Journal of Derivatives and Quantitative Studies: 선물연구: Volume 15 Issue 1 , Open Access

Sidecar Performance: Evidence from the Korean Stock Market

Jong Won Park, Yun Sung Eom, Uk Chang

In the paper, the effects of sidecar on the Korean stock market are considered. Throughout the study, we could reach the following conclusions. Firstly, the analysis of return…

Comparative Analysis on the Hedging Effectiveness Among Domestic Currency Futures Contracts

Won Cheol Yun

This study empirically compares the hedging performances of the newly listed Japanese yen (JPY) and European euro (EUR) currency futures in the KRX relative to that of the us…

The Unbiasedness and Hedging Effectiveness in KOSPI200 Futures Market

Seok Kyu Kang

This study is to examine the unblasedness hypothesis and hedging effectiveness in KOSPI20() futures market. The unbiasedness and efficiency hypothesis is carried out using a…

The Impact of Program Trading on the Short-run and Long-run Volatility of Korean Stock Market

Sang Buhm Hahn, Seung Hyun Oh

This study investigates the impact of program trading on the market volatility by separating the volatility into long-run and short-run components using VA-CEGARCH model. This…

The Estimation of Pricing Kernel of KOSPI 200 Options Under Stochastic Volatility

Sang Il Han, Chang Hyun Yun

In this paper we make an analysis of KOSPI 200 index options listed in Korea Stock and Futures Exchange whose trading volume is world best these days. We adopt the stochastic…