Professor, Division of International Trade, The College of Politics & Public Affairs, Incheon National University (INU)
(Songdo-dong)119 Academy-ro, Yeonsu-gu, Incheon, 22012, Republic of Korea
(Tel) +82-32-835-8549
(Fax) +82-32-835-0786
(E-mail) junsici[at]inu.ac.kr; junsici[at]gmail.com
Korea Advanced Institute of Science and Technology (KAIST) College of Business, Seoul, Republic of Korea
Ph.D. in Finance, 2014
"Essays on Information Content of Index Options for Stock Market Movements"
M.S. in Finance, 2009
Korea Advanced Institute of Science and Technology (KAIST), Daejeon, Republic of Korea
B.S. in Mathematics, 2007
Kyeongbuk Science High School, 2003, Pohang, Republic of Korea
Incheon National University (INU), Republic of Korea
Professor (with tenure), 3/2024 – Present
Associate Professor, 3/2019 – 2/2024
Assistant Professor, 2/2015 – 2/2019
KAIST College of Business, Republic of Korea
Adjunct Professor, 10/2014 – 12/2014
KAIST Financial Engineering Research Center, Republic of Korea
Research Fellow, 3/2014 – 8/2014
Seoul Women’s University, Republic of Korea
Lecturer, 3/2014 – 6/2014
Volatility forecasting
Empirical asset pricing
Behavioral finance
International Journals:
“The information content of risk-neutral skewness for volatility forecasting”, Journal of Empirical Finance (SSCI) 23, 142-161 (2013), Corresponding Author.
“ELW pricing kernel and empirical risk aversion”, Applied Economics Letters (SSCI) 21 (5), 372-376 (2014), First Author.
“Intraday price dynamics in spot and derivatives markets”, Physica A: Statistical Mechanics and its Applications (SCI) 394, 247-253 (2014), First Author.
“Investor sentiment and return predictability of disagreement”, Journal of Banking & Finance (SSCI) 42, 166-178 (2014), First Author.
“The information content of option-implied information for volatility forecasting with investor sentiment”, Journal of Banking & Finance (SSCI) 50, 106-120 (2015), Corresponding Author.
“Return and volatility spillovers and co-jump behavior between the US and Korean stock markets”, Emerging Markets Finance and Trade (SSCI) 51 (Sup. 1), S3-S17 (2015), First Author.
“Are the KOSPI 200 implied volatilities useful in Value-at-Risk models?”, Emerging Markets Review (SSCI) 22, 43-64 (2015), First Author.
“Effect of the sub-prime mortgage crisis on a leading emerging market”, Investment Analysts Journal (SSCI) 44 (1), 20-42 (2015), First Author.
“Corporate Vulnerability Index as a Fear Gauge? Exploring the Contagion Effect between U.S. and Korean Markets”, Journal of Derivatives (SSCI) 23 (1), 73-88 (2015), First Author.
“Individual mean-variance relation and stock-level investor sentiment”, Journal of Business Economics and Management (SSCI) 18 (1), 20-34 (2017), First Author.
“Investor Sentiment and Return Predictability of the Option to Stock Volume Ratio”, Financial Management (SSCI) 46 (3), 767-796 (2017), First Author.
“What options to trade and when: Evidence from seasoned equity offerings”, Journal of Financial Markets (SSCI) 37, 70-96 (2018), Co-author.
“Effects of the Asian financial crisis on the relation between leverage and employee compensation”, Spanish Journal of Finance and Accounting (SSCI) 48 (1), 1-20 (2019), Co-author.
“Index options open interest and stock market returns”, Journal of Futures Markets (SSCI) 40 (6), 989-1010 (2020), Corresponding Author.
“Uncertainty and the volatility forecasting power of option-implied volatility”, Journal of Futures Markets (SSCI), 40 (7), 1109-1126 (2020), Corresponding Author.
“Risk-return relationship and individualism”, Applied Economics Letters (SSCI), 29 (8), 760-766 (2022), Corresponding Author.
“Investor Sentiment and Mean-variance Relationship in Cryptocurrency Market”, Asian Review of Financial Research (SCOPUS) 35 (3), 35-66 (2022), Single Author.
Domestic Journals:
“Monte Carlo Greeks using the WKB Approximation”, Korean Journal of Futures and Options (선물연구, KCI) 19 (4), 389-426 (2011), Corresponding Author.
“Leading and following variance risk premiums: Evidence from S&P500 and KOSPI200 options”, Korean Journal of Futures and Options (선물연구, KCI) 22 (1), 45-70 (2014), Corresponding Author.
“The Effect of Short Sale Ban on the Relation between Disagreement and Stock Returns”, Korean Journal of Futures and Options (선물연구, KCI) 23 (2), 155-182 (2015), First Author.
“Return Predictive Power of Uncertainty about Risk for U.S. and Korean Stock Markets”, The Korean Journal of Financial Management (재무관리연구, KCI) 35 (1), 49-81 (2018), Single Author.
“Term Spreads and Global Asset Allocations in Korea”, Journal of Money & Finance (금융연구, KCI) 34 (1), 55-111 (2020), First Author.
“The effect of uncertainty on the information content of term spread and its components”, Journal of Derivatives and Quantitative Studies: 선물연구 (KCI) 29 (1), 2-28 (2021), Single Author.
“Thirty years of the Journal of Derivatives and Quantitative Studies: a bibliometric analysis”, Journal of Derivatives and Quantitative Studies: 선물연구 (KCI) 29 (4), 258-279 (2021), Corresponding Author.
“Mean–variance relationship and uncertainty”, Journal of Derivatives and Quantitative Studies: 선물연구 (KCI) 30 (1), 23-45 (2022), Single Author.
Incheon National University (INU)
Courses: Financial Economics, Statistics, Theory of Financial Products, Principles of Management, Seminar on Finance(Financial Management, Derivatives)
KAIST College of Business (3/2014 – 6/2014)
Courses: Management of Derivative Positions
Seoul Women's University (3/2014 – 6/2014)
Courses: Derivatives
한국파생상품학회(Korea Derivatives Association)
총무이사(General Executive): 1/2016 – 12/2016
이사(Board of Directors): 1/2017 – Present
선물연구(Korean Journal of Futures and Options, KCI)
편집위원(Associate Editor): 2/2017 – 5/2020
선물연구(Journal of Derivatives and Quantitative Studies: 선물연구, SCOPUS)
편집위원(Associate Editor): 5/2020 – Present
명지대학교 금융지식연구소(Institute for Finance & Knowledge)
금융지식연구(Journal of Knowledge Studies, KCI)
편집위원(Associate Editor): 3/2016 – 12/2021
한국재무관리학회(Korean Financial Management Association)
재무관리연구(The Korean Journal of Financial Management, KCI)
편집위원(Associate Editor): 1/2017 – 12/2020
한국재무학회(Korean Finance Association)
이사(Board of Directors): 1/2018 – 12/2021
한국증권학회(Korean Securities Association)
한국증권학회지(Korean Journal of Financial Studies, SCOPUS)
편집위원(Associate Editor): 3/2019 – 8/2022
한국금융정보학회(Financial Information Society of Korea)
금융정보연구(Review of Financial Information Studies, KCI)
편집위원(Associate Editor): 3/2024 – Present
Ad-hoc referee
International Journals:
ACM Computing Surveys (SCIE)
Applied Economics (SSCI)
Applied Economics Letters (SSCI)
Asian Review of Financial Research (재무연구, SCOPUS)
Asia-Pacific Journal of Financial Studies (SSCI)
Emerging Markets Finance and Trade (SSCI)
Emerging Markets Review (SSCI)
Eurasian Business Review (SSCI)
Finance Research Letters (SSCI)
Global Economic Review: Perspectives on East Asian Economies and Industries (SSCI)
International Journal of Finance and Economics (SSCI)
International Journal of Information Technology & Decision Making (SCIE)
International Review of Economics and Finance (SSCI)
Investment Analysts Journal (SSCI)
Journal of Banking & Finance (SSCI)
Journal of Business Research (SSCI)
Journal of Derivatives and Quantitative Studies (Journal's old name: Korean Journal of Futures and Options) (선물연구, SCOPUS)
Journal of Financial Research (SSCI)
Journal of Futures Markets (SSCI)
Journal of Relationship Marketing (SCOPUS)
Journal of the Korean Statistical Society (SCIE)
Korean Journal of Financial Studies (한국증권학회지, SCOPUS)
Management Science (SSCI)
North American Journal of Economics and Finance (SSCI)
Pacific-Basin Finance Journal (SSCI)
SAGE Open (SSCI)
Sustainability (SSCI)
The European Journal of Finance (SSCI)
Domestic Journals:
Financial Stability Studies (금융안정연구, KCI)
Journal of Economic Research (KCI)
Journal of Insurance Studies (보험금융연구, KCI)
Journal of Money & Finance (금융연구, KCI)
Journal of The Korean Official Statistics (통계연구, KCI)
Korea Business Review (KCI)
Korea Logistics Review (한국물류학회지, KCI)
Korean Journal of EU Studies (EU학 연구, KCI)
Korean Journal of Financial Engineering (금융공학연구, KCI)
The Korean Journal of Financial Management (재무관리연구, KCI)
(2017) 한국조세재정연구원: 구조조정을 위한 증권거래세 면제 심층평가
(2020) 국토교통부: 주택도시기금 여유자금 운영 보조기관 선정기준 연구
(2021) 한국거래소: 증권시장 거래증거금 VaR 모형 산출모델 개발방안
Best Paper Award, Doctoral Consortium hosted by five Korean Finance Associations, 2011
Ph.D. Excellent Research Award, KAIST College of Business, 2011
Best Ph.D. Thesis Award, KAIST College of Business, 2014
Best Referee Award, Korean Finance Association, 2015
Academic Research Award (Excellence), Incheon National University, 2015
Best Referee Award, Korea Derivatives Association, 2018
Best Teaching Award (Top Excellence), Incheon National University, 2019
Best Referee Award, Korea Derivatives Association, 2020
The 10th KBR(Korea Business Review) Best Reviewer Award, Korean Academic Society of Business Administration, 2021
2020 Academic Research Award, Incheon National University, 2021
JDQS(Journal of Derivatives and Quantitative Studies) Best Paper Award, Korea Derivatives Association, 2021
2021 Academic Research Award, Incheon National University, 2022
JDQS(Journal of Derivatives and Quantitative Studies) Excellence Paper Award, Korea Derivatives Association, 2022
2022 Academic Research Award, Incheon National University, 2023
Best Referee Award, Korea Derivatives Association, 2023
(Updated at March 2024)