Korean Management Science Review (경영과학)

The Korean Operations Research and Management Science Society (한국경영과학회)
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An Interdisciplinary Case Study on the Phase-Shifting Behavior of Financial Markets

자본시장의 위상전이행태에 관한 학제간 융합연구 : 사례연구

  • Ryu, Doojin (College of Economics, Sungkyunkwan University) ;
  • Ju, Kangjin (Korea Creative Economy Research Network) ;
  • Kim, Hyun Na (Department of Geoenvironmental Sciences, Kongju National University) ;
  • Yang, Heejin (College of Economics, Sungkyunkwan University)
  • Received : 2016.03.03
  • Accepted : 2016.06.03
  • Published : 2016.06.30
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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

References

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