Journal of Derivatives and Quantitative Studies: 선물연구: Volume 23 Issue 2 , Open Access

The Effect of Short Sale Ban on the Relation between Disagreement and Stock Returns

Jun Sik Kim, Sung Won Seo

This paper investigates the effect of the short sale ban by the Korean government on the relationship between the disagreement among investors and the future stock returns. Short…

An Analysis on the Stochastic Process underlying KOSPI200 Index Oprions Focused on Jumps Process

Young Ho Eom, Woon Wook Jang

This paper investigates empirically the modelling issues for the stochastic processes underlying KOSPI200 index options. Empirical results show that we need to incorporate two…

Private Information and Trading Behavior: KOSPI200 Futures Markets

Taewoo Daniel Kim, Kiyool Ohk

The study examines whether the trader’s order imbalance for KOSPI200 futures can explain their informativeness. I use daily positions of various types of futures market…

Jump Risk and Heteroscedasticity of KOSPI200 Intra-day Returns

Min-Goo Hong, Kook-Hyun Chang

This study examines whether KOSPI200 intra-day return has jump risk and heteroscedasticity and we compare the estimation result of intra-day return and that of daily return. The…

Short Selling and Price Pressures in the Korean Stock Market

Yeongseop Rhee, Sang Buhm Hahn

This paper examines short-selling activity focusing on its behavior during non-normal times of occasional excesses in the Korean stock market. Using the methodology explained by…

Knock-In and Stocks Market Effect Due to ELS Issuance and Hedging

Hyuncheul Lim, Youngsoo Choi

In this paper we analyze the shortfall risk implied in the auto call step down equity linked securities (ELS) based on two underlying assets, which is a major product of the…