Journal of Derivatives and Quantitative Studies: 선물연구: Volume 26 Issue 1 , Open Access

Realized FX Volatility : Statistical Properties and Applications

Cheoljun Eom, Taisei Kaizoj, Jong Won Park, Enrico Scalas

This paper empirically examines the statistical properties of realized volatility and the relationships between volatility and correlation measurements of realized volatility by…

The Effect of Discriminative Trading Frictions on Option Strategies

Sang Won Hwang

I estimate that a margin as trading frictions has an effect on the strategies of writing options. The important results are as follows.First, by the margin requirement is…

A Study on the Effect of Geographic Diversification of Firms on Hedging Activity Using Derivatives

Sang Ik Seok, Tae Hyun Kim, Hoon Cho, Tae Joong Kim

This paper examines the effect of fund manager replacement on investment performances of mutual funds. In managerial labor market of mutual fund industries with information…

The Effect of Equity Linked Securities on Financial Stability in Korea

Sun-Joong Yoon, Jaehoon Jung

Since the introduction of ELS (Equity-linked securities) in 2003, the structured products have become one of the most important investment vehicles to Korean retail investors…

Test on the Profit of Pairs Trading Strategy Using KOSPI200 Regular and Mini Options

Woo–baik Lee

The KOSPI200 mini option introduced in July 2015 is the derivative of which trading multiplier is reduced to one-fifth of the regular options. This study explored the pairs…