Curriculum Vitae

Position

• • 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 

Education

• • 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

Academic Experience

• • 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

Research Interest

• • Volatility forecasting

  • Empirical asset pricing

  • Behavioral finance

Publications ([google scholar])

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.

Teaching

• • 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

Academic Services

• • 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)

 Professional Activities

• • (2017) 한국조세재정연구원: 구조조정을 위한 증권거래세 면제 심층평가

  • (2020) 국토교통부: 주택도시기금 여유자금 운영 보조기관 선정기준 연구

  • (2021) 한국거래소: 증권시장 거래증거금 VaR 모형 산출모델 개발방안

Awards and Honors

• • 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)