Journal of Derivatives and Quantitative Studies: 선물연구: Volume 14 Issue 2 , Open Access

Empirical Study on the Maturity Structures of the Volatility in the KOSPI200 Index and Futures Returns

Jong In Yoon

This study analyzes the maturity structure of the volatility in the KOSPI200 index and futures returns. Using bivariate GARCH model, we obtain the empirical evidences that the…

Which One is More Important Factor for Pricing Options, Skewness or Kurtosis?

Sol Kim

This paper investigates the relative importance of the skewness and kurtosis of the risk neutral distribution for pricing KOSPI200 options. The skewness and kurtosis are estimated…

An Empirical Analysis on Change in Price Discovery of KOSPI200 Futures Through Market Maturity Process

Woo–baik Lee

This paper estimates the contribution of KOSPI200 futures to spot price discovery based on methodology of ‘information share’, which is suggested by Hasbrouck (1995). Using the…

A Study on the Efficiency in Korea Foreign Exchange Market

Seok Kyu Kang

This study is to examine the three theme of the eπiciency of Korea foreign exchange market including the unbiasedness testing, the relative efficiency estimates, and the…

Arbitrage Profitability of Box Spreads in the KOSPI200 Options Market

Jae Ha Lee, Deok Hee Hahn

This study explores the arbitrage profitability of box spread strategies to test the KOSPI200 options market efficiency. using minute-by-minute data for the December 2003 - June…