Journal of Derivatives and Quantitative Studies: 선물연구: Volume 24 Issue 4 , Open Access

An Empirical Study on Price and Return of Commodity ETFs in Korea

Dong Hyun Choi, Junesuh Yi

This study analyses empirically the Granger causality between commodity ETFs listed in KRX (Korea Stock Exchange) and the price determinants of the underlying commodities as well…

Comparative Analysis of Price Discovery in the KOSPI200 Regular and Mini Futures Markets

Woo-baik Lee

Commodity ETF, Cumulative Return, Tracking Error, Information Ratio, Inverse ETF

The Cash-Flow Permanence and the Choice between Dividends and Stock Repurchases

Sungmin Kim, Yongwon Jang

Firms can use dividends and/or share repurchases to distribute cash to shareholders. Jagannathan, Stephens, and Weisbach (2000) argue that managers tend to use dividends to pay…

Option Demands and Investment Horizon Effects

Byung Jin Kang

This paper investigates the effect of investment horizon on the optimal portfolio choice of investors, who can access to index options market. This is to reconcile the empirical…

Call-Put Volatility Spreads and Option Returns in the KOSPI 200 Index Options Market

So Jung Kim, Sun-Joong Yoon

This study analyzes whether KOSPI200 option returns can be predicted by call-put implied volatility spreads. Doran et al. (2013) show that call-put implied volatility spreads…