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This paper investigates the impact of structural breaks on volatility spillovers between Asian stock markets (China, Hong Kong, India, Indonesia, Japan, Korea, Singapore, and Taiwan) and the oil futures market. To this end, we apply the bivariate DCC-GARCH model to weekly spot indices during the period 1998-2015. The results reveal significant volatility transmission for the pairs between the Asian stock and oil futures markets. Moreover, we find a significant variability in the time-varying conditional correlations between the considered markets during both bullish and bearish markets, particularly from early 2007 to the summer of 2008. Using the modified ICSS algorithm, we find several sudden changes in these markets with a common break date centred on September 15, 2008. This date corresponds to the collapse of Lehman Brothers which is considered as our breakpoint to define the global financial crisis. Also, we analyse the optimal portfolio weights and time-varying hedge ratios based on the estimates of the multivariate DCC-GARCH model. The results emphasize the importance of overweighting optimal portfolios between Asian stock and the oil futures markets.

This study investigates the influence of theoretical determinants on the Korea sovereign CDS spreads from January 2007 to September 2009 based on structural credit risk model. For the analysis of determinants on the sovereign CDS spread, this study adopts interest swap rate as reference interest rate, and decomposes yields curve into two components, ie, interest level and slope. Considering multivariate regression in level and difference variables, Stock returns and Interest rates have a significant effect on the CDS spreads among the theoretical determinants of structural credit risk models. CDS spreads may behave quite differently during volatile regime compared with their behavior in tranquil regime. We therefore apply Markov switching model to investigate the possibility that the influence of theoretical determinants of CDS spread has a regime dependent behavior. In all regimes Korean sovereign CDS spreads are highly sensitive to stock market returns, whereas in tranquil regime interest rates also have influence on CDS spreads. We conclude that for the efficient hedging of CDS exposure trader should adjust equity hedge ratio to the relevant regime.

This paper aims to investigate the network structure of connectedness among global index futures markets in different distress periods. In this purpose, this employs the multivariate DECO-GARCH model of Engle and Kelly (2012) and the spillover index method of Diebold and Yilmaz (2014). From empirical analysis, this paper finds an evidence of a positive equicorrelation among global index futures, implying the contagion effect in global index futures markets. The spillover connectedness is intensified due to recent market distress, i.e., the 2008-2009 GFC, the 2010-2012 ESDC, the collapse of Chinese stock market in 2015, and the US FRB interest rate hike in 2018. Further, this paper measures the direction and strength of volatility connectedness assessed by the net pairwise directional spillover indexes. Thus this paper identifies the net spillover connectedness (transmitter/receiver) across global index futures markets. Finally, this paper shows the network structure of spillover connectedness in different market distress periods, and provides the channels of spillover connectedness across global index future markets.

This study investigated the relationship between the CDS (credit default swap) market with the FX spot (FX swap) market, including the period of recent global financial crisis.

A measure for market efficiency is the condition that the derivative markets dominate the asset market in price discovery. In our case, however, FX market should be leading the CDS market. We found FX (spot and Derivatives) market has co-integration relationship with CDS market. Looking at Gonzalo Granger (GG) and Hasbrouck's price discovery measure, we found the FX spot and derivatives market dominated CDS market in price discovery.

This study has also examined the direction of shock spillover and volatility transmission between Korean CDS spread and Foreign exchange spot (FX swap) markets using the VECM bivariate GARCH approach. Our evidence suggested the presence of bi-directional shock volatility and volatility transmission between the CDS market and FX spot market partially exist. However, volatility spillover effects from CDS market to FX Swap market are stronger than in the reverse direction during the global financial crisis, indicating that the CDS spread signaling sovereign risk play a more important role in influencing the volatility of FX derivatives market.

There are some particular features in FX market. The volatility and shock of CIP deviations reflecting arbitrage opportunities in FX swap market are influenced by those of CDS spread in tranquil period prior to Lehman failure. But after Lehman failure CDS played a crucial role in signaling credit risk in FX derivatives market. We found that higher liquidity and trading volume of market matters more in price discovery and information transmission.

This paper investigates the price discovery, volatility spillover, and asymmetric volatility spillover effects between the KOSPI 200 market and its futures contracts market. The investigation was performed using the VECM-DCC-GARCH approach. In the case of returns, we found a significant unidirectional information flow from the futures market to the spot market; this implies that the KOSPI 200 futures market plays an important role on the price discovery in the spot market. In addition, we found a strong bi-directional casualty involving the volatility interaction between the spot and futures markets; this implies that market volatility originating in the spot market will influence the volatility of the futures market and vice versa. We also found strong asymmetric volatility spillover effects between the two markets.

This paper investigates a retrospective on the Journal of Derivatives and Quantitative Studies (JDQS) on its 30th anniversary based on bibliometric. JDQSs yearly publications, citations, impact factors, and centrality indices grew up in early 2010s, and diminished in 2020. Keyword network analysis reveals the JDQS's main keywords including behavioral finance, implied volatility, information asymmetry, price discovery, KOSPI200 futures, volatility, and KOSPI200 options. Citations of JDQS articles are mainly driven by article age, demeaned age squared, conference, nonacademic authors and language. In comparison between number of views and downloads for JDQS articles, we find that recent changes in publisher and editorial and publishing policies have increased visibility of JDQS.

The maritime freight transportation industry has played an important role in the Korean economy. The Korean maritime freight transportation industry is faced with a period of transforming it competitively and efficiently in this global age. This paper, therefore, aims to identify the impact of the maritime freight transportation industry in the Korean national economy. Hence, this paper provides policy-makers with accessible and reliable information regarding the role of the Korean maritime freight transportation industry. This study employs input-output (I-O) analysis to examine the role of the maritime freight transportation industry in the national economy for the period 1995-2003, with specific application to Korea. This study pays particular attention to the maritime freight transportation industry by taking the industry as exogenous variable and then investigates its economic impacts. We identify inter-industry linkage effects in 20 sectors, production-inducing effects, added value-inducing effects, and supply-shortage effects of the maritime freight transportation industry.

The Polish economy has undergone major challenges and changes over the past few decades. The country's trade flows, in particular, have become more firmly tied to the country’s Western neighbors as they have grown in volume. This study examines Poland's trade balances in ten Standard International Trade Classification (SITC) sectors versus the United States of America, first testing for and isolating structural breaks in each time series. These breaks are then included in a set of the cointegration models to examine their macroeconomic determinants.

Linear and nonlinear and nonlinear autoregressive distributed lag models, both with and without dummies corresponding to structural breaks, are estimated.

One key finding is that incorporating these breaks reduces the significance of the real exchange rate in the model, supporting the hypothesis that this variable already incorporates important information. It also results in weaker evidence for cointegration of all variables in certain sectors.

This study looks only at one pair of countries, without any third-country effects.

An important country pair's trade relations is examined; in addition, the real exchange rate is shown to incorporate economic information that results in structural changes in the economy. The paper extends the existing literature by conducting an analysis of Poland's trade balances with the USA, which have not been studied in such a context so far. A strong point is a broad methodology that lets compare the results the authors obtained with different kinds of models, both linear and nonlinear ones, with and without structural breaks.