Journal of Derivatives and Quantitative Studies: 선물연구: Volume 23 Issue 1 , Open Access

Hedging Price Risk in the Presence of Quantity Risk

In Joon Kim, Dong Haeng Lee

This research looks into hedge strategies to resolve foreign exchange-related risks, generated when investing in overseas financial assets, as an example of quantity risk. If an…

The Effect of Operation and Market Value Efficiency on the Korean Stock Market

Soo-Hyun Kim

This paper investigates the relationship between output to input efficiency and stock return predictability in the Korean stock market. We measure the efficiency using Data…

Do Frequent Tradings Add Value? Profitability of Equity Fund Investors

Miyoun Paek, Kwangsoo Ko

This study examines the effects of fund managers’ frequent tradings on equity mutual funds. Based on the findings, we suggest policy implications for mutual fund regulations. The…

A Study on the Empirical Performance of the Volatility Estimation Models

Jeehye Kim, Kook-Hyun Chang

In this paper, we examine which volatility estimation model best explains KOSPI200-realized volatility in the Korean stock market, which has both heteroscedasticity and jump risk…

Corporate Payout Policy and CEO‘s Inside Debt Holdings

Yura Kim, Jeongsun Yun, Hyun Woo Choi, Gyuyoung Hwang

Literature documents that executives' inside debt holdings (debt-based managerial compensation) such as defined-benefit pensions and retirement funds are often unfunded and…

A Study on Foreign Banks‘ Short Borrowings and Volatilities of Stock Markets & FX Markets in Korea: Focus on aTe Derivatives

Young Sook Suh

This study examines how FX OTC derivatives transactions of foreign banks’ branches funded by short term borrowings affect the volatility of stock markets and FX markets in Korea…