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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
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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
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Volatility information trading in the index options market : an intraday analysis
Yang, Heejin; Kutan, Ali Mustafa; Ryu, Doojin - In: International review of economics & finance : IREF 64 (2019), pp. 412-426
Persistent link: https://www.econbiz.de/10012372813
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Special section introduction : market volatility, trading behavior, and bank efficiency in Asian markets
Kutan, Ali Mustafa - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 137
Persistent link: https://www.econbiz.de/10011339541
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Sources of real exchange rate fluctuations in transition economies : the case of Poland and Hungary
Dibooglu, Sel; Kutan, Ali Mustafa - 2000
Persistent link: https://www.econbiz.de/10001512713
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Sociopolitical instability, volatility, and the bid-ask spread : evidence from the free market for dollars in Poland
Kutan, Ali Mustafa - In: Open economies review 6 (1995) 3, pp. 225-236
Persistent link: https://www.econbiz.de/10001183555
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Sources of real exchange rate fluctuations in transition economies : the case of Poland and Hungary
Dibooglu, Sel; Kutan, Ali Mustafa - In: Journal of comparative economics : the journal of the … 29 (2001) 2, pp. 257-275
Persistent link: https://www.econbiz.de/10001600845
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Inflation and output as predictors of stock returns and volatility : international evidence
Davis, Nicole; Kutan, Ali Mustafa - In: Applied financial economics 13 (2003) 9, pp. 693-700
Persistent link: https://www.econbiz.de/10001776863
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Investor panic, IMF actions, and emerging stock market returns and volatility : a panel investigation
Hayo, Bernd; Kutan, Ali Mustafa - 2001
Persistent link: https://www.econbiz.de/10001660397
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Investor panic, IMF actions, and emerging stock market returns and volatility : a panel investigation
Hayo, Bernd; Kutan, Ali Mustafa - 2001
Persistent link: https://www.econbiz.de/10001637151