The time difference effect of a measurement unit in the lead-lag relationship analysis of Korean financial market

This paper investigates Korean financial markets for the study of market microstructure of price discovery in the KOSPI 200 stock index and its related derivatives markets using different time-interval price data. The Granger causality test and vector error correction model are used to analyze the empirical relationship between markets. The lead-lag relationship between the KOSPI 200 stock index and its derivatives markets can be supported by the trading cost hypothesis and leverage effect hypothesis. This paper also shows the congruent lead-lag results in various time-intervals, but as the time-interval becomes large, more information loss and spurious results are induced. The correlations among 1-minute data, 5-minute data, and 10-minute data are significant under a 1% significance level, however, in the case of 60-minute data, the correlations with any other time-interval data are not significant. The 60-minute data even have negative correlations with others. These results are consistent regardless of the raw data or the innovation data. Therefore, we can conclude that the previous research using the 60-minute data due to an insufficiency of trading volume can be biased considerably.     

Revisiting importance–performance analysis

As a tool to develop marketing strategies, importance–performance analysis has gained popularity among hospitality and tourism researchers for its simplicity and ease of application. This article revisited several conceptual and methodological issues inherent, but often overlooked, in using the importance–performance analysis framework. The author conducts a critical review of past studies, reanalyzes published data to raise questions, and develops suggestions for future hospitality and tourism research applying importance–performance analysis. The primary goal of this article was to stimulate further discussion and research on the validity and reliability of widely adopted importance–performance analysis.     

Classes of Interest Rate Models under the HJM Framework

Although the HJM term structure model is widely accepted as the mostgeneral, and perhaps the most consistent, framework under which to studyinterest rate derivatives, the earlier models of Vasicek,Cox–Ingersoll–Ross, Hull–White, andBlack–Karasinski remain popular among both academics andpractitioners. It is often stated that these models are special cases ofthe HJM framework, but the precise links have not been fully establishedin the literature. By beginning with certain forward rate volatilityprocesses, it is possible to obtain classes of interest models under theHJM framework that closely resemble the traditional models listed above.Further, greater insight into the dynamics of the interest rate processemerges as a result of natural links being established between the modelparameters and market observed variables.     

A global Malmquist-Luenberger productivity index

This paper introduces an alternative environmentally sensitive productivity growth index, which is circular and free from the infeasibility problem. In doing so, we integrated the concept of the global production possibility set and the directional distance function. Like the conventional Malmquist-Luenberger productivity index, it can also be decomposed into sources of productivity growth. The suggested index is employed in analyzing 26 OECD countries for the period 1990–2003. We also employed the conventional Malmquist-Luenberger productivity index, the global Malmquist productivity index and the conventional Malmquist productivity index for comparative purposes in this empirical investigation.     

Adoption of digital repositories for CO2 emissions reduction: the case of Korea

This study aims to estimate the potential economic benefits, energy and CO₂ emissions reductions when using trusted third-party digital repository (TTPR) services in one individual bank, and within the banking industry in Korea. First, the cost, benefit and net benefit of using TTPR services in the banking industry are estimated. Second, the net induced output effect is estimated. Third, based on an environmentally extended input–output analysis, CO₂ emissions reduction was estimated as 1924.32 tons in 2009 and the energy consumption reduction as 640.70 TOE. Fourth, the total economic benefit, which is the sum of the net induced output effect and economic value of CO₂ emissions reductions, is approximately $11.04 million. The findings demonstrate that energy consumption and CO₂ emissions reductions are meaningful enough to result in significant economic benefits. Therefore, the Korean government should promote the use of TTPR services in the entire industry.     

Does venture capital investment enhance corporate innovation? Evidence from Korea

We examine whether venture capital (VC) investment enhances corporate innovation in Korea. Using a matched sample of 802 firms from 1998 to 2012, we find that after the first round of VC investment, VC-backed firms are more innovative than non-VC-backed firms. Our results suggest that the positive influence of VC investment largely comes from the ability of VC firms to reduce information asymmetry between investors and ventures: VC funds managed by independent venture capitalists significantly enhance corporate innovation, whereas those managed by governmental venture capitalists do not. Furthermore, this positive influence becomes more pronounced where there is greater information asymmetry. Finally, we show that funds with profit-based compensation structures are more likely to encourage corporate innovation than those with fee-based compensation structures.     

Taming polysemous signals: The role of marketing intensity on the relationship between financial leverage and firm performance

This study traces the degree of integration and volatility spillover effect between the Pakistani and leading foreign stock markets by analyzing the Meteor shower hypothesis. Daily data are used from nine worldly equity markets (KSE 100, NIKKEI 225, HIS, S&P 500, NASDAQ 100, DOW JONES, GADXI, FTSE 350 and DFMGI) for the period of 2005 to 2014. First, we used the whole data set and after that we split data set into two subsets, First subset of data contains the era of global financial crisis of 2008 from 2005 to 2009 and Second subset is after global financial crisis time period from 2010 to 2014 (The global crisis prevailed till end of 2009). By following the Hamao et al. (1990) technique the univariate GARCH type models are employed to explore the dynamic linkages between Pakistani and leading foreign stock markets. The results from whole data set illustrate that there is mixed co‐movements between leading foreign stock markets and Pakistani stock market. The results from both subsets provide an evidence that there is a unidirectional mean and volatility spillover effect from S&P 500, NASDAQ 100, DJI and DFMGI to KSE 100. Also we found bidirectional spillover effect between DFMGI and KSE 100 from both subsets of data. We concluded that there is only one indirect linkage through which may the information transmitted to KSE 100. This linkage is developed due to the co‐movement among KSE 100, DFMGI and NASDAQ 100 in crisis period. This integration between these markets may provide a sign of indirect linkage. It also exhibits the volatility in Pakistan stock market returns is instigated through direct effects as well as indirect effects. Our study brings important conclusions for financial institutions, portfolio managers, market players and academician to diagnose the nature and level of linkages between the financial markets.     

Assessing environmentally sensitive productivity growth: incorporating externalities and heterogeneity into water sector evaluations

Journal of Productivity Analysis - The drinking water and wastewater services often involve heterogenous production environments and considerable negative externalities such as greenhouse gas...     

Korean Television Dramas and the Political Economy of City Promotion

This article examines the ways in which urban processes are associated with the production of culture. It does so by exploring how Korean cities sponsor drama. The historically conditioned and economically neglected status of regional cities, combined with elected local leaders' desire to promote their own areas, has led to a strategy to publicize them by leveraging the popularity of Korean television dramas in Asia. Two distinct types of drama sponsorship by cities — the construction of outdoor settings for drama and ‘city placement’ — manifest the interactions between story‐making and place‐making. The affective process that blends city sites with the characters, storylines and emotional flows of TV drama imbues those sites with a dramatic quality that stimulates the audience's empathy and persuasively motivates them to actually visit the places they have seen televised. Thanks to the broad penetration of television drama, sponsorship by cities has strikingly boosted drama‐driven tourism. Nevertheless, reflecting the speculative nature of TV drama, city promotion through this medium has had limited stability and sustainability. In sum, this article demonstrates that the production of Korean television dramas is deeply associated with the material and spatial conditions in Korean cities.