Journal of Derivatives and Quantitative Studies: 선물연구: Volume 20 Issue 3 , Open Access

Table of contents

Business Cycle Implication of Long-Run Risk Consumption CAPM: Korean Stock Market Evidence

Sam Ho Son, Seiwoon Hwang, Ki Beom Binh

This paper examines long-run consumption based asset pricing models by studying sixteen Fama-French size and book-to-market portfolios in KRX (Korea Exchange) as test assets. In…

Open Access.
37

An Estimation of Options Spreads Using the Order Flow Information of the Futures Market

Doojin Ryu, Jin-Young Yang

This study examines the bid/ask spread and its components in the KOSPI200 options market under the framework of the cross-market model, which utilizes the order flow information…

Open Access.
14

The Relation between Two Kinds of Par Yield Curves: Benchmark Par Yield Curve and Company Par Yield Curve

Seung Hyun Oh

This study investigates the relation between two kinds of par yield curves estimated in Korean bond market: benchmark par yield curve and company par yield curve. The former is…

Open Access.
23

CDS Premium and Jump Risk in Stock Market

Kook-Hyun Chang, Byung-Jo Yoon

This paper tries to empirically investigate whether the jump risk of Korean stock market may be statistically useful in explaining the Korean CDS (5Y) premium rate. This paper…

Open Access.
11