantly lower than those on the other days, rejecting the hypothesis of their increased demand. Interestingly, net foreign volumes at the TOM are significantly higher than on the other days. Finally, using panel regressions, the author finds that stocks with a higher net buying volume of foreigners for theTOMperiod tend to have higher returns, while stocks with a higher net buying volume of individual traders for the TOM period are likely to have lower returns. The results confirm that the TOM effect is not due to the increased demand of individual investors. Instead, higher net buying volume by foreigners may partially cause the TOM effect. Therefore, this study contributes to the literature by revealing the presence of theTOMeffect in the KOSDAQmarket and the foreign role in the anomaly in the market even mainly traded by retail investors.

Empirical model for predicting the dehumidification effectiveness of a liquid desiccant system

Park, Joon-Young,Yoon, Dong-Seop,Lee, Sung-Joon,Jeong, Jae-Weon Elsevier 2016 Energy and buildings Vol.126 No.-

<P><B>Abstract</B></P> <P>The main purpose of this research was to propose a practical correlation for predicting the dehumidification effectiveness of a liquid desiccant (LD) system. The experimental data were collected during the operation of a typical liquid desiccant dehumidification unit. A lithium chloride (LiCl) solution was used as the liquid desiccant solution. The 2000m3/h LD unit was installed in a real building, and the variation of the dehumidification effectiveness values was monitored under various operating conditions. The data were statistically analyzed by the response surface methodology (RSM), and the impact of each system operation parameter on the dehumidification effectiveness was estimated quantitatively. Six operating parameters – the mass flow rate of process air, the mass flow rate of the desiccant solution, the dry-bulb temperature and the humidity ratio of the inlet air, and the inlet temperature and concentration of the desiccant solution – significantly affected the dehumidification performance of the LD unit. Consequently, a simplified linear equation model was derived as a function of the operation parameters that significantly impacted the dehumidification effectiveness. The proposed model was verified by comparison with existing models.</P> <P><B>Highlights</B></P> <P> <UL> <LI> An empirical model of an absorber in a liquid desiccant system was proposed. </LI> <LI> The experimental data were obtained from liquid desiccant system operation. </LI> <LI> Proposed model was verified by comparing with existing models. </LI> </UL> </P>

화장품 산업의 액정기술과 피부보습효과

김인영 ( In-young Kim ),조춘구 ( Choon-koo Zhoh ),유희창 ( Hee Chang Ryoo ) 대한화장품학회 2004 대한화장품학회지 Vol.30 No.2

본 연구는 화장품에서 사용되는 액정기술에 대하여 기술하였다. 액정이란 고체와 액체의 중간 상태에 존재하는 다양한 형태의 구조를 액정이라 한다. 계면활성제의 높은 농도에서 여러 가지 액정 상이 형성된다. 결정과 같이 분자배열이 규칙적이지는 않지만, 액체 상보다는 비교적 규칙적인 상태를 액정 또는 메조페이스(meso-phase)라고도 말한다. 일반적으로 화장품에서의 액정기술의 종류, 새로운 액정기술에 대하여 설명하였으며, 액정을 만드는 방법에 대하여도 자세히 기술하였다. 특히, 액정을 형성하기 위한 특별한 유화제의 종류에 대하여도 소개하였다 액정을 형성하기 위한 대표적인 원료는 수소첨가 레시친, 세라마이드, 디팔미토일하이드록시프롤린, DEA-세틸포스페이트, 제미니형 계면활성제가 있다. 액정의 형성을 관찰하기 위하여 편광 현미경을 사용하였으며, 가장 잘 나타나는 범위는 400배, 600배, 1,000배에서 잘 나타났다. 또한 액정이 가장 잘 만들어지는 droplet 입자크기는 1~10 μm이었다. 임상 결과로서, 비타민 B₅의 액정에 대하여 피부 보습효과를 측정한 결과 일반 에멀젼보다 우수한 결과(20% 이상)를 보였다(ANOMA t-test, p<0.05). This study described about a liquid crystalline technology that is used in cosmetics industry. Various intermediate phases may exist between solid and liquid. At high surfactant concentration, several liquid crystalline phases can be made to have formed. Although molecular arrangement with crystallization is not regular, it is known that more relative regular state is liquid crystalline or meso-phase than liquid phase. Usually, it described in detail about manufacturing method that explained about a kind of liquid crystalline technology in cosmetics, a new liquid crystalline technology, and makes liquid crystalline. Specialty, it introduced about kind of special an emulsifier to form liquid crystalline. There were hydrogenated lecithin, ceramide, dipalmitoylhydroxyproline, DEA-cetyl phosphate, Gemini-surfactant in representative raw material to form liquid crystalline. Liquid crystalline extent that used polarization microscope to observe formation, and appears best from 400 times, 600 times, 1,000 times well appeared. Also, droplet particle size that liquid crystal is made best 1.0~10.0 μm be. General emulsion more than superior result that measures the skin moisturizing effect to take advantage of liquid crystalline technology of vitamin was seen. As presence at a clinical result, wave and general emulsion more than superior result (more than 20%) that measures skin moisturizing effect about liquid crystalline of vitamin B₅ were seen (ANOMA t-test, p<0.05).

Liquidity Risk and Expected Stock Returns in Korea: A New Approach

이창준,장지원,강장구 한국증권학회 2012 Asia-Pacific Journal of Financial Studies Vol.41 No.6

We propose a simple way to capture the multidimensionality of liquidity. Our analysis indicates that existing liquidity measures have considerable asset specific components, which justifies our new approach. Constructing a two-factor model with the market and liquidity factor proposed in this paper, we find that our two-factor model explains well the cross-section of stock returns in Korea from 1987 to 2010, describing the liquidity premium, size and value effects that the CAPM and Fama-French three-factor model fail to explain. Our results also show that the role of liquidity risk on expected stock returns is especially pronounced during the post-Asian financial crisis period.

Non-isothermal Simulation of Edge Effect in LCM Process for Plain-Weave Fabric

Wenkai Yang 한국섬유공학회 2023 Fibers and polymers Vol.24 No.11

Edge effect is a common phenomenon in liquid composite molding (LCM), which has a significant impact on the performance of composite components. Plain-weave fabric is widely used in LCM process. Nevertheless, the yarns of plain-weave fabric in edge area are easy to shed which will cause the edge effect. Meanwhile, the current LCM process is non-isothermal, which the infiltration effect and curing efficiency are improved by heating the resin and the mold. Few systemic researches can be found in the edge effect of LCM process caused by shedding yarns under non-isothermal conditions. This article applied a method to calculate the permeability which considered the yarn shedding of plain-weave fabric. A non-isothermal rheological model of resin is established through resin viscosity and differential scanning calorimetry (DSC) experiments. A simulation model of the edge effect due to yarns shedding under non-isothermal conditions is proposed. This model divides the flow region into the central area, edge area and gap area. Simulation of edge effect is realized by setting three different permeability areas and combining them with the non-isothermal rheological model. Simulation results of edge effect are verified by the non-isothermal flow experiments.