Journal of Derivatives and Quantitative Studies: 선물연구: Volume 20 Issue 3 , Open Access

Business Cycle Implication of Long-Run Risk Consumption CAPM: Korean Stock Market Evidence

Sam Ho Son, Seiwoon Hwang, Ki Beom Binh

This paper examines long-run consumption based asset pricing models by studying sixteen Fama-French size and book-to-market portfolios in KRX (Korea Exchange) as test assets. In…

An Estimation of Options Spreads Using the Order Flow Information of the Futures Market

Doojin Ryu, Jin-Young Yang

This study examines the bid/ask spread and its components in the KOSPI200 options market under the framework of the cross-market model, which utilizes the order flow information…

The Relation between Two Kinds of Par Yield Curves: Benchmark Par Yield Curve and Company Par Yield Curve

Seung Hyun Oh

This study investigates the relation between two kinds of par yield curves estimated in Korean bond market: benchmark par yield curve and company par yield curve. The former is…

CDS Premium and Jump Risk in Stock Market

Kook-Hyun Chang, Byung-Jo Yoon

This paper tries to empirically investigate whether the jump risk of Korean stock market may be statistically useful in explaining the Korean CDS (5Y) premium rate. This paper…