An Empirical Study on Volatility Spillover Effect among KOSPI200, Futures, ETFs Markets

Seok-Kyu Kang (Jeju National University)
Youngtae Byun (Kyungsung University)
Jonghae Park (Gyeong-nam national university of science and technology)

Journal of Derivatives and Quantitative Studies: 선물연구

ISSN: 1229-988X

Article publication date: 30 November 2014

Abstract

The overall results indicate that KODEX200 which is the biggest ETF in volume performs very important roles in finding the price of underlying asset and further researches can be expected.

Keywords

Citation

Kang, S.-K., Byun, Y. and Park, J. (2014), "An Empirical Study on Volatility Spillover Effect among KOSPI200, Futures, ETFs Markets", Journal of Derivatives and Quantitative Studies: 선물연구, Vol. 22 No. 4, pp. 675-697. https://doi.org/10.1108/JDQS-04-2014-B0004

Publisher

:

Emerald Publishing Limited

Copyright © 2014 Emerald Publishing Limited

License

This article is published under the Creative Commons Attribution (CC BY 4.0) licence. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode