Search Results - subject:"KOSPI 200"

Transactions of the National Pension Service of Korea in the KOSPI200 futures market

Kim, Meong Ae; Woo, Mincheol - In: Journal of derivatives and quantitative studies 29 (2021) 2, pp. 156-170

KOSPI200 futures market. We find that the NPS’s net investment flow (NIF) in KOSPI200 futures is negatively associated with … the past returns of KOSPI200 futures and the KOPI200 index. However, we also find that the NPS’s NIF of KOSPI200 futures … is positively associated with its NIF in KOSPI200 stocks. Along with the legal restriction on the NPS’s trading in the …

Persistent link: https://www.econbiz.de/10012592917

Investors' net buying pressure and implied volatility dynamics

Ryu, Doojin; Webb, Robert I.; Yang, Heejin; Yu, Jinyoung - In: Borsa Istanbul Review 22 (2022) 4, pp. 627-640

influence of different investor types' net options demand on the KOSPI200 options-implied volatility dynamics. We extend Bollen …

Persistent link: https://www.econbiz.de/10013334805

A better start : board diversity matters in assessing stock price crash risk

Cho, Kyungshick; Cho, Jaeyoung; Bian, Yiyang - In: Corporate governance : international journal of … 24 (2024) 2, pp. 365-389

Persistent link: https://www.econbiz.de/10014511569

The market impact of futures trading by the National Pension Service (NPS) of Korea

Woo, Mincheol; Kim, Meong Ae - In: Journal of derivatives and quantitative studies 29 (2021) 3, pp. 115-233

the NPS on the futures market. We investigated the effect of the NPS’s trading KOSPI200 futures on the returns, the …, the NPS’s net investment flow (NIF) in the KOSPI200 futures market shows the predictability about the returns of both … KOSPI200 futures and KOSPI200 spot index. Second, the NPS’s NIF in the KOSPI200 futures market improves the liquidity of the …

Persistent link: https://www.econbiz.de/10012658729

Determinants of put-call disparity : KOSPI 200 index options

Kim, Sam; Lockwood, Jimmy; Lockwood, Larry Joseph; … - In: The journal of behavioral finance : a publication of … 24 (2023) 3, pp. 303-314

Persistent link: https://www.econbiz.de/10014330974

Market versus limit orders of speculative high-frequency traders and price discovery

Kang, Jongho; Kang, Jangkoo; Kwon, Kyungyoon - In: Research in international business and finance 63 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10014248964

The impacts of macroeconomic news announcements on intraday implied volatility

Lee, Jieun; Ryu, Doojin - 2019

Persistent link: https://www.econbiz.de/10012170922

Difference in the intraday return-volume relationships of spots and futures: A quantile regression approach

Lee, Jaeram; Lee, Geul; Ryu, Doojin - 2018

This study examines the difference in the intraday return-volume relationships of spot and index futures. Quantile regression analyses show that the widening effect of the stock trading volume on the distribution of spot returns disappears within a short period of time, whereas that of the...

Persistent link: https://www.econbiz.de/10011902719

Difference in the intraday return-volume relationships of spots and futures : a quantile regression approach

Lee, Jaeram; Lee, Geul; Ryu, Doojin - 2018

Persistent link: https://www.econbiz.de/10011901877

Vega-informed trading and options market reform

Ryu, Doojin; Ryu, Doowon; Yang, Heejin - In: Applied economics letters 27 (2020) 1, pp. 19-24

Persistent link: https://www.econbiz.de/10012205363