Journal of Derivatives and Quantitative Studies: 선물연구: Volume 20 Issue 1 , Open Access

Stock Return Volatility and Corporate Credit Risk

Wan-Ho Jeong, Chan-Pyo Kook

In order to reinforce traditional credit indicators such as credit rate or financial ratio, many financial market data; such as the stock prices or their returns are used to…

Regime Dependent Determinants of Credit Default Swap Spread

Hong-Bae Kim, Yeonjeong Lee, Sang Hoon Kang, Seong-Min Yoon

This study investigates the influence of theoretical determinants on the Korea sovereign CDS spreads from January 2007 to September 2009 based on structural credit risk model. For…

Information Contents of Open Interest Value Ratio about KOSPI 200 Index Return

Sol Kim, Hye-Hyun Park

This paper investigates the lead-lag relationship between the call-put options open interest value ratio and the KOSPI 200 Index returns. In addition, we tried to find whether the…

Information Transmission between Nighttime Trading and Daytime Trading: Evidence from KOSPI 200 Futures

Woo-Baik Lee

Trading of KOSPI 200 futures on CME Globex platform, which was launched in November 2009, starts at 18:00 and closes at 05:00 in the next morning. This paper investigates the…