안광원 교수

This study examines the effect of the 2008 global financial crisis on the crude oil market. We use the Hurst exponent, Shannon entropy, and the scaling exponent to characterize the changes in the oil market properties (i.e., efficiency, long-term equilibrium, and collective phenomena) caused by the financial crisis. Although volatility in the oil market remained the same after the crisis, we find that the crisis altered the scale-invariant property of the oil market, and it also negatively influ

Abstract This paper studies the contribution of newly launched SSE 50 Index‐based options and futures to price discovery. We find that the derivatives markets quickly begin exhibiting price leadership over the corresponding spot market, despite their short history; the information share from both derivatives markets rose from 59.84% in mid‐2015 to 84.6% in mid‐2017. Using substantial regulation changes during the sample period, we test the trading cost hypothesis. The increases in derivatives tr

This study investigates the effects of stock market uncertainty on economic fundamentals, represented by economic activities and systemic risk, in China. To capture the uncertainty in the Chinese stock market precisely, we use the entropy measure through symbolic time-series analysis. The empirical findings reveal strong spillover effects from stock market uncertainty to economic fundamentals. Specifically, an uncertainty shock generates (i) a short-term decline in industrial production, (ii) a

We propose a quantum harmonic oscillator as a model for the market force which draws a stock return from short-run fluctuations to the long-run equilibrium. The stochastic equation governing our model is transformed into a Schrodinger equation, the solution of which features quantized eigenfunctions. Consequently, stock returns follow a mixed χ distribution, which describes Gaussian and non-Gaussian features. Analyzing the Financial Times Stock Exchange (FTSE) All Share Index, we demonstrate tha

This paper studies the causal relationship between Bitcoin and other investment assets. We first test Granger causality and then calculate transfer entropy as an information-theoretic approach. Unlike the Granger causality test, we discover that transfer entropy clearly identifies causal interdependency between Bitcoin and other assets, including gold, stocks, and the U.S. dollar. However, for symbolic transfer entropy, the dynamic rise–fall pattern in return series shows an asymmetric informati

This study analyzes the efficiency of the crude palm oil (CPO) futures market by conducting a variance ratio test and comparing it to the West Texas Intermediate (WTI) futures market. We discover that the weak-form efficient market hypothesis holds for both the CPO and WTI futures markets despite the significant difference in their liquidity. Using a scaling exponent, we investigate speculative trading activities and find that trading CPO futures in expectation of significant returns does not st

This study examines the potential of Shanghai crude oil (SCO) futures as a benchmark in the Asian market. We investigate the market efficiency and long-term equilibrium of SCO futures in comparison with global benchmarks, such as West Texas Intermediate, Brent, and Dubai crude oil futures. Despite the weak market integration between SCO futures and other international benchmarks, we find strong evidence that their market efficiency and long-term equilibrium do not significantly differ. We explai

This paper studies the contribution of real estate bubble to a financial crisis. First, we document symptoms of a real estate bubble along with a slowdown of the real economy and find indicators of an imminent crash of the stock market, triggering a sense of déjà vu from the 2008 crisis. However, we show that the relationship between real estate and financial markets has changed since the crisis. The empirical analyses provide evidence that the monetary policy has recovered its control over mort

Abstract This study explains the role of economic uncertainty as a bridge between business cycles and investors’ herding behavior. Starting with a conventional stochastic differential equation representing the evolution of stock returns, we provide a simple theoretical model and empirically demonstrate it. Specifically, the growth rate of gross domestic product and the power law exponent are used as proxies for business cycles and herding behavior, respectively. We find stronger herding behavior