Journal of Derivatives and Quantitative Studies: 선물연구: Volume 20 Issue 4 , Open Access

Over-and Under-Reaction in Option MarKets: Evidences from USD/KRW OTC Currency Options

Byung Jin Kang

This study investigates the over- and under-reacting behavior of USD/KRW OTC currency option investors from the year of 2006 to 2011. Using the empirical testing models suggested…

Effect of Prepayment and Call Limit on the Duration of CMO (Multi-tranche MBS): Full vs. Partial Pass-Through Structure

Yun Woo Park, Doo Won Bang

Residential mortgage loans as well as the MBS (mortgage-backed security), which securitizes these loans, are exposed to prepayment risk. We examine the effect of prepayment…

The Impact of Individual Investor‘s Selling Activity on Asymmetric Volatility in the ETF Market of Korea

Okrye Kong, Daekeun Park

This study analysed the effect of individual investors‘ sell-buy imbalance on asymmetric volatility in returns using daily transaction data of the Korean ETF market. Major Finding…

Managing Weather-Risks in Korean City-Gas Industry using Weather Derivatives

Changhui Choi, Dong-Hoon Shin, Changki Kim

The main objectives of this paper are to measure weather-risks in Korean city-gas industry, whose revenue is strongly correlated with temperature changes, and show how managing…