Journal of Derivatives and Quantitative Studies: 선물연구: Volume 29 Issue 3 , Open Access

The effect of short-term return reversals on momentum profits

Myounghwa Sim, Hee-Eun Kim

The authors investigate the effect of a short-term stock return reversal on the term structure of momentum profits in the Korean stock market following Goyal and Wahal (2015)…

The short-term mean reversion of stock price and the change in trading volume

Woosung Jung, Mhin Kang

This study aims to analyze the effect of change in trading volume on the short-term mean reversion of the stock price in the Korean stock market. Through the variance ratio test…

The market impact of futures trading by the National Pension Service (NPS) of Korea

Mincheol Woo, Meong Ae Kim

The National Pension Service (NPS) of Korea is one of the largest institutional investors in the world and it has been known as the market stabilizer in the Korean stock market…

Bitcoin and stock markets: a revisit of relationship

Hassanudin Mohd Thas Thaker, Abdollah Ah Mand

The volatility of bitcoin (BTC) and time horizon is the center point for investment decisions. However, attention is not often drawn to the relationship between BTC and equity…