Journal of Derivatives and Quantitative Studies: 선물연구: Volume 25 Issue 3 , Open Access

The Valuation of Pass-Through Mortgage-Backed Securities in Korean Market

Hyeon-Wuk Tae, Ung-Gi Seo, Bong-Gyu Jang, Jun Kim, Jong-Hyuk Roh, Seryoong Ahn

This paper introduces a basic model and an extended model to evaluate the pass-through mortgage-backed securities (MBS) recently issued by Korea Housing Finance Corporation. The…

A Study on the Strategic Application of Abnormal Risk-Return Relationship

Youngmin Choi, Bohyun Yoon

This paper focuses on the strategic application based on the empirical results of risk-return relationship against the classical concept. Empirical analysis from domestic data, we…

An Empirical Study on the Factors Influencing on the Hedge Effectiveness of Korea Treasury Bond Futures

Wan Seuk Choi, Joon H. Rhee

This paper performs the empirical analysis on the factors affection the hedge effectiveness of Korea Treasury Bond (KTB) Futures by different hedge models. Before analyzing the…

On the Theoretical Valuation of V-KOSPI 200 Futures

Young Ho Eom, Woon Wook Jang

Although the V-KOSPI 200 Futures markets opened in November 2014, trading has not been active until recently. One of the reasons for the illiquidity is due to the lack of a market…

Bootstrapping and Inflation Hedging Performance of Korean Equity Funds

Min-Goo Hong, Jeehye Kim, Kook-Hyun Chang

This paper examines the inflation hedging performance separated into expected and unexpected inflation in Korean equity funds. In particular, using the bootstrap approach, we…

The Expiration Day Effects of Single Stock Futures : Evidence from Korea

Shiyong Yoo

In this study, we analyzed whether the expiration day effect of domestic single stock futures exists. One-minute stock prices and trading volume by trader types is used. Data…