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Investors' net buying pressure and implied volatility dynamics

Ryu, Doojin; Webb, Robert I.; Yang, Heejin; Yu, Jinyoung - In: Borsa Istanbul Review 22 (2022) 4, pp. 627-640

We examine the effects of limited investor attention on stock returns by using Google search volume index to measure investor attention. We also investigate whether national culture and market development have any role in this relationship. We find that the impact of investor attention on stock...

Persistent link: https://www.econbiz.de/10013334805

Special issue from the 13th Annual Asia-Pacific Futures Research Symposium : [held jointly with the International Conference on Derivatives and Risk Management in Shanghai, China, February 27 - 28, 2003]

Webb, Robert I. (contributor) - Asia Pacific Futures Research Symposium <13, 2003, … - 2003

Persistent link: https://www.econbiz.de/10001825698

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

Domain stabilization for model-free option implied moment estimation

Lee, Geul; Ryu, Doojin; Li, Yang - In: Journal of financial econometrics 23 (2025) 2, pp. 1-32

Persistent link: https://www.econbiz.de/10015339752

Informativeness of truncation in the options market

Lee, Geul; Ryu, Doojin; Yang, Li - In: Finance research letters 72 (2025), pp. 1-6

Persistent link: https://www.econbiz.de/10015176872

Is the KOSPI 200 options market efficient? : parametric and nonparametric tests of the Martingale restriction

Guo, Biao; Han, Qian; Ryu, Doojin - In: The journal of futures markets 33 (2013) 7, pp. 629-652

Persistent link: https://www.econbiz.de/10009756544

Implied pricing Kernels : an alternative approach for option valuation

Ryu, Doojin; Kang, Jangkoo; Suh, Sangwon - In: The journal of futures markets 35 (2015) 2, pp. 127-147

Persistent link: https://www.econbiz.de/10011348461

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

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

ELW pricing kernel and empirical risk aversion

Kim, Jun Sik; Kim, Hyeyoen; Ryu, Doojin - In: Applied economics letters 21 (2014) 4/6, pp. 372-376

Persistent link: https://www.econbiz.de/10010413719