• Title, Summary, Keyword: 비대칭성

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The Introduction of KOSPI 200 Stock Price Index Futures and the Asymmetric Volatility in the Stock Market (KOSPI 200 주가지수선물 도입과 주식시장의 비대칭적 변동성)

  • Byun, Jong-Cook;Jo, Jung-Il
    • The Korean Journal of Financial Management
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    • v.20 no.1
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    • pp.191-212
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    • 2003
  • Recently, there is a growing body of literature that suggests that information inefficiency is one of the causes of the asymmetric volatility. If this explanation for the asymmetric volatility is appropriate, then innovations, such as the introduction of futures, may be expected to impact the asymmetric volatility of stock market. As transaction costs and margin requirements in the futures market are lower than those in the spot market, new information is transmitted to futures prices more quickly and affects spot prices through arbitrage trading with spots. Also, the merit of the futures market may attract noise traders away from the spot market to the futures market. This study examines the impact of futures on the asymmetry of stock market volatility. If the asymmetric volatility is significant lower post-futures and exist in the futures market, it has validity that the asymmetric volatility is caused by information inefficiency in the spot market. The data examined are daily logarithmic returns on KOSPI 200 stock price index from January 4, 1993 to December 26, 2000. To examine the existence of the asymmetric volatility in the futures market, logarithmic returns on KOSPI 200 futures are used from May 4, 1996 to December 26, 2000. We used a conditional mode of TGARCH(threshold GARCH) of Glosten, Jagannathan and Runkel(1993). Pre-futures the spot market exhibits significant asymmetric responses of volatility to news and post-futures asymmetries are significantly lower, irrespective of bear market and bull market. The results suggest that the introduction of stock index futures has an effect on the asymmetric volatility of the spot market and are inconsistent with leverage being the sole explanation of asymmetry. However, it is found that the volatility of futures is not so asymmetric as expected.

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국내 석유제품가격의 변동에 대한 소비자의 인식과 비대칭 분석 비교

  • O, Seon-A;Heo, Eun-Nyeong
    • Environmental and Resource Economics Review
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    • v.21 no.1
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    • pp.69-92
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    • 2012
  • This paper analyzed price asymmetry of domestic petroleum products by distribution stage. Analyzing the asymmetry by distribution stage, we can investigate the gap between analysis results and consumers' perception. For the first stage, we analyzed asymmetries between retail prices including tax and the spot prices of crude oil. The results show that retail price increases more quickly in response to the crude oil prices rise than to the crude oil prices fall as consumers' perception. For the second stage, we analyzed asymmetry of international petroleum product prices in Korean Won with the change in the crude oil spot prices. The results show that international petroleum product prices increase higher in response to the crude oil prices increase than to the crude oil prices decrease. For the final stage, we examined the asymmetry of wholesale price and retail price with the change in the international petroleum product prices in Korean Won. The results show that wholesale prices increase more quickly in response to the crude oil prices rise than to the international petroleum product prices fall. The retail prices, however, decrease more quickly in response to the crude oil prices fall than to the international petroleum product prices rise.

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Directional Wave Spectrum Equations Considering Asymmetry (비대칭성을 고려한 방향 스펙트럼식)

  • Jung, Jae-Sang;Kang, Kyu-Yung;Lee, Chang-Hoon;Cho, Yong-Sik
    • Proceedings of the Korea Water Resources Association Conference
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    • pp.1950-1953
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    • 2006
  • 본 연구에서는 파랑의 방향에 따른 비대칭성을 고려한 방향 스펙트럼 식을 새로 제안하였다. 심해에서 생성된 다방향 불규칙 파랑이 등수심선에 대해 일정한 각도를 가지고 입사하는 경우, 각 방향의 파랑 성분의 굴절각의 차이에 의해 입사각에 대한 비대칭성이 발생하였다. 파랑의 굴절에 대해서는 Snell의 법칙을 이용하고 천수를 고려하여 해석적으로 계산하였으며, 이 결과와 새로 제안된 방향스펙트럼 식을 이용한 결과를 서로 비교하였다. 그 결과 비대칭성이 강한 천해역에서는 기존의 스펙트럼식에 비해 3배 이상 정확한 값을 재현하였다.

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Asymmetry Analysis on Petroleum Product Prices : An International Comparison (석유제품가격 비대칭성의 국제비교연구)

  • Kim, Jung-Kwan;Kang, Seung-Jin;Heo, Eunnyeong
    • Environmental and Resource Economics Review
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    • v.20 no.4
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    • pp.663-688
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    • 2011
  • Since the liberalization of petroleum product prices in 1997, there has been persistent suspicion with regard to asymmetry in the movement of petroleum product prices in Korea. In particular, academics and consumer groups suggest that prices decided by refining companies and gas stations have moved asymmetrically compared with international petroleum product prices. The primary aim of this study is to determine, using the Error Correction Model, to perform multi-country asymmetry analysis including the United States, the United Kingdom, Germany, France, Italy and Japan. We shows that comparison of domestic prices with international prices in the six countries mentioned above revealed a fairly low level of asymmetry in those countries, although some asymmetry was found in some countries at various times within the period of analysis. To explain the different degrees of asymmetry between countries, this study looked at asymmetry in the United States, Germany and Italy and sought correlations between each country's oil industry structure and its level of competition.

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The Empirical Study of Relationship between the obsolescence assets and Asymmetric Cost Behavior (자산 노후화율이 원가의 비대칭성에 미치는 영향)

  • Cha, Sang-kwon;Kim, Dong-Pil
    • Journal of the Korea Convergence Society
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    • v.11 no.1
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    • pp.259-266
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    • 2020
  • This study analyzes the effects of the obsolescence assets on the asymmetry of costs. Cost asymmetry refers to a lower percentage of costs when sales fall than increases in costs when sales increase. the obsolescence asset induces various decisions, including high maintenance costs and management improvements and replacement of facilities. This study is to analyze the cost behavior according to those decisions. The analysis showed that the higher the obsolescence of assets rate, we found cost elasticity, with a greater reduction in costs when sales decrease than the increase in costs when sales increase. Second, the lower the cost will not appear as the obsolescence of assets rate increases in case that the concentration of an item of property, plant and equipment is high, and when sales decrease. The above result means that the obsolescence of assets rate acts as operating risk and thus operates resources flexibly according to changes in sales, but when the concentration of property, plant and equipment is high, the decision-making constraint make it difficult for the flexible operation.

수상 및 수중운동체의 로버스트 안정성 해석 및 안정화에 관한 연구

  • Kim, Yeong-Bok;Ji, Sang-Won;Phuoc, Bui Van
    • Proceedings of the Korean Institute of Navigation and Port Research Conference
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    • pp.8-9
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    • 2011
  • 본 논문에서는 수상 및 수중운동체의 안정성 및 안정화기법에 관해 고찰한다. 선박이 운동을 하게 되면 부가질량이 변하게 되고 대칭인 시스템행렬이 비대칭이 된다. 비대칭성에 따라 시스템의 안정성해석방법도 달라지는데 예를 들어 가속도 피드백을 통해 비대칭요소를 제거하여 대칭으로 변환시키는 것이 가장 대표적인 해석 및 안정화 기법이다. 시스템 모델자체는 어디까지나 모델이기 때문에 대상시스템을 명확하게 수식으로 표현할 수 없으므로 피드백에 의한 비대칭요소를 소거시키는 방법은 타당하지 못하다. 따라서 본 논문에서는 대칭행렬이 비대칭행렬로 변하는 제약에 구애받지 않는, 보다 일반성을 갖는 안정성해석법을 제안한다.

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Emotion depending on the prefrontal cortex asymmetry (전전두엽의 비대칭성에 의존하는 감성)

  • Kim, Won-Sik;Jang, Seung-Jin;Jang, Hak-Yeong;Choe, Hyeong-Min;Lee, Sang-Tae
    • Proceedings of the Korean Society for Emotion and Sensibility Conference
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    • pp.95-96
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    • 2009
  • 행동활성화 및 억제체계의 민감성에 따라 4 개 집단으로 분류하고, 각 집단에 대하여 뇌파를 측정하여 전전두엽의 비대칭성을 평가하였다. 이들 각 집단에 대하여 긍정적 감성을 유발시킬 수 있는 음향(명상음악)과 부정적 감성을 유발시킬 수 있는 음향(소음)을 제시하여 그 반응을 분석한 결과, 명상음악 청취에 대한 주관적 감성평가는 4 개 집단 모두 비슷한 수준의 긍정적 감성을 나타냈지만, 전전두엽의 비대칭성은 행동억제체계가 민감한 집단에 비하여 행동활성화체계가 민감한 집단일수록 좌측 전전두엽이 더 활성화되는 것으로 나타나 Davidson 의 행동활성화 및 행동억제체계의 단일차원을 지지한다. 소음청취에 대한 주관적 평가에서는 4개 집단 모두 비슷한 수준의 부정적 감성을 나타낸 반면에, 전전두엽의 비대칭성은 행동활성화 또는 억제체계의 민감성이 어느 하나라도 높은 3 개 집단 모두에서 우측 전전두엽이 더 활성화 되었지만, 민감성이 모두 낮은 나머지 1 개 집단에서는 좌측 전전두엽이 더 활성화되는 것으로 나타나 Gray의 행동활성화 및 행동억제체계의 독립차원을 지지한다.

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A Study on Information Availability and Asymmetric Volatility in the Korea Stock Market (정보량과 비대칭적 변동성에 관한 연구)

  • An, Seung-Cheol;Jang, Seung-Uk;Ha, Jong-Bae
    • The Korean Journal of Financial Management
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    • v.25 no.1
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    • pp.109-140
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    • 2008
  • The primary objective of this paper investigates whether asymmetric volatility phenomenon is caused by differences of opinion among investors and analyses information availability has an effect on asymmetric volatility. The empirical test period covers recent 6 years from January 4, 2000 to December 29, 2005. Five portfolios have been formed according to information availability(volume and market value). For the purpose of this study, We use TGARCH model, TGARCH-M model and adjusted model which include trading volume as a proxy differences of opinion among investors. The results are summarized as follows ; First, adjusted model analysis shows that asymmetric volatility phenomenon is disappeared or asymmetric coefficient and ratio is decreased than basis model. Second, portfolio analysis shows that the higher volume and market value, the more prominent asymmetric volatility phenomenon. And adjusted model analysis shows the higher volume and market value, the more decrease asymmetric ratio. Over all, assertion that differences of opinion among investors has caused asymmetric volatility phenomenon is regarded as reasonable. And, We see that information availability have great effect on asymmetric volatility phenomenon. We think that theses results can also occur opinion adjustment of optimistic investors. Namely, asymmetric volatility phenomenon can occur difference of information authenticity.

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KOSPI 200 Derivatives and Volatility Asymmetry of Stock Markets (KOSPI 200 파생상품 거래와 주식수익률 변동성의 비대칭성)

  • Park, Jong-Won
    • The Korean Journal of Financial Management
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    • v.23 no.1
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    • pp.101-133
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    • 2006
  • We examine whether new derivatives on KOSPI 200 affect volatility asymmetry of KOSPI 200 portfolio, relative to the carefully matched non-KOSPI 200 portfolio. To test the effect or new derivatives trading, we use GJR-GARCH model and newly developed Volatility Ratio(down-market volatility to up-market volatility ratio). Our results show that KOSPI 200 portfolio experiences lower volatility asymmetry than non-KOSPI 200 portfolio after the trading of new derivatives on KOSPI 200, especially after the introduction of stock index options(KOSPI 200 options). For non-KOSPI portfolio, no significant reduction in volatility asymmetry occurred when trading of stock index options began. Also, we find that in the period of after January 1999, the period of after do-regulations and Financial Crisis in the Korean capital market, volatility asymmetry of stock markets was significantly decreased. This means that level of volatility asymmetry is closely related to the level of market regulations. Further, the results of the paper show that leverage effect and changes in foreign exchange ratio can be good candidates for explaining the stylized volatility asymmetry in the Korean stock market.

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Recognition of Hangul alphabets as assessed by the Stroop and hemispheric lateralization (Stroop 및 반구 비대칭성 효과를 통해 본 한글자모 인식과정의 특성 분석)

  • Han, Kwang-Hee;Yoo, Hyung-Hyun;Chung, Chan-Sup
    • Annual Conference on Human and Language Technology
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    • pp.278-281
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    • 1989
  • 한글 자모 인식과정의 특성을 알아보기 위하여 Stroop 및 반구 비대칭성 효과를 검증하였다. 피보험자들에게 두가지 색으로된 10개의 한글자모를 좌시야와 우시야에 제시하고, 그중 어떤 것이 가운데에 제시된 검사지극의 색 또는 자모형태와 같은 목표자극인가를 신속하게 판단하도록 하였다. 반구 비대칭성 및 Stroop 효과를 선택 반응시간을 측정하여 비교하였다. 자모 처리와 색깔 처리에서는 반구간 차이가 나타나지 않았다. 자모 처리에서 반구간 차이가 나타나지 않은 것은 한글 자모의 시각적 특성과 실험 절차의 특수성애 결부되어 해석되었다. Stroop 효과는 좌반구 보다는 우반구에서 의미있게 큰 것으로 나타났다. 따라서 대뇌 반구간의 비대칭성이 확인되었고 대뇌의 좌반구는 분석적 처리에, 우반구는 전체적인 처리에 전문화 되어 있다는 것을 확인하였다.

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