Journal of Derivatives and Quantitative Studies: 선물연구: Volume 30 Issue 4 , Open Access

How does sovereign bond volatility interact between African countries?

Kalu O. Emenike

The importance of sovereign bond as a source of financing revenue deficit, benchmarking for corporate bonds and debt management in Africa, calls for continual monitoring of its…

The turn-of-the-month effect and investor trading activities in the KOSDAQ stock market

Ryumi Kim

The turn-of-the-month (TOM) effect is observed as one of the seasonalities in many markets. The author examines the TOM effect in the KOSDAQ market and finds that the effect is…

A comparative study on determinants of housing mortgage prepayment of individual borrowers

Sang Won Lee, Su Bok Ryu, Tae Young Kim, Jin Q. Jeon

This paper examines how the macroeconomic environment affects the determinants of prepayment of mortgage loans from October 2004 to February 2020. For more accurate analysis, the…

The optimal insurance demand under an ambiguity aversion

Jimin Hong

This study investigates insurance demand in a two-period model when a decision-maker (DM) is averse to the ambiguity of loss distributions. This study derives sufficient…