http://chineseinput.net/에서 pinyin(병음)방식으로 중국어를 변환할 수 있습니다.
변환된 중국어를 복사하여 사용하시면 됩니다.
Commonality in Tail Risk Premia around the World
이관휘,왕수봉 한국증권학회 2023 한국증권학회지 Vol.52 No.6
This study examines tail risk premia for 44 countries from 1990 to 2015 and provides evidence on the existence of common and systematic components in the variation of tail risk premia across countries. Specifically, we found that individual countries’ tail risk premia significantly comove with U.S., regional, and global tail risk premia. The first five principal components explain all variation in the premia, with the first principal component alone explaining over 30% of the variation. The comovement, or commonality, is stronger for developed market countries and more open countries. We also provide evidence that premia are affected by the U.S. economic environment and global stock market volatility, leading to a common variation in tail risk premia around the world.
Stock lending and short-selling: evidence from national pension service in Korea
이관휘,왕수봉 한국파생상품학회 2022 선물연구 Vol.30 No.3
The National Pension Service (NPS) of Korea suddenly announced that they would suspend their stock lending business from October 22, 2018. Using this ideal setting, the authors investigate the effects of this suspension on market quality and short-selling activities. The authors find that stock return does not increase after the suspension of stock lending for both the KOSPI and KOSDAQ markets. However, the returns of stocks with NPS ownership decline less than those without NPS ownership. The authors also find that the institutional and foreign investors' short sales did not increase in both markets after the lending business suspension by the NPS. In addition, the effect of suspension of stock lending on market quality is mixed, so the authors cannot conclude that market quality has improved. Overall, the authors’ results indicate that the stock market, especially for short-sales activity, has not been affected by the suspension of the stock lending service by the NPS.
The Variation of Liquidity Risk Premium
이관휘 서울대학교 경영연구소 2017 Seoul Journal of Business Vol.23 No.2
New liquidity measure, based on trading volume induced by order flow as in Pastor and Stambaugh (2002) but estimated with turnover rather than with absolute level of dollar volume, is introduced and analyzed in this paper. Aggregate liquidity measures are found to well track the history of market liquidity problems. However, market price of liquidity risk, estimated as a coefficient of liquidity shock, does not show any systematic time-series behavior so we could not find the variables which have significant explanatory power for liquidity risk premium.
Markov Model of Word-of-Mouth Effect and Stock Market Participation
이관휘 서울대학교 경영연구소 2012 Seoul Journal of Business Vol.18 No.1
The question of determinants of participation of stock market has long been a central question to financial economists. Most notably, Hong, Kubik,and Stein (2001) argue that social interactions affects the investment decision of potential stock market investors through two popular channels:word-of-mouth and pleasure-in-talk about stock market. In this paper, I extend Hong et al.’s model of social interactions to incorporate different effects of these two channels on stock market participation, conditioning on current market situation. The idea is intuitive: When potential investors observe current bull (bear) market, word-of-mouth and pleasure-in-talk effect would work positively (negatively) toward stock market participation due to increased number of peers who benefitted (lost their wealth) from bull (bear)market situation. In Markov chain process framework, I model stock market participation depending on current market situation and discuss empirical implications of my model.
Time-Varying Aggregate Short-Selling in Korea
왕수봉,이관휘 한국증권학회 2019 Asia-Pacific Journal of Financial Studies Vol.48 No.5
This study examines the variation in aggregate short-selling by foreigners, individuals, and institutional investors in relation to market return and other market-wide variables in the Korean stock market. First, we find that aggregate short-selling has strong seasonal components. In contrast to the existing literature, which shows contrarian-style short-selling at the stock level, we find momentum-style short-selling by foreigners and individual investors at the aggregate level. That is, they significantly increase their short-selling following a shortterm down market. In addition, we show that past US market return is negatively related to aggregate short-selling by foreign investors. Vector-autoregression and impulse-response analyses reveal that aggregate short-selling is significantly affected by changes in market return, but not vice versa.