Journal of Derivatives and Quantitative Studies: 선물연구: Volume 23 Issue 4 , Open Access

The Impact of Investor Sentiment on Risk Neutral Skewness: Around Financial Crisis

Byungchan Kim, Sol Kim

We examine the relation between investor sentiment proxies and the risk neutral skewness of S&P 500 index option. The risk neutral skewness is estimated by the method of Bakshi…

Implied Volatility of the KOSPI 200 Index Option Market

Dam Cho

This paper analyzes implied volatilities (IVs), which are computed from trading records of the KOSPI 200 index option market from January 2005 to December 2014, to examine major…

Profit Analysis of Short Term Weekly Momentum Strategy in the Korean Stock Market

Jun Ho Hwang

This paper shows the momentum strategies that selected stocks based on their returns from a past 1 week generate long lasting significant abnormal returns. I observe the negative…

The NYSE Korea ETF Market

Myeong-Hoon Yeom, Jae-Seung Baek

This study focused on the Korea ETF which is listed and traded in NYSE (New York stock exchange) and analyzed empirically the price discovery effect of NYSE Korea ETF on the…

The Integrity Effect on Municipal Bonds

Hyungsang Song, Joonhee Rhee

We study whether the integrity of local governments has effects on municipal bond coupon rate. We conjecture that higher integrity is associated with lower bond coupon rate. One…