Journal of Derivatives and Quantitative Studies: 선물연구: Volume 11 Issue 1 , Open Access

Information Content of Implied Forward Exchange Rates

Seong Hun Kim, Dong Se Cha

This paper analyzes the information content of the forward exchange rates implied by the interest rate parity, using the Korea and U.S. interest rates and Won/dollar exchange…

A Market Microstructure Analysis of the KOSPI200 Stock Index Options Market: Investor‘s Strategic Behavior

Gyeong Sig Eom, Sang Beom Han

This paper analyzes trader‘s strategic behavior in the KOSPI200 index options market. Using intraday data for various at-the-money options, we obtain the following results : (1…

The Establishment of the Forecasting Model for Regime Switching in Time Series

Geun Gwan Lyu, Gi Beom Bin, Yeong Jo Lee, Seong Jun Jo

Efficient market hypothesis implies that the past price movements do not help forecast future price movements. Thus, it is impossible to consistently benefit by a technical…

Pricing of the Korean Treasury Bond Futures Using the Term Structure of Interest Rates

Jin U Park, Youngsoo Choi

This paper shows the limitation of the cost-of-carry model which is used for pricing the theoretical value of the KTB futures, and proposes an alternative pricing model based on…

Articles : Estimating Term Structure Models for Korean Monetary Stabilization Bond: An Analysis of Trading Data

Kook-Hyun Chang, Seung Gyeom Lee

In this paper, we try to extend the work of Kim and Chang (2000) and to estimate exponential-affine term structure models for Korean monetary stabilization bond (MSB) using…

A Study on Information Spillover Effects from NASDAQ 100 to KOSDAQ 50 Index Futures Markets

Gyu Hyeon Mun, Jeong Hyo Hong

This paper studies the information spillover effects over price and volatility across countries by using open-to-close (daytime) returns and close-to-open (overnight) returns of…