Journal of Derivatives and Quantitative Studies: 선물연구: Volume 24 Issue 2 , Open Access

On the Usefulness of Risk-Neutral Skewness and Kurtosis for Forecasting the Higher Moments of Stock Returns

Sol Kim

In this paper, we examine whether the risk neutral skewness and kurtosis from S&P 500 options have information for predicting the higher moments of the stock returns called…

Bank Loans and Maturity of Corporate Bond Issues

Hyungsang Song, Bum J. Kim

This paper studies the impact of bank monitoring on the maturity structure of corporate debt issues using Korean firms listed on Korea Exchange from 2005 to 2011. We show that a…

Widened Price-Limits and Efficiency of Price Discovery over the Course of a Trading Day

Junghoon Seon

Korea Exchange has widen daily price limits from ±15% to ±30% of previous trading day’s closing price since June 15, 2015. In this paper, we examine how the event of widening…

Effect of Margin Requirement on Default Risk and Liquidity in the Korean Futures Market

Hak-Kyum Kim, Jinwoo Park

Margin requirements are often viewed as an effective policy tool to prevent the default risk and maintain market stability. For the Korean futures market, this paper examines…

The Effects of the Regulations on the ELW Markets : An Analysis on ELW Pricing

Sangki Lee, Chung-hun Hong

We examine the effects of new regulations introduced by Korean government to cool down overheated Korean ELW markets. We also investigate whether ELWs are fairly priced as noted…

Evidences for Price Discovery between On- and Off-shore Won/Dollar Spot, Forward and NDF FX Rate

Ki Beom Binh, Sang-min Lee, Won Seop Lee

Using Hasbrouck’s (1995, 2002) information share method, we examine the mutual price discovery dynamics among Won/Dollar spot, forward, and NDF exchange rates in on- and off-shore…