Value at risk forecasting for volatility index

Forecasts of values at risk (VaRs) are made for volatility indices such as the VIX for the US S&P 500 index, the VKOSPI for the KOSPI (Korea Stock Price Index) and the OVX (oil volatility index) for crude oil funds, which is the first in the literature. In the forecasts, dominant features of the volatility indices are addressed: long memory, conditional heteroscedasticity, asymmetry and fat-tails. An out-of-sample comparison of the VaR forecasts is made in terms of violation probabilities, showing better performance of the proposed method than several competing methods which consider the features differently from ours. The proposed method is composed of heterogeneous autoregressive model for the mean, GARCH model for the volatility and skew-t distribution for the error.     

Understanding the Remittance Gender Gap among Hispanics in the US: Gendered Norms and the Role of Expectations

Using the 2006 Latino National Survey (LNS), this study analyzes the existence of a gender gap in favor of men in the monetary remittance behavior of Hispanics residing in the United States. Findings indicate that cultural gender norms and expectations in the country of origin play a key role. The study shows that women migrants are less likely to remit than men and, when they do, they transfer smaller amounts. The remittance gender gap is not universal among subgroups, since it is only observable among Hispanics who came to the US to improve their economic situation, plan to return to their home country, and have low income and low schooling. An index on migrants’ perceptions of gender roles as a proxy for cultural gendered norms is constructed and shows that more traditional gender views are associated with a significant gender gap in favor of men in remittances.     

Credit Rating and Monetary Policy Transmission to Equity Markets: Evidence from the Emerging Market

This study empirically estimates credit channel of the monetary policy and corporate stock return using daily stock return data including the sample with non-financial firms listed in Korea stock exchange (KOSPI). Empirical results support that changes in the basis rate turn out to increase equity returns in case of the firms with higher credit rating compared to the previous year. The estimation results confirm the conjecture that monetary policy has a significant impact on stock market through the channel of changes in credit rating.     

Determinants of Different Modes of FDI: Firm-Level Evidence from Japanese FDI into the US

There are four major modes through which firms undertake foreign direct investment (FDI) – merger and acquisition (M&A), joint venture (JV), new plant (NP) and others (O). The four modes of FDI are distinct from each other, and each has its own unique advantages and disadvantages. While a large and growing empirical literature examines the determinants of FDI, very few studies examine the determinants of different modes of FDI. The central objective of this paper is to empirically analyze the extent to which the determinants of FDI such as firm size influences the choice of one mode of FDI over another. Our analysis follows a stylized two-stage investment process. First, we look at the probability of whether a Japanese firm is willing to undertake FDI in the US. Second, for firms that are willing to undertake FDI, we analyze which mode of FDI - i.e. M&A, joint venture, new plant or other FDI – they will undertake. The second stage is the innovation of this paper and its contribution to the FDI literature.     

The Importance of an Innovative Product Design on Customer Behavior: Development and Validation of a Scale

The importance of innovative product design (IPD) has increased in recent years because customers' decision‐making factors have changed from product price to product design. However, a definition and measurement of IPD have not been developed adequately. Building on the customer perspective, this study defines IPD and develops its standard measurement with three product design attributes: aesthetics, features, and ergonomics. Results of the empirical test indicate strong evidence for the reliability and validity of the measurement. Overall, this study shows that our measurement captures unique customer perceptions on product innovativeness from the product design. Additionally, theoretical and practical implications are discussed.     

How does the partner type in R&D alliances impact technological innovation performance? A study on the Korean biotechnology industry

The number of strategic alliances for R&D activities in the biotechnology industry is sharply increasing. Some studies show that each alliance partner type has different alliance motives, resources and capabilities, organizational structures and cultures, and degrees of competition with partners, which can lead to different performances of strategic alliances. In this regard, this study conducts an empirical analysis of the different impact of each type of alliance partner on technological innovation performance and finds the moderating effect of absorptive capacity and potential competition by categorizing strategic alliances for R&D activities in the biotechnology industry into three types: vertical-downstream alliances, vertical-upstream alliances, and horizontal alliances. This study analyzed 206 Korean biotechnology firms and their strategic alliances for a total of 292 R&D activities. The results of the analysis showed that vertical alliances have a positive impact on technological innovation performance, while horizontal alliances have an inverted U-shaped relationship with technological innovation performance caused by the effect of competition. Additionally, it was confirmed that the R&D intensity of biotechnology firms has a moderating effect of increasing the impact of vertical-upstream alliances on technological innovation performance.     

Lopsided inclusion: The impact of multi-employer bargaining and class-based unionism on non-regular employment in South Korea

This study examines the impact of multi-employer bargaining on non-regular workers across different unions and types of non-regular employment. Using national representative survey data from South Korea, I find that multi-employer bargaining increases the likelihood that a workplace union would address a pay increase for non-regular workers when the union was affiliated with a confederation espousing class-based as opposed to business-unionism. However, such a relationship was weaker for temporary agency workers and subcontractors than for direct-hire fixed-term workers. This mechanism is further illustrated through a second round of data collection and analysis, namely in-depth interviews. I identify two factors that characterize the class-based confederation: (1) centralized pressure from the union and (2) activists and their identity work. Altogether, these results further an understanding of how the identities of national union confederations can influence local representatives’ approach to representing non-regular workers and how those influences are manifested through workplace-level collective bargaining.     

基于东北亚经济合作的战略伙伴关系

文章在分析了东北亚经济合作的必要性的基础上,探讨了作为主要经济合作手段 的东北亚各国产学研机构间的战略伙伴关系,并提出了发展东北亚经济共同体的具体模式。     

Does local political support influence financial markets? A study on the impact of job approval ratings of political representatives on local stock returns

Using data on job approval ratings of governors, U.S. senators, and the president, we find that firms located in states with high approval ratings outperform firms located in states with low approval ratings by .64% per month. Furthermore, this relationship is stronger when investors are actively involved in politics, when local politicians are closer to the center of political power, for small firms that have a larger proportion of local investors, and for financially strong areas where investors are ready to execute investments in local stocks. Overall, our study shows that investors’ political sentiment is important in determining stock returns.