Journal of Derivatives and Quantitative Studies: 선물연구: Volume 25 Issue 2 , Open Access
Table of contents
An Empirical Study on the Hedging Effects on Related to ELS Underlying KOPSPI200 and Performance of ELS Redemption
Byeongmon Cho, Sangbin Lee, Junghoon SeoThis study tests empirically the impacts that the issue and redemption of index-typed ELS has on KOSPI200 & KOSPI200 Future Index and the performance of ELS redemption by using…
Mutual Fund Voting and Pension Ties : Evidence from Proxy Voting
Heejin ParkBecause mutual funds are the largest equity holders and because the retirement assets that are managed by mutual funds have been growing, mutual fund managers may have more…
A Simulation Study on Clustering Multivariate Time Series Using Kernel Variant Multi-Way Principal Component Analysis
Hwanseok Choi, Cheolwoo Lee, Jin Q JeonConventional time series modeling may not satisfy the model validity for short-period time series data. In this study, we apply the Kernel Variant Multi-Way Principal Component…
Short-Selling and Behavioral Bias in Korean Stock Market
Sang Buhm HahnThis study investigates whether or not the short-selling behavioral bias of investors exists in the Korean stock market. We analyze how the weather bias related to climate factors…
Smart Beta Strategy in Korean Stock Market
Bohyun Yoon, Kyoung-Woo Sohn, Won-Suk LiuRecently, due to its passive property, the smart beta has become one of the most interest topics in searching the alpha. In this paper, we attempt to show whether the smart beta…
