Journal of Derivatives and Quantitative Studies: 선물연구: Volume 23 Issue 3 , Open Access

The Effects of Increasing Option Multiplier on the Arbitrage Efficiency in KOSPI 200 Futures and Options Markets

Byungwook Choi

This study examines put-call-futures parity in KOSPI 200 index futures and options markets for the sampling period between January of 2011 and December of 2013 in order to…

Leveraged/Inverse ETFs and Volatility in the Korean Market

Soo-Hyun Kim, Kyuseok Lee, Hyoung-Goo Kang

There have been the concerns that leveraged and inverse ETFs contribute to the financial crisis of 2007~2008. Several researchers have investigated this important issue. However…

The Martingale Restriction and Relative Market Efficiency between KOSPI 200 Index and Index Options Market

Tae-Hun Kang, Myung-Chul Lee

This paper examines the martingale restriction for the KOSPI 200 index options market. And in cases of the rejections, we investigate the relative market efficiency between stock…

An Empirical Study on the Hedging Effects of Index ELS

Young Geun Ji, Joon H. Rhee

ELS (Equity Linked Security) is the structured product which is one of the fast grown and the most successful in Korean financial markets. In particular, ELS with the index of…

A Comparison of Price Efficiency between Korean New Market and Main Board

Junghoon Seon, Ji Soo Lee

In this paper, we make a comparison of price efficiency between the new market (KOSDAQ) and the main board (KOSPI) in the Korean stock market. More specifically, we evaluate the…

Closing Call Auction Prices as Settlement Prices for Derivatives Contracts and Price Manipulation

Sun-Joong Yoon

Previous literature emphasizes the importance of a closing call auction system because it can not only improve the price discovery effect, but also mitigate the possibility of…