In this study, we examine the impacts of changes to the required reserve ratio (RRR) on banking and finance stock prices in China from 2007 to 2012 using multiple variance ratio tests and vector error correction models. The efficient market hypothesis is rejected during the earlier increases in...

This study investigates the number of state variables needed for CDS pricing by conducting a principal component analysis using CDS data for the 2006-2009 period. Two state variables, approximated by the first two components, are found sufficient for pricing CDS spreads. The first component...

This study examines the short-term relationship between stock market returns and implied volatility using  high frequency data . This is the first study to analyze  high frequency data on the VKOPSIa newly introduced volatility index implied by the KOSPI200 options.  KOSPI 200 optioins  are...

The authors re-examine the return-volatility relationship and its dynamics under a new vector autoregression (VAR) identification framework. By analyzing two model-free impliedvolatility indices - the well-established VIX (in the United States) and the recently published VKOSPI (in Korea) - and...

This study re-examines the return-volatility relationship and dynamics under a new VAR framework. By analyzing two model-free implied volatility indices - VIX (the U.S.) and VKOSPI (Korea) - and their corresponding stock market indices, we found an asymmetric volatility phenomenon in both...

This study investigates the well-documented phenomenon of phase transition in financial markets using combined information from both return and volume changes within short time intervals. We suggest a new measure for the phase transition behaviour of markets, calculated as a return distribution...

In terms of quantifying market risk, this study examines the information and indication embedded in implied volatilities extracted from the KOSPI 200 options and proposes a modified value-at-risk (VaR) framework utilizing the implied volatilities. Our empirical results indicate that the...

This study investigates the market interdependence among the Dow Jones (USA), Nikkei225 (Japan), and KOSPI200 (Korea) index futures markets from May 2002 to July 2009, which is divided into three distinct periods: the normal growth, accelerated growth and declining growth (crisis) periods. We...

This letter first examines the effectiveness of the order-splitting strategy by analysing the unique intraday dataset of the KOSPI200 futures market, which contains high-quality information on the classes and identification of investors. The empirical finding indicates that a significant number...

This article examines the information content of trade size and investor performance in a unified framework, using the price contribution (PC) measure proposed by Barclay and Warner (1993). Several interesting results obtained through the analysis of a unique dataset of KOSPI200 futures are...