English Abstract: We investigate the pertinent hedging ratios and hedge performance of Won/Euro and Won/Yen futures … variables of the spot and futures markets. Considering the co-integration between the spot and cash markets, we incorporate the … error correction term in ARCH models. Second, the hedge performance of the dynamic hedging model is relatively better than …

investors in the KOSPI 200 options market, the Financial Services Commission raised the option multiplier for KOSPI 200 options … radical shrinkage of liquidity in KOSPI 200 options market. This paper examines the effect of the increase of option … put-call parity relationship for index options and VECM with KOSPI 200 spot and implied indexes is applied. The main …

Korean Abstract: 본 연구는 2000년 1월 30일부터 2004년 12월 말까지 코스닥50주가지수 현물시장(spot market)과 코스닥50주가지수 선물시장(futures market …English Abstract: We investigate a price discover in KOSDAQ50 index spot and futures markets using daily close to close … market and KOSDAQ50 index futures markets. Second, we find that KOSDAQ50 index spot market has an greater impact on the …