Search Results - subject:"KOSPI200 Options"

Are the KOSPI 200 implied volatilities useful in value-at-risk models?

Kim, Jun Sik; Ryu, Doojin - In: Emerging markets review 22 (2015), pp. 43-64

Persistent link: https://www.econbiz.de/10011304192

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

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

(VKOSPI) derived from the KOSPI 200 options and (b) the macroeconomic and financial variables that can predict the implied …

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

What types of investors generate the two-phase phenomenon?

Ryu, Doojin - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 23, pp. 5939-5946

We examine the two-phase phenomenon described by Plerou, Gopikrishnan, and Stanley (2003) [1] in the KOSPI 200 options …

Persistent link: https://www.econbiz.de/10011064620

Asymmetric and negative return-volatility relationship: the case of the VKOSPI

Guo, Biao; Han, Qian; Ryu, Doojin; Webb, Robert I. - 2013

implied by the KOSPI200 options. KOSPI 200 optioins are the most actively traded derivative contracts in the world and …

Persistent link: https://www.econbiz.de/10011003232

Implied Volatility Index of KOSPI200: Information Contents and Properties

Ryu, Doojin - In: Emerging Markets Finance and Trade 48 (2012) 7, pp. 24-39

This paper investigates the properties and information contents of an implied volatility index based on Korea's index options contract, which is the most liquid options product in the world. Analyzing the recent 100-month-long volatility index series (VKOSPI; Volatility Index of KOSPI200)...

Persistent link: https://www.econbiz.de/10010612801

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

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