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Discovering the drivers of stock market volatility in a data-rich world

Chun, Dohyun; Cho, Hoon; Ryu, Doojin - In: Journal of international financial markets, … 82 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10014245870

Information effects of trade size and trade direction : evidence from the KOSPI 200 index options market

Ahn, Hee-joon; Kang, Jangkoo; Ryu, Doojin - In: Asia-Pacific journal of financial studies 39 (2010) 3, pp. 301-339

Persistent link: https://www.econbiz.de/10009230522

Asymmetric mispricing and regime-dependent dynamics in index futures and options markets

Lee, Jaeram; Ryu, Doojin - In: Asian economic journal : journal of the East Asian … 30 (2016) 1, pp. 47-65

Persistent link: https://www.econbiz.de/10011525887

Modeling and predicting the market volatility index : the case of VKOSPI

Han, Heejoon; Kutan, Ali Mustafa; Ryu, Doojin - 2015

The KOSPI 200 options are one of the most actively traded derivatives in the world. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 options and (b) macroeconomic and financial variables that...

Persistent link: https://www.econbiz.de/10010478493

Regime-dependent relationships between the implied volatility index and stock market index

Lee, Jaeram; Ryu, Doojin - In: Emerging markets finance & trade : a journal of the … 50 (2014) 5, pp. 5-17

Persistent link: https://www.econbiz.de/10010485198

Common deviation and regime-dependent dynamics in the index derivatives markets

Lee, Jaeram; Kang, Jangkoo; Ryu, Doojin - In: Pacific-Basin finance journal 33 (2015), pp. 1-22

Persistent link: https://www.econbiz.de/10011474037

Optionable Stocks and Mutual Fund Performance

Chung, Chune Young - 2017

We examine whether stock-level options information drives mutual fund performance. Our paper is motivated by existing studies indicating that options prices or implied volatilities predict stock returns. We find that stock-implied volatility innovations forecast mutual fund performance....

Persistent link: https://www.econbiz.de/10012968429

Intraday option price changes and net buying pressure

Ryu, Doojin; Yang, Heejin - In: Applied economics letters 29 (2022) 4, pp. 292-297

Persistent link: https://www.econbiz.de/10012803523

Information contents of intraday SSE 50 ETF options trades

Luo, Xingguo; Cai, Wenye; Ryu, Doojin - In: The journal of futures markets 42 (2022) 4, pp. 580-604

Persistent link: https://www.econbiz.de/10013187563

Trade duration, informed trading, and option moneyness

Chung, Kee H.; Park, Seongkyu Gilbert; Ryu, Doojin - In: International review of economics & finance : IREF 44 (2016), pp. 395-411

Persistent link: https://www.econbiz.de/10011626088