직업교육훈련기관의 교육훈련이 진로성숙에 미치는 영향

강병진 ( Byung-jin Kang ),임상호 ( Sang-ho Lim ) KNU기업경영연구소 2015 기업경영리뷰 Vol.6 No.1

Current job skills for the job, or a variety of ways, depending on the inevitable occupation is required by. To do so, given the rain and the course of vocational trainees on goal setting, focusing on vulnerable areas, career counseling and training for the job is of paramount importance. This research is becoming increasingly widespread and institutionalized for vocational education and training to understand the relationship with a variety of different voices to be reflected from the fact that the ceremony should go. The main purpose of this study, vocational education and training courses in the various programs and trainees in the vocational education and vocational education and training aimed at mature career has affected some are seeing what turned out to be empirical. This study as a research tool for vocational trainees to measure career maturity Crites (1978) developed by the Career Maturity Inventory (CMI) and gimhyeonok (1989) that reconstructed using the Incheon area are in the vocational education and training Vocational education in the vocational education and training institutions are trainees were selected for study, analysis of this study are as follows: First, the demographic statistics, rather than a woman men, ages 30's educational level and marital status of the school was higher than the married, not married. Second, self-funded vocational education and training courses are taught in vocational education was a lot of trainees. In these training courses to improve skills appeared to be trying. Third, vocational education and training for the path analysis, the most preferred path is relative, family and friends in the solicitation is that vocational education and training has come in for. Fourth Vocational education and vocational education and training period, trainees' opinions about the long-term preferred by the unexpected fact that was unknown. Fifth, the difference analysis, large differences in education and marital status has emerged. Of particular interest is lower academic career has appeared to be higher maturity. Sixth, in the analysis of differences in marital status is married, single salesman was higher than the career maturity. Seventh, in regression analysis and time period of vocational training and vocational education and training experience does not affect the course showed maturity. However, vocational education and training information, career satisfaction appeared to affect maturity. At least through the results, demographic statistics from the 30 to 40 units high school education with a single salesman with many shows that employment centers and government agencies under the umbrella of organizations with the cooperation of these two proper training and professional grow help the will. Vocational trainees to consider the characteristics of these communities, rather than short-term training to enter it in the career development program in conjunction with the company long-term program will be conducted. Authorities to consider these points when you create a job training program, vocational education and training in vocational education and training to operate the program faithfully will be seeking.

원/달러 장외통화옵션시장에서 내재변동성의 정보효과

강병진 ( Byung Jin Kang ) 한국파생상품학회 2011 선물연구 Vol.19 No.2

This paper investigate the information content of Implied volatilities derived from KHW/USD OTC currency options. First we examined the explanatory power of Implied volatilities in forecasting future realized volatilities of the spot exchange rates. Next, we examined the dynamic properties of volatility spreads, the difference between Implied volatilities and realized volatilities, observed In KRW/IJSI) currency option markets. Using the sample data from January 2006 Through March 2010, we first find that even though the implied volatilities have a little explanatory power In forecasting future realized volatilities, they don`t improve the information content of simple historical volatilities at all. Second, this paper finds that during the period before global financial crisis In 2008. the implied volatilities are consistently lower than the realized volatilities. This suggests that we cannot exclude the possibility of risk seeking behavior of the investors in KRWJUSD OTC currency option markets at that time. Finally, from the comparative analysis with KOSPI 200 index options for the same sample period, we confirmed that our empirical results are uniquely observed only in KRW/USD OTC currency option markets.

원화 이자율 스왑 스프레드 및 기간구조의 결정요인

강병진 ( Byung Jin Kang ) 한국금융공학회 2009 금융공학연구 Vol.8 No.2

This paper examined the determinants of Korea Won(KRW) interest rate swap spreads and their term structures. Contrary to most previous studies, we tested the possibility of structural breaks in the swap spreads, and then investigated how the determinants of swap spreads and their term structures are affected by the observed breaks. Using the sample data from February, 2002 through June, 2008, we obtained following empirical results. First, by the method of Bai and Perron(1998, 2003) to test the unknown multiple structural changes, we found exactly one structural breaks in the KRW swap market during the sample periods, except for the 2 years swap contracts. We also found that the dates of the breaks are related to the reversal of the swap spreads. Second, the slope of treasury yield curves, KRW/USD foreign exchange rates, TED spreads, and short rates are found to be key determinants of the KRW swap spreads and their term structure. In addition, we also found that the relationship between these variables and the swap spreads or their term structures remarkably changes with the structural breaks. We cannot find, however, any evidence for the significant relationship between credit spreads and the swap spreads.

옵션 내재확률분포함수의 안정성 검증을 위한 대안척도

강병진 ( Byung Jin Kang ),김동석 ( Tong Suk Kim ) 한국금융공학회 2008 금융공학연구 Vol.7 No.1

To assess the stability of probability density functions (PDFs) implied by option prices, we develop and apply alternative measures other than distributional characteristics. Our alternative measures are related to the stability of empirical results in the applications of implied PDFs such as pricing thinly traded options and recovering the risk aversion of investors. Using the KOSPI 200 index options in the Korean market, we compare the performance between the double lognormal approximating function (DLN) method and the smoothed implied volatility smile (SMIV) method which are most widely used for estimating implied PDFs. Our empirical results show that while the SMIV method can produce a PDF with more stable summary statistics as in most previous researches, it cannot outperform the DLN method in terms of other measures. The sensitivity analysis by using the randomly perturbed prices increases the validity of our findings.

KOSPI200 지수옵션 수익률의 결정요인

강병진 ( Byung Jin Kang ) 한국파생상품학회 2016 선물연구 Vol.24 No.1

This study examines the effects of crisis-related factors on the returns of KOSPI200 index options using a factor model, which was introduced by Constantinides, Jackwerth and Savov (2013). Three factors incorporating price jumps, changes in volatility, and volatility jumps are considered as the crisis-related factors. With the data for the period from 2004 to 2015, we find followings : First, most of the crisis-related factor premia are statistically significant, and their signs are consistent with those expected. Second, these crisis-related factors contribute to improve the understanding of the cross-sectional variation in KOSPI200 index option returns. Third, the crisis-related factor premia became much more significant after the global financial crisis in 2008. Finally, our empirical findings are robust to whether the long options and the in-the-money options are included in the sample or not, and to whether the factor premia are constrained to equal the corresponding premia estimated from the cross-section of equities.

금융연구(金融硏究) : 옵션 투자의 효용 -포트폴리오 관점

강병진 ( Byung Jin Kang ),최영민 ( Young Min Choi ) 한국금융학회 2014 금융연구 Vol.28 No.2

본 연구는 주식과 채권으로 이루어진 전통적인 포트폴리오에 옵션 투자전략이 결합될 때, 해당포트폴리오의 성과를 개선시킬 수 있는지를 실증적으로 분석하였다. 옵션 투자의 가장 대표적인유인인 점프(jump) 및 변동성(volatility) 위험 프리미엄 효과를 반영하기 위하여 외가격(OTM)풋옵션 및 등가격(ATM) 스트래들 투자전략을 대상으로, 2004년부터 2013년 초까지의 KOSPI200지수옵션시장을 실증 분석한 결과 우리는 다음과 같은 사실들을 발견하였다. 첫째, CRRA(constantrelative risk aversion) 형태의 효용함수를 가진 투자자에게 최적 옵션 투자전략은 외가격 풋옵션및 등가격 스트래들을 매도하는 전략인 것으로 나타났다. 이는 Driessen and Maenhout(2007), 최병욱(2009) 등 국내외 선행연구들과 일치하는 결과이다. 둘째, 이러한 옵션 매도전략의 우수한성과는 실무적으로 널리 활용되는 다양한 포트폴리오 성과평가지표에 대해서도 일관적으로유효하며, 대부분의 연기금들이 활용하고 있는 허용위험(shortfall risk)한도 기준을 고려했을 때에도 여전히 유효한 것으로 확인되었다. 셋째, 전통적인 기대효용이론(expected utility theory)이 아닌대안이론(non-expected utility theory)을 적용할 경우, 외가격 풋옵션 및 등가격 스트래들 매입전략도 포트폴리오 운용자에게 최적일 수 있음을 발견하였으며, 특히 선행연구들에서보다 그러한 경향이보다 명백하게 관찰됨을 확인하였다. 마지막으로 넷째, 글로벌 금융위기를 전후로 표본자료를 세분화하여 하위표본을 분석한 결과, 위기 이전에는 전체 표본에서와는 반대로 옵션매입전략이 최적인 반면, 위기 이후에는 옵션 매도전략이 최적인 경향이 더욱 강화됨을 확인하였다. 그러나이와 같은 하위표본들은 표본기간이 매우 짧아 온전한 경기순환주기를 제대로 포함하고 있지못하므로, 이들 결과를 강건성 검증결과로 해석하기보다는 주식시장 호황기 및 고(高)불확성 시기와 같은 특수한 시장상황에 대한 사례분석결과로 해석하는 것이 타당할 것이다. This paper pay attention to return anomalies in option markets such as the overpricing of OTM (out of the money) put options and ATM (at the money) straddles. A lot of previous studies, including Coval and Shumway (2001), Bondarenko (2003), Driessen and Maenhout (2007), and Broadie et al. (2009), reported that the reward for bearing the risk of selling OTM put options and ATM straddles is evidently greater than reasonably expected. Therefore, from a point of institutional investors or large pension funds that have a relative advantage in margin or transaction cost, it would be possible to improve the performance of the optimal portfolio by using OTM put options and ATM straddles. In this paper, we investigate the benefits of these option strategies from a purely empirical portfolio perspective. Optimal portfolio strategies with access to option markets are considered not only for a traditional power utility investor, but also for a non-expected utility investor such as a loss aversive investor. In addition, various performance measures of a portfolio such as the Sharpe ratio, the Omega, the Sortino ratio, and the shortfall probability etc are also considered to gather the industrial view. Finally, to examine the structural change in results before and after the global financial crisis in 2008, the subsample analysis is also employed. Using KOSPI200 index option data from 2004 to 2013, we found four main findings. First, the KOSPI200 OTM put options and ATM straddles yield extremely negative returns for our sample period, and thus a traditional power utility investor can increase the performance of her optimal portfolio by selling OTM put options and ATM straddles. This finding is valid regardless of the investor’s risk averseness, and is consistent with the results in previous studies. Second, the optimal portfolio including short option strategies outperform, in performance measured by the Sharpe ratio, the Omega, the Sortino ratio, and the shortfall probability etc, the optimal portfolio constructed without access to option markets. Third, under anticipated utility theory with decision weights equal to the transformation function of Tversky and Kahneman (1992), one of the alternative theories selected in this paper, it could be optimal to buy OTM put options and ATM straddles. Finally, the empirical results from our subsample analysis are not generally consistent with the results from the full sample analysis. Especially, in the case of the period before the global financial crisis in 2008, optimal investment weights in OTM put options and ATM straddles are found to be positive even for a traditional power utility investor. However, considering that our subsample periods are too short to cover the full business cycle, it would be more desirable to interpret the subsample results as those only applicable to a specific market environment, rather than to interpret the results in a comprehensive way. As with all studies, this study has limitations, and the results need to be carefully understood. First, this study examined the benefits of option investments from a purely empirical view, and thus the results depend on market environments. For example, if the return anomalies such as the overpricing of OTM put options and ATM straddles disappear, then the main results of this study would be entirely changed. Therefore an investor, who wants to use our results to determine her optimal portfolio, should keep watching market changes. Next, we did not consider the factors associated with market frictions such as margin requirements and transaction costs. To enhance the practical implications of this study, these factors should be considered in advance.

주가지수 스트래들 수익률의 결정요인

강병진 ( Byung Jin Kang ) 한국파생상품학회 2013 선물연구 Vol.21 No.4

This paper investigates ATM zero-beta straddle (i.e., ZBS) returns, one of the most widely used volatility trading strategies, and then examines the determinants of them. First, from a point of theoretical view, we find that the determinants of the ZBS returns without rebalancing are different from those with rebalancing. This means that most previous studies overlooking the return characteristics by difference of rebalancing frequency could result in misleading implications. Next, from a point of empirical view, we find that the negative excess returns are also obtained by taking a long position in ZBS on the KOSPI 200 index options, as in most other markets. Even though these negative excess returns are not strongly significant, but they are found to be closely related to the volatility risk premium.

논문 : 글로벌 금융위기와 원/달러 장외통화옵션시장의 질적 변화

강병진 ( Byung Jin Kang ),이효섭 ( Hyo Seob Lee ) 명지대학교 금융지식연구소 2011 금융지식연구 Vol.9 No.3

본 연구는 원/달러 장외통화옵션시장이 글로벌 금융위기를 전후로 어떠한 질적 변화를 겪었는지를 투자자들의 위험회피성향(risk preferences; degree of risk aversion)의 측면에서 분석하였다. 글로벌 금융위기가 원/달러 외환시장에 본격적으로 영향을 미치기 시작한 2008년 2월~3월을 기점으로 원/달러 장외통화옵션시장에서는 내재변동성(implied volatility)과 실현변동성(realized volatility) 간의 관계에 있어서 급격한 변화가 나타나기 시작하였는데, 이는 Bakshi and Madan(2006)의 이론에 따라 투자자들의 위험회피성향에 질적 변화가 발생하였을 가능성을 함의하는 것으로 해석될 수 있다. 2006~2010년까지 시장에서 관찰된 옵션자료를 바탕으로 분석한 결과 우리는 다음과 같은 실증분석 결과를 확인하였다. 첫째, 글로벌 금융위기 이전에는 원/달러 장외옵션 투자자들이 위험중립적(risk neutral)이거나 혹은 심지어 위험선호적(risk seeking)인 성향을 나타낸 반면, 금융위기 이후에는 극도의 위험회피적(risk averse)인 성향을 나타내는 것을 발견하였다. 둘째, 이러한 현상은 투자기간에 관계없이 공통적으로 나타나는 일관된 결과임을 확인하였다. 이러한 실증분석 결과는 글로벌 금융위기 이전에는 주로 수출 중소기업들의 환 위험 헤지(hedge)를 위한 옵션거래가 시장을 형성하였던 반면, 그 이후에는 옵션거래의 주요 목적이 완전히 달려졌다는 사실을 감안할 때 중요한 시사점을 가진다. This paper investigated the qualitative change in risk preferences of KRW/USD OTC currency option investors with the global financial crisis. The differences between implied volatilities and realized volatilities in KRW/USD currency option markets dramatically change before and after the global financial crisis of 2008. From the theory of volatility spreads by Bakshi and Madan(2006), the aforementioned change can be resulted from the change in risk preferences of market participants. Using the KRW/USD currency option data from 2006 through 2010, we cannot reject the hypothesis that investors are risk neutral before the global financial crisis of 2008 with any statistical significance. However, on the contrary to this, we find that investors are no longer risk neutral, but risk averse after the global financial crisis of 2008. One explanation for this phenomenon can be that the purposes of option transactions radically change before and after the crisis. That is, the option transactions before the crisis are mostly for hedging the exchange rate risk of exporting companies, but these hedging demands in KRW/USD currency options are almost vanished after the crisis.

옵션전략지수의 성과: 글로벌 시장 간 비교

강병진(Byung Jin Kang),엄철준(Cheoljun Eom),이우백(Woo Baik Lee),장욱(Uk Chang),박종원(Jong Won Park) 한국증권학회 2021 한국증권학회지 Vol.50 No.4

본 연구는 2008~2019년의 글로벌시장 자료를 대상으로 옵션전략지수의 성과를 비교·분석하였다. S&P500, KOSPI200 시장에서 옵션전략지수의 성과를 단편적으로 분석한 선행연구들과는 달리 본 연구는 EuroStoxx50, FTSE100, DAX, S&P/ASX200, Nikkei225, TAIEX, HSCEI, HSI, Nifty 등 9개 시장을 대상으로 11개 옵션전략지수들의 성과를 종합적으로 분석하였다. 주요 실증결과는 다음과 같다. 첫째, 모든 시장에서 옵션전략지수들은 단순한 ‘주가지수 매입·보유’ 전략보다 대체로 우수한 위험조정성과를 기록하였으며, 이는 수익률 향상보다는 위험 감소에 주로 기인한다. 둘째, 대표적인 옵션투자 전략인 변동성 양매도(straddle) 또는 프로텍티브 풋(protective put)은 대부분 시장에서 좋지 못한 성과를 보인데 반해, 커버드 콜 또는 (현금)커버드 풋 계열의 전략지수들은 우수한 성과를 시현하였다. 마지막으로 동일 지역(유럽 vs. 아시아) 또는 비슷한 시장 성숙도(선진국 vs. 신흥국)를 가진 시장 내에서는 초과성과에 유의한 차이가 없으나, 지역과 시장 성숙도가 다를 때에는 일부 유형의 옵션전략지수에서 유의한 차이가 확인된다. While most previous studies have analyzed the performance of the Option Strategy Benchmark Index (SBI) in a specific market such as S&P500 and KOSPI200, this study comprehensively investigates the performance of the option SBIs in nine global options markets in Europe, Asia, and Oceania. In the empirical analysis using the sample data from September 2008 to April 2019, the main results of this study are as follows. First, most of the option SBIs generally provide better performance than the simple buy-and-hold strategy, which is mainly due to a reduction in risk rather than improvement in returns. Second, the option SBIs based on straddle or protective put, one of the most popular option trading strategies, perform poorly in almost all markets, whereas the option SBIs based on covered call or (cash) covered put show relatively good performance. Finally, there is no significant difference in the performance of the option SBIs between markets in the same region or those with a similar level of development. However, we found significant differences in the performance of the option SBIs between Europe and Asia and developed and emerging markets.

투자시계에 따른 옵션 투자 수요의 차이

강병진 ( Byung Jin Kang ) 한국파생상품학회 2016 선물연구 Vol.24 No.4

This paper investigates the effect of investment horizon on the optimal portfolio choice of investors, who can access to index options market. This is to reconcile the empirical anomaly of Driessen and Maenhout (2007), which suggested that it is always optimal to short OTM puts and ATM straddles, regardless of investors` preferences. Using the intraday data on KOSPI200 index options, one of the most actively traded options in the world, we analyze the differences in optimal choice between `position traders (i.e., long-term investors)` and `day traders (i.e., short-term investor)`. Our main empirical findings are summarized as follows. First, short horizon investors who do not want to hold overnight option positions tend to optimally take a long position in options, whereas long horizon investors tend to hold short option positions. Second, these differences in optimal choice between short- and long-horizon investors are clearly evident in OTM puts rather than ATM straddles. Finally, our empirical findings are still valid even after considering alternative preferences structures of investors, transaction costs, different data filtering rules, and the effect of the Global financial crisis.