Journal of Derivatives and Quantitative Studies: 선물연구: Volume 20 Issue 2 , Open Access

Common Factors and Local Factors in Variance Risks: Evidence from S&P500 and KOSPI200 Index Options

Sun-Joong Yoon, So Hyun Kang

This paper conducts a factor analysis using the implied variances of S&P 500 index options and KOSPI 200 index options. After estimating the factors that influence variance risks…

The Response of Korean Stock Market and Market Participants to the Sub-Prime Mortgage Crisis

Jay M. Chung

We investigate how Korean stock market and its participants react to the sub-prime mortgage crisis. Using data for the ABX sub-prime index, we find strong evidence of information…

The Information Content of the Implied Volatility in OTC Individual Stock Options Market

Yuen Jung Park

This paper investigates the information content of implied volatilities inferred from individual stock options quoted over-the-counter (OTC). First, we examine whether the implied…

An Empirical Study on the Asymmetric Effects of Trading Volume Information in int‘l Currency Futures Markets: Advanced vs Emerging Markets

Chung-Hyo Hong

This paper tested the conditional mean spillover effects between trading volume and price changes in international currency futures markets. We use 8 kinds of currency futures…