Journal of Derivatives and Quantitative Studies: 선물연구: Volume 18 Issue 4 , Open Access

The Lead-Lag Relationship between the Stock Market and CDS Market in Korea

Kwangil Bae, Hankil Kang, Changjun Lee

This study examines the lead-lag relationship between the stock market and CDS market in Korea using the firm-level data during 2006-2009. Our main findings can be summarized as…

Effects of Introducing Equity-Linked Warrants on Stock Market Behavior

Doojin Ryu

This paper investigates the effects of introducing equity-linked warrants (ELWs) on the stock price, trading volume, volatility, and systematic risk (beta) by using the event…

On Relation Between Margin and Conditional Volatility in Japanese Stock Market

Pan-Do Sohn, Sung-Shin Kim, Jung-Soon Shin

This paper investigates the asymmetric volatility between conditional volatility and initial margin using daily market return of TOPIX and Nikkei225 over 1970 to 1990. In prior…

Theory and Evidence of Arbitrage Trading of Equity Futures

Jin Yoo, Geun Beom Kim

The equity futures market was opened in May 6th, 2008 for the first time in Korea but nonetheless it has rarely been researched since. In this paper, we examine whether the…