Journal of Derivatives and Quantitative Studies: 선물연구: Volume 26 Issue 4 , Open Access
Table of contents
Information Content of Skewness Risk Premium
Seok Goo Nam, Byung Jin KangThe variance risk premium defined as the difference between risk neutral variance and physical variance is one of the most crucial information recovered from option prices. It…
Analysis of Price Discovery Effect in the Single Stock Futures Market
Woo–baik LeeThis paper examines the price dynamics in the single stocks futures and spot markets. In order to enhance the liquidity of the stock futures market, Korea Exchange introduced the…
The Impact of the Foreign Financial Accounts Reporting Acts on the Capital Flows from Tax Havens
Cheol-Won Yang, Hong-Jong ChoThe Foreign Financial Accounts Reporting was introduced for the purpose of preventing tax evasion and illegal acts through foreign financial accounts of Koreans. On December 27…
Market Liquidity and Momentum Profits : Evidence from the Korean Stock Market
Changha Kim, Changjun LeePrevious literature in the Korean stock market has shown that the momentum effect is not observed during pre-2000 period while it is observed during post-2000 period. Given that…
