JOURNAL BROWSE
Search
Advanced SearchSearch Tips
An Interdisciplinary Case Study on the Phase-Shifting Behavior of Financial Markets
facebook(new window)  Pirnt(new window) E-mail(new window) Excel Download
  • Journal title : Korean Management Science Review
  • Volume 33, Issue 2,  2016, pp.117-131
  • Publisher : The Korean Operations and Management Science Society
  • DOI : 10.7737/KMSR.2016.33.2.117
 Title & Authors
An Interdisciplinary Case Study on the Phase-Shifting Behavior of Financial Markets
Ryu, Doojin; Ju, Kangjin; Kim, Hyun Na; Yang, Heejin;
  PDF(new window)
 Abstract
This study introduces the concepts on the phase-shifting phenomenon of financial markets, which was firstly used in econophysics area and explains how the phase-shifting behavior is studied in the fields of business management and finance. Specifically, we explain how the phases of financial markets are extremely changed under some external conditions, do an extensive literature review, and carry out case studies focusing on the 3 major financial crisis events including the 87 October crash, 97 Asian financial crisis, and 2007 global financial crisis. We also empirically examine the phase-shifting behavior of the Korean ELW products that has a similar payoff structure to the KOSPI200 options.
 Keywords
Case Study;Equity-Linked Warrants;Financial Crisis;Interdisciplinary Research;Phase-Shifting Behavior;
 Language
Korean
 Cited by
 References
1.
고광수, 이준행, "외국인 거래정보와 주식시장 : 개방 10년의 경험", 재무연구, 제16권, 제1호 (2003), pp.159-192.

2.
구윤모, "Fractal과 Chaos", 화학공업과 기술, 제11권, 제6호(1993), pp.479-488.

3.
김동순, 전영순, "외국인투자자 대 국내 투자자의 정보우위", 한국증권학회지, 제33권(2004), pp.1-44.

4.
김선웅, 최흥식, "외국인 거래정보를 이용한 트레이딩시스템의 성과분석", 경영과학, 제32권, 제4호(2015), pp.57-67.

5.
김종선, "외환위기 이후 코스피 수익률의 변동성의 특성 분석", 산업경제연구, 제21권, 제3호(2008), pp.1205-1227.

6.
김종희, "투자주체별 정보력 우위 및 추세역추종 거래행위가 주식시장의 수익률에 미치는 영향 분석", 한국증권학회지, 제42권(2013), pp.667-698.

7.
박대근, 이창용, "특집/경제위기의 원인과 전망 : 한국의 외환위기 : 전개과정과 교훈", 경제학연구, 제46권, 제4호(1998), pp.351-389.

8.
백종국, "한국외환위기의 원인과 구조", 국제정치논총, 제37권, 제3호(1998), pp.249-271.

9.
성태윤, 박기영, 김도연, "금융위기와 구제금융 : 글로벌 금융위기와 외환위기의 비교를 중심으로", 한국경제의 분석, 제17권(2011), pp.1-47.

10.
윤옥자, 강규호, "외환위기 전후 금리.환율.주가 변동성에 관한 분석", 경제분석, 제10권, 제1호(2004), pp.54-80.

11.
전장환, "90년대 일본경제시스템의 위기와 금융빅뱅", 입법조사연구, 제254권(1998), pp.87-131.

12.
정재식, "외환위기를 전후한 국내 금융시장의 주요국 금융시장과의 연계성 분석", 시장경제연구, 제31권, 제1호(2002), pp.73-99.

13.
최두열, "아시아 외환위기의 발생과정과 원인", 한국경제원구원, 1998.

14.
최성섭, 서병덕, "주식시장 폭락의 모형과 그 시사점", 증권학회지, 제20권, 제1호(1997), pp.181-203.

15.
포스코 경영연구소, 글로벌 금융위기 전개방향 및 파급영향, 2008.

16.
한상범, 이윤재, "프로그램 매매가 변동성에 미치는 효과에 대한 연구", 한국증권연구원(현, 자본시장연구원), 2007.

17.
허찬국, 안순권, 김창배, "글로벌 금융위기의 파장과 대응방안", 한국경제연구원, 2008.

18.
홍익희, "미국의 환율정책을 통해 본 달러의 미래", 퍼플, 2012.

19.
Ahn, H-.J., J. Kang, and D. Ryu, "Information effects of trade size and trade direction : Evidence from the KOSPI 200 index options market," Asia-Pacific Journal of Financial Studies, Vol.39, No.3(2010), pp.301-339. crossref(new window)

20.
Ahn, H-.J., J. Kang, and D. Ryu, "Informed trading in the index option market : The case of KOSPI 200 options," Journal of Futures Markets, Vol.28, No.12(2008), pp.1118-1146. crossref(new window)

21.
Bowen, R.M., M.F. Johnson, and T. Shevlin, "Informational efficiency and the information content of earnings during the market crash of October 1987," Journal of Accounting and Economics, Vol.11, No.2(1989), pp.225-254. crossref(new window)

22.
Corsetti, G., P. Pesenti, and N. Roubini, "What caused the Asian currency and financial crisis?," Japan and the World Economy, Vol.11, No.3 (1999), pp.305-373. crossref(new window)

23.
Fischer, S., "The Asian crisis : A view from the IMF," Journal of International Financial Management and Accounting, Vol.9, No.2 (1998), pp.167-176. crossref(new window)

24.
Frankel, J. and G. Saravelos, "Can leading indicators assess country vulnerability? Evidence from the 2008-09 global financial crisis," Journal of International Economics, Vol.7, No.2 (2012), pp.216-231.

25.
Gourinchas, P.O., "US Monetary Policy, 'Imbalances' and the Financial Crisis," Working paper presented in Financial Crisis Inquire Commission, 2010.

26.
Hu, N., B. Zheng, and T. Qiu, "Two-phase phenomenon in financial markets," International Journal of Modern Physics B, Vol.18, No.17-19(2004), pp.2492-2497. crossref(new window)

27.
Hwang, K., J. Kang, and D. Ryu, "Phase-transition behavior in the emerging market : Evidence from the KOSPI200 futures market," International Review of Financial Analysis, Vol.19, No.1(2010), pp.35-46. crossref(new window)

28.
Ivashina, V. and D. Scharfstein, "Bank lending during the financial crisis of 2008," Journal of Financial Economics, Vol.97, No.3(2010), pp.319-338. crossref(new window)

29.
Johnson, S., P. Boone, A. Breach, and E. Friedman, "Corporate governance in the Asian financial crisis," Journal of Financial Economics, Vol.58, No.1(2000), pp.141-186. crossref(new window)

30.
Kang, B., C. Park, D. Ryu, and W. Song, "Phase transition phenomenon : A compound measure analysis," Physica A : Statistical Mechanics and its Applications, Vol.428(2015), pp.383-395.

31.
Kang, B.S., D. Ryu, and D. Ryu, "Phase-shifting behaviour revisited : An alternative measure," Physica A : Statistical Mechanics and its Applications, Vol.401(2014), pp.167-173.

32.
Kim, M.J., J.E. Lee, S.Y. Kim, and K. Kim, "Two-phase phenomenon in linear and nonlinear financial instruments," Physica A : Statistical Mechanics and its Applications, Vol. 389, No.13(2010), pp.2580-2585.

33.
Kim, Y., H.J. Kim, and S.H. Yook, "Agentbased spin model for financial markets on complex networks : Emergence of two-phase phenomena," Physical Review E, Vol.78, No.3 (2008), pp.1-6.

34.
Kiyono, K., Z.R. Struzik, and Y. Yamamoto, "Criticality and phase transition in stock-price fluctuations," Physical Review Letters, Vol.96, No.6(2006), pp.1-4.

35.
Kraw, N., "A 700% increase in juvenile drug abuse cases," Ha'aretz, 2000.

36.
Levy, M., "Social phase transitions," Journal of Economic Behavior and Organization, Vol.57, No.1(2005), pp.71-87. crossref(new window)

37.
Levy, M., "Stock market crashes as social phase transitions," Journal of Economic Dynamics and Control, Vol.32, No.1(2008), pp.137-155. crossref(new window)

38.
Longstaff, F.A., "The subprime credit crisis and contagion in financial markets," Journal of Financial Economics, Vol.97, No.3(2010), pp.436-450. crossref(new window)

39.
Mitchell, M.L. and J.M. Netter, "Triggering the 1987 stock market crash : Antitakeover provisions in the proposed house ways and means tax bill?," Journal of Financial Economics, Vol.24, No.1(1989), pp.37-68. crossref(new window)

40.
Mitton, T., "A cross-firm analysis of the impact of corporate governance on the East Asian financial crisis," Journal of Financial Economics, Vol.64, No.2(2002), pp.215-241. crossref(new window)

41.
Obstfeld, M., J.C. Shambaugh, and A.M. Taylor, "Financial instability, reserves, and central bank swap lines in the panic of 2008," National Bureau of Economic Research(No. w14826), 2009.

42.
Plerou, V., P. Gopikrishnan, and H.E. Stanley, "Econophysics : Two-phase behaviour of financial markets," Nature, Vol.421, No.6919(2003), pp.130-130. crossref(new window)

43.
Plerou, V., P. Gopikrishnan, and H.E. Stanley, "Two phase behaviour and the distribution of volume," Quantitative Finance, Vol.5, No.6 (2005), pp.519-521. crossref(new window)

44.
Reinhart, C.M. and K.S. Rogoff, "Is the 2007 US sub-prime financial crisis so different? An international historical comparison," National Bureau of Economic Research(No. w13761), 2008.

45.
Roll, R., "The international crash of October 1987," Financial Analysts Journal, Vol.44, No.5 (1988), pp.19-35. crossref(new window)

46.
Rose, A.K. and M.M. Spiegel, "Cross-Country Causes and Consequences of the 2008 Crisis : International Linkages and American Exposure," Pacific Economic Review, Vol.15, No.3 (2010), pp.340-363. crossref(new window)

47.
Rose, A.K. and M.M. Spiegel, "Cross-country causes and consequences of the 2008 crisis : early warning," Japan and the World Economy, Vol.24, No.1(2012), pp.1-16. crossref(new window)

48.
Ryu, D., "The information content of trades : An analysis of KOSPI 200 index derivatives," Journal of Futures Markets, Vol.35, No.3(2015), pp.201-221. crossref(new window)

49.
Ryu, D., "What types of investors generate the two-phase phenomenon?," Physica A : Statistical Mechanics and its Applications, Vol.392, No.23(2013), pp.5939-5946.

50.
Samarakoon, L.P., "Stock market interdependence, contagion, and the U.S. financial crisis : The case of emerging and frontier markets," Journal of International Financial Markets, Institutions and Money, Vol.21, No.5(2011), pp.724-742. crossref(new window)

51.
Vandewalle, N., P. Boveroux, A. Minguet, and M. Ausloos, "The crash of October 1987 seen as a phase transition : amplitude and universality," Physica A : Statistical Mechanics and its Applications, Vol.255, No.1(1998), pp.201-210.

52.
Webb, R.I., D. Ryu, D. Ryu, and J. Han, "The price impact of futures trades and their intraday seasonality," Emerging Markets Review, Vol.26(2016), pp.80-98. crossref(new window)

53.
Yalamova, R. and B. McKelvey, "Explaining what leads up to stock market crashes : a phase transition model and scalability dynamics," Journal of Behavioral Finance, Vol.12, No.3(2011), pp.169-182. crossref(new window)

54.
Zheng, B., T. Qiu, and F. Ren, "Two-phase phenomena, minority games, and herding models," Physical Review E, Vol.69, No.4(2004), pp.1-6.