Journal of Derivatives and Quantitative Studies: 선물연구: Volume 11 Issue 2 , Open Access

The Impact of Trading Volumes by Trader Types in the KOSPI200 Futures Market

Chang Hyeon Yun, Lee Seong Gu

In this study we examine the relationships between trader-type-specific trading volumes and the price volatility of the KOSPI200 stock index futures over the period of July 1997…

A Comparative Analysis of Informational Efficiency of KOSDAQ50 and KOSPI200 Index Futures

Bae Gi Hong, Su Jae Jang

This paper examines the information efficiency of KOSDAQ50 and KOSPI200 index futures markets. The study analyzes and compares both markets in three respects : 1) price discovery…

Risk Management with KOSDAQ50 Index Futures Markets

Gyu Hyeon Mun, Jeong Hyo Hong

This paper studies hedging strategies that use the KOSDAQ50 index futures to hedge the price risk of the KOSDAQ50 index spot portfolio. This study uses the minimum variance hedge…

Implied Volatility Asymmetries in Kospi 200 Option Markets

Gi Yull Og

This paper examines implied volatility asymmetries in KOSPI200 option markets. The empirical results show that the unexpected negative return has a more remarkable effect on…

Estimation and Simulation of Copula Function: An Application to Daily Korean Treasury and A-Rated Corporate Spot Rates

Myeong Jig Kim, Seong Hwan Sin

A Copula function is an useful tool for constructing and simulating multivariate distributions. It relates one-dimensional marginals with multi-dimensional distribution. By doing…