Journal of Derivatives and Quantitative Studies: 선물연구 , Open Access
Issue(s) available: 75 – From Volume: 10 Issue: 1, to Volume: 32 Issue: 1
Volume 32
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Issue 1 2024
Renegotiable debt, liquidity injections and financial instability
Hyun Soo Doh, Guanhao FengThis paper develops a debt-run model to study the effects of liquidity injections on debt markets in the presence of a renegotiation option. In the model, creditors decide when to…
American put options with regime-switching volatility
Bong-Gyu Jang, Hyeng Keun KooWe present an approach for pricing American put options with a regime-switching volatility. Our method reveals that the option price can be expressed as the sum of two components…
The role of arbitrage risk in the MAX effect: evidence from the Korean stock market
Jihoon Goh, Donghoon KimIn this study, we investigate what drives the MAX effect in the South Korean stock market. We find that the MAX effect is significant only for overpriced stocks categorized by the…
The relationship between changes in corporate payout policy and capital structure
Songhee Kim, Jaeuk Khil, Yu Kyung LeeThis paper aims to investigate the impact of corporate dividend policy on the capital structure in the Korean stock market. To distinctly discern the voluntariness of changes in…
Does information environment affect information spillover between the CDS and stock markets in Korea?
Heewoo Park, Yuen Jung ParkThis study analyzes the impact of the information environment (IE) and credit default swap (CDS) transaction costs on information transmission between the stock and CDS markets…