Journal of Derivatives and Quantitative Studies: 선물연구: Volume 22 Issue 2 , Open Access

Understanding the Impact of Monetary Policy in Korea using a Macro-Finance Term Structure Model with

Woon Wook Jang, Jaehoon Hahn

This paper examines the interaction between monetary policy and the macroeconomy using a macro-finance term structure model of Joslin, Priebsch, and Singleton (2012), in which…

Price Discovery and Spillover Effect between Currency Futures Market and Spot Market-Comparing Developing Country with Developed Country

Xing Qun Xue, Sae Woon Park, Hee Ho Kim

This study examines the volatility spillover effect and forward pricing effect between futures and spot markets, using the daily data of January 1988~April 2013 and Bounds test…

Loss Aversion and Market Liquidity in the Real Estate Market

Sun Young Park

The most commonly observed risk averse behavior in the commercial real estate market is loss aversion on the part of investors; i.e., investors are more sensitive to prospective…

An Event Study on the Effects of North Korea Risks on South Korea‘s Stock Market

Inho Lee, Shiyong Yoo

There have always been North Korea Risks in South Korea stock market since its opening. Some studies have concluded that it does not have a substantial impact on South Korea’s…

A Study on Alternative Index Strategies in Korean Stock Market

Bohyun Yoon, Young-Min Choi

There have been several studies of alternative equity index strategies which suggest better investment opportunities with higher risk adjusted return pointing out empirical…

Psychological Barrier in Foreign Exchange Rate and Implied Volatility in Currency Exchange Option

Dong-Hoon Shin, Seonhyeon Kim, Hojoon Kim, Daehwi Jung

In this paper, we examine the existence of the psychological barriers in three foreign exchange rate, won/dollar, euro/dollar, yen/dollar, and test that the psychological barriers…

A Study on the Value of Default (Option) of Purchase Contract

Jongyeon Choi

This paper start from the question that value of right which is arose from real asset trade. First, organizing option portfolio using this right, then we investigate the…