Jinyoung Yu

Flexible hydrogels are receiving significant attention for their application in wearable sensors. However, most hydrogel materials exhibit weak and one-time adhesion, low sensitivity, ice crystallization, water evaporation, and poor self-recovery, thereby limiting their application as sensors. These issues are only partly addressed in previous studies. Herein, a multiple-crosslinked poly(2-(methacryloyloxy)ethyl)dimethyl-(3-sulfopropyl)ammonium hydroxide-co-acrylamide) (P(SBMA-co-AAm)) multifunc

Abstract We use a high‐quality microstructure data set of KOSPI 200 index options to examine the patterns of informed options trading around holidays, depending on options market characteristics. The information content of options trading increases around holidays, and this holiday effect is pronounced for out‐of‐the‐money calls and at‐the‐money puts. Informed large trades reinforce the holiday effects for out‐of‐the‐money call options. Foreign investors are generally informed, and their out‐of‐

This study constructs an extended value-at-risk model that incorporates all microstructural liquidity components using a high-quality tick-by-tick index options market dataset. Out-of-sample backtesting and mean-difference analyses suggest that the traditional value-at-risk measure significantly underestimates investors’ potential losses relative to our new liquidity-adjusted measure. Logistic regressions reveal that ex-ante market illiquidity increases violations of liquidity-adjusted value-at-

This study examines the effectiveness of the Basel III capital framework for mitigating procyclical behavior in the banking sector regarding macroeconomic variability and uncertainty. Our sample includes Korean banking industry data from 2001 to 2018. Using fixed- and random-effects panel data and fixed-effects difference-in-differences approaches, we discover that procyclicality in banks’ performance and capital factors is mitigated after the Basel III accord is adopted. The capital adequacy ra

Abstract This study examines the left‐digit bias of individual and institutional investors using the microstructural data set from a highly liquid index futures market. Both investor groups exhibit excess buying after the ask falls with a tens‐digit decrement, whereas excess selling (buying) is observed only for institutions (individuals) after the bid rises with a tens‐digit increment. Such excess buying is generally pronounced when price uncertainty is high. Institutional excess selling is evi

This study investigates the impacts of the introductions of commodity exchange-traded notes on the corresponding underlying commodity futures markets around their issuance announcement and listing dates. Focusing on the Korean market, a leading and influential emerging market, we adopt an event study approach to analyze changes in futures returns and volatilities. Considering the potential cyclicality and seasonality of commodity futures dynamics, we use the Hodrick-Prescott filter to decompose

Abstract This study examines whether the composition of market participants contributes to shaping market liquidity around central bank announcements. By analyzing transaction‐level data from a stock index futures market, we find that the roles of foreign and domestic institutional investors in taking or providing liquidity, respectively, are switched following the news announcements. The participation of domestic (foreign) institutions is negatively (positively) associated with liquidity provis

ABSTRACT This study explores whether frequent trading is profitable to investors in an emerging stock index futures market. Our analyses, based on long‐term data from 2010 to 2023, indicate that the effect of trading frequency differs across investor types and market conditions. Only some domestic institutions gain additional profits from more frequent trading, and such a tendency is apparent when the futures price falls and when the futures market volatility is low. Foreign investors experience

This study examines the reaction of Korean banks’ procyclical behaviour to the adoption of the Basel III accord, which imposes a global capital framework on banks, and the sensitivity of Korean banks’ reactions depending on their capital structures prior to the adoption of the accord. Employing the random-effects panel data approach, we find that the procyclicality of banks, in terms of the capital adequacy ratio, profitability, and insolvency risk, is mitigated after the adoption of the accord.