Journal of Derivatives and Quantitative Studies: 선물연구: Volume 27 Issue 1 , Open Access
Table of contents
Strategies for Improving V-KOSPI 200 Index
Tae-Hun KangThe study examines not only the methods for eliminating stale or abnormal prices but also strategies for enhancing liquidity in the KOSPI 200 index options market, for…
Investor Attention and Expected Return
Eun Jung Lee, Yu Kyung Lee, Joon ChaeIn this paper, we analyze the effect of investor attention level on expected return in the Korean stock market by investor type. We find that the risk-adjusted excess returns in…
The Impact of Credit Rating Change on Investor Sentiment
Doojin Ryu, Karam Kim, Heejin YangThe behavioral finance literature focuses on the effect of investor sentiment on the fundamental values of individual stocks. This study constructs a firm-level investor sentiment…
The Volatility Dynamics of the Global REITs Market
Min A Lee, Kook Hyun ChangThis paper tries to estimate the dynamic linear latent factor model (DLLFM) with jump in order to find jump risk, heteroscedasticity and time varying correlations in Global REITs…
