Journal of Derivatives and Quantitative Studies: 선물연구: Volume 22 Issue 4 , Open Access

Estimation of VWAP in the Korean Stock Market and its Implications

Soo-Hyun Kim

This paper conducts an empirical analysis for the estimations of volume-weighted price of the Korean stock market and provides the implications of the estimation errors regarding…

Stock Market and Social Mood : Evidence from Korea

Sujung Choi

This study provides empirical evidence on the existence of a mood effect in Korea Stock Market. Given the assumptions that changes in the Consumer Expectation Index and the…

An Optimal Selection of the basis Functions for the Valuation of Interest Rate Structured Notes

Hanki Seong, Sang Bin Lee

This paper examines which basis functions are efficient to employ a combined method of Hull and White (1990) with the Monte Carlo simulation when we price a callable range note or…

An Empirical Study on Volatility Spillover Effect among KOSPI200, Futures, ETFs Markets

Seok-Kyu Kang, Youngtae Byun, Jonghae Park

In this study we compared the effectiveness of different ETFs. For this purpose, we analyzed the volatility spillover effect (process) among KOSPI200, KOSPI200 futures and…

Liquidity Discount Value of ITM Option

Kyung-Woo Son, Sang-Su Kim

KOSPI 200 index option market is one of the markets which is perfectly liquid in the world. While ATM options and OTM options are liquid, ITM options are not. This paper derives…

Investment Strategies for KOSPI200 Index Futures Using Negative Correlation of Time-Series

Jaepil Ryu, Hyun Joon Shin

This paper presents 6 time-series that have negative correlation with KOSPI200 Index and a quantitative trading methodology based on stochastic control chart using these…