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미국 금융시장에서 효과적인 수익률 특성에 관한 실증적 연구
오갑진,임규빈 한국재무학회 2010 한국재무학회 학술대회 Vol.2010 No.05
본 논문에서는 미국의 금융시장을 대표하는 DOW30 지수에 편입된 개별기업들의 고빈도 자료를 활용하여 시장에서 발생할 수 있는 거래 패턴 및 효과적인 수익률 (effective return, ER) 자료의 복잡한 속성들을 체계적으로 검증하는 것이 목적이다. 검증결과의 견고함을 위하여 DOW30 시장지수를 구성하고 있는 28개의 개별주식 자 료와 이 개별주식 각각의 평균과 분산 속성을 반영한 막걷기 (random walk) 시계열 자료, 그리고 시계열의 비선형성이 제거된 자료를 함께 사용하였다. 관찰된 결과를 요약‧정리하면 다음과 같다. 첫째, 실제자료를 가지고 변동성 시계열의 연속적인 거 래들 간 간격 (Return Time Interval, RTI) 분포함수를 살펴보면 두터운 꼬리의 존 재를 확인할 수 있었지만, 막걷기 속성 및 비선형적 속성이 제거된 자료로부터는 두 터운 꼬리 분포 현상을 발견하지 못하였다. 둘째, 분석자료에 관계없이 RTI에서는 일반적으로 장기기억 속성을 확인하였다. 마지막으로 실제 금융시장에서 생성된 ER 자료의 분포는 이론자료에서는 관찰할 수 없었던 두터운 꼬리를 반영한 멱함수 분포 를 관찰하였다.
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An Information Flow Among Industry Sectors in the Korean Stock Market
오갑진,오타미나,김호용,권오규 한국물리학회 2014 THE JOURNAL OF THE KOREAN PHYSICAL SOCIETY Vol.65 No.12
We investigate the information flow among 22 industry sectors in the Korean stock market byusing the symbolic transfer entropy (STE) method. We consider the daily index of 22 industrysectors in the Korean Composite Stock Price Index (KOSPI) from January 3, 2000 to March 30,2012. We measure the degree of asymmetry in the information flow and the amount of informationflow among the industry sectors before, during, and after the subprime crisis in order to analyzehow to relate them to the market crisis. We find that the amount of information flow and thenumber of connectedness during the financial crisis in the Korean stock market are higher thanthose before and after the market crisis. In addition, we find the role of the insurance sector, whichis related to risk management, increases as information source after the crisis.
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Multifractal Analysis of Implied Volatility in Index Options
오갑진 한국물리학회 2014 THE JOURNAL OF THE KOREAN PHYSICAL SOCIETY Vol.64 No.11
In this paper, we analyze the statistical and the non-linear properties of the log-variations inimplied volatility for the CAC40, DAX and S&P500 daily index options. The price of an indexoption is generally represented by its implied volatility surface, including its smile and skew properties. We utilize a L´evy process model as the underlying asset to deepen our understanding of theintrinsic property of the implied volatility in the index options and estimate the implied volatilitysurface. We find that the options pricing models with the exponential L´evy model can reproducethe smile or sneer features of the implied volatility that are observed in real options markets. Westudy the variation in the implied volatility for at-the-money index call and put options, and we findthat the distribution function follows a power-law distribution with an exponent of 3.5 4.5. Especially, the variation in the implied volatility exhibits multifractal spectral characteristics, andthe global financial crisis has influenced the complexity of the option markets.
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Statistical Properties of the Returns of Stock Prices of International Markets
오갑진,엄철준,김승환 한국물리학회 2006 THE JOURNAL OF THE KOREAN PHYSICAL SOCIETY Vol.48 No.II
We investigate statistical properties of daily international market indices of seven countries, and high-frequency S&P500 and KOSDAQ data, by using the detrended fluctuation method and the surrogate test. We have found that the returns of international stock market indices of six countries follow a universal power-law distribution with an exponent of 3, while the Korean stock market follows an exponential distribution with an exponent of 0.7. The Hurst exponent analysis of the original return, and its magnitude and sign series, reveal that the long-term-memory property, which is absent in the returns and sign series, exists in the magnitude time series with 0.7 H 0.8. The surrogate test shows that the magnitude time series reflects the non-linearity of the return series, which helps to reveal that the KOSDAQ index, one of the emerging markets, shows higher volatility than a mature market such as the S&P 500 index.lpad
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Multifractal Analysis of the Korean Stock Market
오갑진,김승환,엄철준 한국물리학회 2010 THE JOURNAL OF THE KOREAN PHYSICAL SOCIETY Vol.56 No.3
We analyze the multifractal properties of the daily prices of individual stocks in the Korean Composite Stock Price Index (KOSPI) from 1980 to 2003 by using raw price data and two arti¯cial data sets: one from which a temporal autocorrelation in the original data was eliminated by ran-domly shu²ing the time, and one from which the nonlinearity in the original data was eliminated by randomly reshu²ing the phase. Individual stock return time series were multifractal in all data sets, but the arti¯cial data sets had a narrower spectrum than the original data. To observe the possible factors that cause multifractality, we took the KOSPI market index as a common factor. We generated an arti¯cial time series re°ecting the market factors from the stock market by using the one-factor model and calculated its multifractal spectra. We also found that although the mar-ket factor could generate the complexity, not all of the complexity of the KOSPI market could be explained.
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승마장 이용동기, 선택속성이 지각된 가치와 행동의도에 미치는 영향
오갑진,김주호 한국스포츠학회 2018 한국스포츠학회지 Vol.16 No.2
본 연구는 승마장의 이용동기, 선택속성이 지각된 가치와 행동의도에 미치는 영향을 알아보는데 있다. 이를 위해 경기지역의 승마장을 직접 이용하는 고객 168명을 대상으로 설문을 실시하였으며, 수집된 자료는 빈도분석, 신뢰도분 석, 상관분석, 표준중다회귀분석을 실시하였다. 이상의 분석을 통해 다음과 같은 결과를 도출하였다. 첫째, 승마장의 이 용동기는 지각된 가치와 행동의도에 긍정적인 영향을 미쳤다. 둘째, 승마장의 선택속성은 지각된 가치와 행동의도에 긍 정적인 영향을 미쳤다. 셋째, 승마장의 지각된 가치는 행동의도에 긍정적인 영향을 미쳤다. The purpose of this study was to investigate the basic data of Influence of horse riding club user motivations and selection attributes for their perceived value and behavioral intentions. For the purpose of this study, recruited 168 users of horse riding club which located in Gyeonggi was conducted the research. The data processing method of this study performed Frequency analysis, Reliability analysis, Exploratory factor analysis, Correlation analysis, Standard multiple regression analysis by using a sub-program of Window Ver. SPSS 21.0. Results of the analysis are as follows. First, horse riding club user motivations has a significantly positive effect on their perceived value and behavioral intentions. Second, selection attributes of horse riding club has a significantly positive effect on their perceived value and behavioral intentions. Third, their perceived value has a significantly positive effect on behavioral intentions.
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