Journal of Derivatives and Quantitative Studies: 선물연구: Volume 27 Issue 4 , Open Access

Information Contents of Order Flow Toxicity in the Options Market : The Case of KOSPI200 Index Options

Jaeram Lee

This study estimates the VPIN (volume-synchronized probability of informed trading) of the KOSPI200 index options, the measure of order flow toxicity suggested by Easley et al…

Decomposition of the Business Cycle Shock and the Default Rate of SMEs in Korea

Jaesung James Park, Joonkyo Hong, Sumi Na

This paper, through a structural VAR identified by a long-run restriction which is imposed by a neoclassical growth model, decomposes the real price index of capital accumulation…

Contemporaneous Correlation between the Return and the Change of Trading Volume

Mhin Kang, Joon Chae

This study demonstrates the contemporaneous correlation between return and the change of trading volume (CCRV) in the Korean stock market and analyzes the effect of trading volume…

Korean Firms’ Allocation of Cash Flow

Jin Park, Jungwon Suh, Heejung Choi

This study investigates where Korean firms allocate cash flow. Our sample consists of listed firms in the KOPSI section of Korea Exchange over the period 2001-2016. Our estimation…