CME금선물과 ICE달러인덱스선물이 KRX금시장에 미치는 영향에 관한 연구

염명훈(Myeong-Hoon Yeom),백재승(Jae-Seung Baek) 대한경영학회 2016 대한경영학회 학술발표대회 발표논문집 Vol.2016 No.2

정부의 금거래 양성화 정책에 따라 2014년 3월에 개장된 KRX금시장은 1g 단위의 금실물을 원화로 거래하는 현물시장이다. KRX금시장은 기존 금시장 대비 세금 및 수수료 측면에서 효율성 높은 시장이라는 시사점이 있음에도 불구하고 최근까지 KRX금시장에 관한 연구가 거의 없었기 때문에 본 연구에서 KRX금시장을 소개하고 가격결정요인에 대하여 살펴본 것은 의의가 있다. 기존 문헌들에 의하면 선물시장은 현물시장을 선도하는 특성이 있다. 따라서 한국시간 기준 야간시간에 거래되는 CME금선물 수익률은 익일 오전 9시에 개장되는 KRX금시장 시가수익률에 유의한 양(+)의 영향을 미칠 것으로 가설을 세웠다. 또한 일반적으로 경제기사 등에서 국제금값은 미국 달러가치와 음(-)의 상관성을 보인다고 언급되는데 ICE달러인덱스선물 수익률이 KRX금시장 시가수익률에 미치는 영향을 살펴보았다. 본 연구에서는 KRX금시장의 가격결정 요인을 살펴보기 위하여 t-1일 CME금선물 수익률과 t-1일 ICE달러인덱스선물이 t일 KRX금시장 시가수익률에 미치는 영향을 회귀분석과 VAR(vector autoregession) 모형을 활용하여 살펴보았다. 실증분석 결과는 다음과 같다. 첫째, t-1일 CME금선물 수익률은 t일 KRX금시장 시가수익률에 유의한 양(+)의 영향을 미치고 있었다. 둘째, t-1일 ICE달러인덱스선물 수익률이 t일 KRX금시장 시가수익률에 미치는 유의성은 확인할 수 없었다. KRX (Korea Exchange) gold market opened in March 2014 according to the government policy legalizing financial transactions, and traded one-gram unit of the real gold by Korean currency (KRW) in the exchange market. Despite the fact that KRX gold market showed the high efficiency in terms of tax and fee in contrast to the existing gold market, the studies on KRX gold market were scarcely performed until quite recently. This study would have a meaning of the introduction of KRX gold market showing price discovery factors in the market. According to the existing studies, the futures market had a characteristic of leading the spot market. Therefore, this study put forward a hypothesis that the return rate of the gold in CME (Chicago Mercantile Exchange), in which gold futures were traded at night time in Korean time standard, would have a positive impact on market rate of return of KRX gold market, which was started at 9:00 am in the following day. In addition, this study went into details including business articles in general, that is the international gold price had negative correlations with the value of dollar in the United States. In this study, both the return rate of CME gold futures at the t-1 day and that of ICE (Intercontinental Exchange) dollar index futures at the t-1 day were investigated whether to have an impact on market rate of return of KRX gold market at the t day using the regression analysis and VAR models to leverage, in order to look closely at the factors that determine the market price of KRX gold market. Empirical analyses and their results were as follows. First, the return rate of CME gold futures at the t-1 day had a positive impact of significance on market rate of return of KRX gold market at the t day. Second, the return rate of ICE dollar index futures at the t-1 day could not be confirmed to determine market rate of return of KRX gold market at the t day in significance.

KOSPI200 야간선물이 시장안정에 미치는 영향에 관한 연구

염명훈(Myeong Hoon Yeom),백재승(Jae Seung Baek),류두진(Doo Jin Ryu) 한국증권학회 2013 한국증권학회지 Vol.42 No.1

This study examines whether the recently launched CME KOSPI200 nighttime futures contract contributes to the stability of the Korean financial market. By analyzing oneminute and daily data, we find that the KOSPI200 nighttime futures contract can be used as an effective and efficient hedging tool and that it definitely contributes to market stability. Our overall empirical findings are as follows. First, among other candidates, the KOSPI 200 nighttime futures contract shows the best performance in forecasting the stock index return of the next trading day. Second, compared with many overseas indices, the previous day high-low volatility of the nighttime futures shows better performance in predicting stock market volatility. Third, due to the price discovery function of the KOSPI200 nighttime futures contract, hedging strategy using the nighttime futures is quite effective.

한국과 미국 금융시장 간의 변동성 동조화 현상에 관한 연구

염명훈(Myeong Hoon Yeom),백재승(Jae Seung Baek),류두진(Doo Jin Ryu) 한국증권학회 2014 한국증권학회지 Vol.43 No.1

We examine the volatility transmission and convergence effects between the Korean and US financial markets. Based on the VAR (Vector Auto regression) framework, we analyze the dynamics of implied volatilities of the two markets during the sample period from 1998 to 2013. Our empirical findings are as follows. First, though the implied volatility of the Korean equity market was twice larger than that of the US market before 2000, the difference between the volatilities has been continuously decreased since 2000. Second, individual and institutional trades positively contribute to the volatility transmission effect whereas foreign trades negatively contribute to the effect. Third, the trading activity in the KOSPI200 nighttime futures and options has a negative effect on the volatility transmission, yet, the effect is not highly significant.

가격발견지수의 제안과 가격발견요인에 관한 연구

염명훈 ( Myeong Hoon Yeom ),백재승 ( Jae Seung Baek ),류두진 ( Doo Jin Ryu ) 한국금융공학회 2013 금융공학연구 Vol.12 No.4

This study proposes using the price discovery index (PDI) to measure the price discovery effect. In order to verify the usefulness and effectiveness of the PDI, we compare the results of analyses based on the PDI with results based on the classical VAR model. Using the PDI, we also examine factors that contribute to the price discovery process, such as liquidity, volatility, and investor participation rates. The empirical findings of this paper are as follows. First, the PDI plays important and appropriate roles in measuring the price discovery effect. Second, there is a significant inverse relationship between volatility and the price discovery effect. Third, liquidity and investor participation rates play insignificant roles in the price discovery process. The PDI makes it easier to analyze the price discovery effect and has important economic implications.

KRX금시장과 국제금융시장의 상호연관성에 관한 연구 : CME선물시장을 중심으로

염명훈 ( Myeong-hoon Yeom ),김지훈 ( Jihun Kim ) 한국파생상품학회 2018 선물연구 Vol.26 No.3

KRX (Korea Exchange) gold market opened in March 2014 according to the government policy legalizing financial transactions, and traded one-gram unit of the real gold by Korean currency (KRW) in the exchange market. Despite the fact that KRX gold market showed the high efficiency in terms of tax and fee in contrast to the existing gold market, the studies on KRX gold market were scarcely performed until quite recently. This study introduce KRX gold market and shows the price discovery function of KRX gold market. Empirical analyses and the results were as follows. First, the return rate of CME gold futures at the t-1 day had a positive impact of significance on market rate of return of KRX gold market at the t day. Second, the KRX gold market also has price discovery function in global gold market. We analyze the efficiency of the KRX gold market by comparing the dollar spot price of gold in the KRX gold market and the price of CME gold futures. These results support the proper efficiency of the KRX gold market in terms of price discovery.

KOSPI200 야간선물을 활용한 투자전략

염명훈 ( Myeong Hoon Yeom ),백재승 ( Jae Seung Baek ),류두진 ( Doo Jin Ryu ) 한국파생상품학회 2013 선물연구 Vol.21 No.3

This paper investigates investment and hedging strategies using the KOSPI200 nighttime futures product which was launched at November 16th, 2009. To examine the performance of the investment strategies, we analyze one-minute transaction data of KOSPI200 daytime and nighttime futures from November 17th, 2009 to December 6th, 2012. Our empirical results are as follows: First, the investment strategies using the nighttime futures significantly outperform the investment strategies based only on the daytime futures. Second, the investment and hedging strategies using the KOSPI200 nighttime futures are quite effective when investors have positions in the ETFs. Third, the empirical performance of the investment strategies using the nighttime futures is significantly related to volatility shocks. The strategies are more effective when the market is volatile.

NYSE 한국물 ETF에 관한 연구

염명훈 ( Myeong-hoon Yeom ),백재승 ( Jae-seung Baek ) 한국파생상품학회 2015 선물연구 Vol.23 No.4

This study focused on the Korea ETF which is listed and traded in NYSE (New York stock exchange) and analyzed empirically the price discovery effect of NYSE Korea ETF on the Korean stock market. There was almost no related research even though the Korea ETF listed in NYSE did not only show high correlation with the Korean stock market but also was often used as a predictive tool of the Korean stock market by investors. The significance of this study is in conducting a price discovery analysis on the Korea ETF traded in NYSE by using sample data of ‘iShares MSCI South Korea Capped (symbol: EWY)`` of the most abundant liquidity among Korea ETF traded in NYSE. Also, the Korea ETF traded at in Korean nighttime is the spot trading, but since the KOSPI200 nighttime futures are the derivatives trading, there is an implication that the price discovery effect between spot market and derivatives market can be compared by comparing each price discovery effect.

한국 보험업지수 구분에 관한 연구: 손해보험업지수와 생명보험업지수의 개발과 제안

이천영 ( Chun-young Lee ),백재승 ( Jae-seung Baek ),염명훈 ( Myeong-hoon Yeom ) 한국금융공학회 2020 금융공학연구 Vol.19 No.4

In this paper, we examine whether the current insurance industry index of Korea Exchange(KRX) is appropriate as an index representing the non-life and life insurance business. In the case of the U.S., the life insurance industry index was released in 1987, and the industry index for the life insurance, non-life insurance and the integrated insurance were released separately in 1992. The results of an analysis to verify whether the current KRX insurance industry index represent the Korea’s non-life and life insurance industry properly by using Granger causality test and VAR model are summarized as follows. First of all, this study developed and proposed the new index which subdivides into the non-life insurance industry index and the life insurance industry index. The result from the Granger causality test shows that there is no causal relationship between the non-life insurance industry index and KRX insurance industry index statistically. Based on the result, it is analyzed that the KRX insurance industry index does not represent the Korea’s non-life insurance industry index. Second, the results of VAR model estimation also confirm that the KRX insurance industry index is not suitable for representing both the non-life and life insurance industry index. As a result, the KRX insurance industry index currently announced by the Korea Exchange has limits in representing both the non-life and life insurance industry in Korea, and this study implies the necessity to develop and publish them separately in the Korean stock market.

Ginsenosdie F1과 EGCG의 상승작용에 의한 자외선조사에 의한 세포 사멸 방지

조시영 ( Si Young Cho ),이은희 ( Eun Hee Lee ),염명훈 ( Myeong Hoon Yeom ),장이섭 ( Ih-seop Chang ),이태룡 ( Tae Ryong Lee ) 대한화장품학회 2004 대한화장품학회지 Vol.30 No.2

Ginsenosides and green tea extracts show a variety of biomedical efficacies such as anti-aging, anti-oxidation and anti-tumor-promotion effects. (-)-Epigallocatechin-3-gallate (EGCG) has been reported to inhibit the UVB-induced apoptosis by increasing the Bcl-2-to-Bax ratio. We have previously shown that ginsenoside F1 protects human HaCaT cells from ultraviolet-B (UVB)-induced apoptosis by maintaining constant levels of Bcl-2 and Brn-3a. Here, we investigate the combined effect of ginsenoside F1 and EGCG on the protection of human HaCaT keratinocyte against UVB-induced apoptosis. When treated individually, although 5 μM ginsenoside F1 and 50 μM EGCG protected cells from UVB-induced apoptosis, 2 μM ginsenoside F1 or 10 μM EGCG treatment showed very little protection effect. However, cotreatement of 2 μM ginsenoside F1 and 10 μM EGCG successfully protected HaCaT cells from UVB-induced cell death. As expected, combining ginsenoside F1 and EGCG efficiently prevented UVB-induced decrease of Bcl-2 and Brn-3a expression. In addition, cotreatment with ginsenoside F1 and EGCG prevented the dephosphorylation of Rb, whereas individual treatment with ginsenoside F1 or EGCG failed to prevent the dephosphorylation of Rb even at high concentrations.

연잎, 연꽃, 연꽃 수술 추출물이 UVB 자외선 조사에 의한 각질형성세포의 보호 및 피부 노화 방지에 미치는 영향

장문석 ( Mun Seog Chang ),고은빛 ( Eun Bit Ko ),이호진 ( Ho Jin Lee ),김주성 ( Ju Sung Kim ),김진수 ( Jin Soo Kim ),지성원 ( Sung Won Jee ),김휴영 ( Hyu Young Kim ),염명훈 ( Myeong Hoon Yeom ),김덕희 ( Duck Hee Kim ),김한곤 ( Han 대한본초학회 2011 대한본초학회지 Vol.26 No.2

Objectives: The purpose of this study was to investigate the anti-aging effects on cultured human keratinocytes with Nelumbo nucifera extracts. Methods: Each parts of leaves, flowers and stamen were extracted with water or 70% ethanol. These extracts were tested for cell viability on HaCaT cells (human keratinocyte line) by MTT assay. We investigated the effects of Ultraviolet-B (UVB) irradiation on cytotoxicity and lipid peroxidation in cultured skin keratinocytes. Results: The ethanol extract of Nelumbo nucifera flowers showed maximun cell viability as 111.39% in 30 ug/ml concentration. The water extracts of stamen, flowers, leaves showed cell viability as 107.12, 101.65, 101.46%, respectively. HaCaT keratinocytes were survived 63.06% at 20 mJ/cm2 UVB irradiation. The cell membrane lipid peroxidation was measured by accumulation malondialdehyde (MDA). The levels of MDA were decreased by the ethanol extract of Nelumbo nucifera flowers and the water extracts of stamen. Conclusions: These finding suggest that the ethanol extract of Nelumbo nucifera flowers prevent anti-aging effects on cultured human keratinocytes during UVB irradiation.