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방승욱 서울대학교 증권금융연구소 1997 증권 금융연구 Vol.3 No.1
본 연구는 구조변화의 개념을 도입하여 시장모형의 안정성을 다루었다. 먼저 지금까지의 베타계수 안정성 연구를 이론적으로 정리하고 이들의 연구 성과를 방법론상, 연구 결과상의 특징으로 구분하여 논쟁점들을 부각시켰다. 이어서 다항식을 이용하여 구조변화의 공식을 통계적으로 도출하였다. 이 유도된 결과에 근거하여 특정 시장모형이 안정적으로 성립하는 하위기간을 찾아내고자 순차적인 실증분석을 수행하여 검정 통계량과 최적 하위기간을 찾아냈다. 본 논문은 사후적으로 구조변화시점을 포착할 수 있는 새로운 방법론을 제시하였으며 동시에 사건연구 등에의 확장 가능성을 제시하였다.
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Response Asymmetries in Return and Volatility: Evidence from Japan and South Korea
방승욱 한국증권학회 2004 Asia-Pacific Journal of Financial Studies Vol.33 No.2
This study analyzes the mechanism of information transmission between the stock markets of Japan and South Korea. In analyzing the issue, this paper specifically attempts to answer the following questions: (1) Is the leverage effect, or asymmetric volatility response, observed in the return generating process of each stock market?; (2) Is information being transmitted asymmetrically between these two stock markets?, and (3) Do structural breaks exist, depending on the sub-period, both in the return generating process and in the transmission of price and volatility? In order to incorporate possible asymmetric effects, this paper used GJR models for its empirical analysis. The main findings are as follows: First, the existence of the leverage effect has been confirmed for each market. Second, asymmetric spillovers in mean and volatility between Japan and South Korea have not been observed, except for the asymmetric volatility response from Korea to Japan. Third, the existence of structural breaks in the return generating process and in the transmission of price and volatility depended on a specific sub-period.
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자본구조의 수렴현상에 관한 연구 -EU 국가들을 대상으로-
방승욱,강호정,이우백 대한경영학회 2002 大韓經營學會誌 Vol.15 No.2
This study investigates whether capital structures in EU countries have converged. Considering the long history of European integration and the accelerating speed of such integration over recent years, this paper investigates the effects of European integration on capital structures. As an attempt to explain changing capital structures, this study takes convergence perspectives. That is, this paper tests mean- and variance-convergence hypotheses by using econometric models such as OLS and SUR. Test results show that some countries show converging trends at the level of individual countries. However, their test statistics are not significant at the conventional significance level. In contrast, the variance of the debt ratios indicates a diminishing tendency, thus accepting variance-convergence hypothesis.
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방승욱 대한마취통증의학회 2014 Anesthesia and pain medicine Vol.9 No.4
Historically, peripheral nerve blocks (PNBs) have not been as widelyused as spinal and epidural anesthesia in the lower extremities dueto difficulties inherent to the technique, resulting in an incompleteblock and other complications. Recently, ultrasound machines havebeen used to facilitate locating peripheral nerves, resulting in agradual increase in the utilization of PNBs. Currently, PNBs areused in sole regional anesthesia as well as for management of acuteand chronic pain. PNBs have several advantages over otheranesthetic techniques, such as central neuraxial blocks and generalanesthesia. First of all, PNBs provide an improved peri-operativeanalgesia. Therefore, excessive opioid consumption is no longernecessary to control pain, and this results in fewer adverse effects,such as nausea, vomiting, pruritus, and respiratory depression. Furthermore, PNBs can be used as an alternative technique for highrisk patients to whom a sympathetic blockade may lead to problemsdue to its little effect on hemodynamics. However, the use of PNBsalso has pitfalls, such as a late onset, long preparation time, andrisk of failure. There are advantages and disadvantages to usingPNBs. If used on select cases with proper consideration for patientsafety and satisfaction, PNBs can become commonly used, likeother anesthetic techniques.
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방승욱,정형철 한국산업경영학회 2003 경영연구 Vol.18 No.4
본 연구는 우리나라의 KOSPI 주가 지수를 대상으로 하여 지수 수준에 심리적 장벽 수준이 존재하는가를 검증하였다. 지난 10년간의 일별 주가 지수자료에 AR-GARCH와 AR-GJR 모형을 적합하여 가상적 심리적 장벽을 주가 지수의 끝 두 자리 00 수준으로 설정하었다. 그 후에 이 수준을 돌파하는 시점을 전·후로 하여 두 하위 기간 중 조건부 수익률의 평균과 변동성에 있어서 차이가 존재하는가를 검증하였다. 검증 결과, CARCIH 모형 또는 CJR 모형으로 검증했는가에 따라 결과에 차이가 있었다. 첫째, GARCH 모형 추정 결과 조건부 수익률의 평균에 있어서는 장벽 수준을 돌파한 시점을 전후로 하여 모멘텀 효과가 존재하다고 볼수 있었으나, 조건부 변동성의 경우는 그렇지 않았다. 둘째, CJR 모형 추정 결과 모멘텀 효과가 존재하는 증거를 찾을 수 없었다. 그러나 두 모형 모두 하위기간의 길이를 단축함에 따라 조건부 수익률의 평균과 변동성의 두 하위기간 간의 차이가 뚜렷하게 나타났다. On the Existence of Psychological Barriers in the Stock Price Index This study investigates whether psychological barriers exist in the Korea composite stock price index (KOSPl), using the past ten years' daily index data. This study first set the possible barrier levels to be 00, the last two trailing digits of the index. Then by using AR-GARCH and AR-GJR models, the mean and variance in the conditional returns before and after the selected reference levels were estimated and compared for differences. Test results for the existence of psychological barriers were inconsistent, depending on the models. Initially, the momentum effect seemed to exist in the conditional mean, but did not in the conditional volatility when the AR-GARCH model was used. However, unlike the preceding results of AR-GARCH model, the momentum effect did not seem to exist in both the conditional mean and volatility when the AR-GJR model was used. Differences in the estimates of the conditional means and variances between the two sub-periods became more evident as the lengths of the sub-periods were shortened, while the differences in the estimates were less obvious when the lengths of the sub-periods were extended.
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