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Limit orders, depth, and volatility : evidence from the Stock Exchange of Hong Kong

Ahn, Hee-joon; Bae, Kee-hong; Chan, Kalok - In: The journal of finance : the journal of the American … 56 (2001) 2, pp. 767-788

Persistent link: https://www.econbiz.de/10001604140

What moves German Bund futures contracts on the Eurex?

Ahn, Hee-joon; Cai, Jun; Cheung, Stephen Y. L. - In: The journal of futures markets 22 (2002) 7, pp. 679-696

Persistent link: https://www.econbiz.de/10001678562

A geometric treatment of time-varying volatilities

Han, Chulwoo; Park, Frank C.; Kang, Jangkoo - In: Review of quantitative finance and accounting 49 (2017) 4, pp. 1121-1141

Persistent link: https://www.econbiz.de/10011797596

Decomposition of volatility in Asian equity markets

Hong, Ki Hoon; Kang, Jangkoo; Lee, Doowon - In: Asian capital market development and integration : …, (pp. 363-396). 2014

Persistent link: https://www.econbiz.de/10010356722

Retail investors and the idiosyncratic volatility puzzle : evidence from the Korean stock market

Kang, Jangkoo; Lee, Eunmee; Sim, Myounghwa - In: Asia-Pacific journal of financial studies 43 (2014) 2, pp. 183-222

Persistent link: https://www.econbiz.de/10010408036

Implied volatility index of KOSPI200 : information contents and properties

Ryu, Doojin - In: Emerging markets finance & trade : a journal of the … 48 (2012), pp. 24-39

Persistent link: https://www.econbiz.de/10009682531

Effects of the US stock market return and volatility on the VKOSPI

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

The KOSPI (Korea Composite Stock Price Index) 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) the...

Persistent link: https://www.econbiz.de/10011376746

The impacts of overseas market shocks on the CDS-option basis

Park, Yuen Jung; Kutan, Ali Mustafa; Ryu, Doojin - In: The North American journal of economics and finance : a … 47 (2019), pp. 622-636

Persistent link: https://www.econbiz.de/10012120141

The difference in the intraday return-volume relationships of spot and futures : a quantile regression approach

Lee, Jaeram; Lee, Geul; Ryu, Doojin - 2019

This study illuminates the difference in the intraday return-volume relationships of spot and index futures. The quantile regression analyses show that the widening effect of the spot 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/10011986884

Return and volatility spillovers and cojump behavior between the U.S. and Korean stock markets

Kim, Jun Sik; Ryu, Doojin - In: Emerging markets finance & trade : a journal of the … 51 (2015), pp. 3-17

Persistent link: https://www.econbiz.de/10011603316