Journal of Derivatives and Quantitative Studies: 선물연구: Volume 32 Issue 1 , Open Access

Changes in repo markets and the necessity for CCPs in Korea

Sun-Joong Yoon

In 2022, US financial regulators proposed to mandate a single central clearing mechanism for treasury bonds and repo transactions to stabilize financial markets. The systemic…

Do technical trading rules outperform the simple buy-and-hold strategy in the cryptocurrency market?

JunHyeong Jin, JiHoon Jung, Kyojik Song

The authors test the weak-form efficiency in cryptocurrency markets using the most recent and comprehensive data as of 2021. The authors apply various technical indicators to take…

Network of public equity funds and investment performance in South Korea

Yongwon Kim, Inwook Song, Young Kyu Park

Using overlapped portfolio data on public equity funds in Korea, the authors construct several types of fund-stock weighted bipartite networks and measure fund network centrality…

Whose option ratios contain information about future stock prices?

Bonha Koo, Ryumi Kim

Using the next-day and next-week returns of stocks in the Korean market, we examine the association of option volume ratios – i.e. the option-to-stock (O/S) ratio, which is the…