Journal of Derivatives and Quantitative Studies: 선물연구: Volume 21 Issue 3 , Open Access
Table of contents
Long Term Volatility of Interest Rate Swap and Macroeconomic Risk in Korean Market
Byung-Jo Yoon, Kook-Hyun Chang, 홍 민구This paper tries to empirically investigate whether macroeconomic risk may be statistically useful in explaining long-term volatility of interest rate swap (IRS) in korean market…
Hedging Effectiveness of KOSPI200 Index Futures and Options
Byungwook ChoiThe purpose of this study is to investigate hedging effectiveness of KOSPI200 index futures and options using three measures proposed by Fishburn (1977), Ederington (1979), and…
Investment Strategies of the KOSPI200 Nighttime Futures
Myeonghoon Yeom, Jae-Seung Baek, Doojin RyuThis paper investigates investment and hedging strategies using the KOSPI200 nighttime futures product which was launched at November 16th, 2009. To examine the performance of the…
The Effect of Derivatives Usage of Korean Commercial Banks on Their Firm Value
Taek Ho Kwon, Rae Soo Park, Uk ChangIn this study, we would be interested in knowing how commercial banks use derivatives and analyze its effect on the firm vale in Korea. We find that the derivatives transaction by…
