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Three Essays on the Economic Function and Role of the Korean Derivatives Market

조대형 2012년

논문상세정보
인용/피인용
' Three Essays on the Economic Function and Role of the Korean Derivatives Market' 의 주제별 논문영향력
논문영향력 선정 방법
논문영향력 요약
주제
  • credit default swap
  • equity futures
  • kospi 200 futures
  • kostar futures
동일주제 총논문수 논문피인용 총횟수 주제별 논문영향력의 평균
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' Three Essays on the Economic Function and Role of the Korean Derivatives Market' 의 참고문헌

  • Why does futures trading succeed or fail: an analysis of selected commodities
    Gray [1987]
  • Whose markets? Evidence on some aspects of futures trading
    Working [1954]
  • Valuation Credit Default Swaps Ⅰ : No Counterparty Default Risk
  • Time-varying distribution and the optimal hedge ratios for stock index futures
  • The theory and practice of futures markets
  • The sensitivity of the optimal hedging ratio to model specification
    Moosa [2003]
  • The relationship between credit default swap spreads, bond yields, and credit rating announcements
    A.White Hull M.Predescu The relationship between credit default swap spreads [2004]
  • The lead-lag relationship between the stock market and CDS market in Korea
    Bae V.J.Lee [2010]
  • The introduction of KOSPI 200 stock price index futures and the asymmetric volatility in the stock market
  • The industrial organization of futures markets : a survey
    Anderson [1984]
  • The impact of futures trading on underlying stock index volatility : the case of the FTSE Mid 250 contract
    Butterworth [2000]
  • The impact of derivative trading on spot market volatility : evidence for indian derivative market
  • The hedging performance of the new futures markets
    Figlewski [1984]
  • The effects of stock index futures trading on stock index : an analysis of the asymmetric response of volatility to news
  • The desirability of a cattle futures market
    Hieronymus [1996]
  • The comovement of sovereign credit default swap, bond and stock markets
    Han S.W.Lee The comovement of sovereign credit default swap [2009]
  • The co-movement of credit swap, bond and stock markets : an empirical analysis
    N.Weber Norden The co-movement of credit swap [2009]
  • The causal relationship between futures price volatility and the cash price volatility of GNMA securities
  • The capital asset pricing model(CAPM), short-scale restrictions and related issues
    Ross The capital asset pricing model(CAPM) [1977]
  • The Cost of Transactions
    Demsetz [1968]
  • Success and failure of futures contracts : theory and empirical evidence
    Black [1986]
  • Success and failure of agricultural futures contract
  • Studies of Stock Market Volatility Changes
    Black [1976]
  • Stock index futures trading and volatility in international equity markets
  • Starting out in futures trading
  • Spurious Regressions in Econometrics
  • Sovereign Credit Default Swaps
  • Sovereign CDS and bond pricing dynamics in emerging markets : does the cheapest-to-deliver option matter?
    Ammer F.Cai [2007]
  • Share price volatility with the introduction of individual share futures on the sydney futures exchange
  • Requiem for a market : an analysis of the rise and fall of a financial futures contract
  • Price dispersion in the government securities market
  • Price discovery and risk transfer in stock index cash and futures markets
  • Optimal hedging under price and quantity uncertainty : the case of a cocoa producer
    Rolfo [1980]
  • Optimal hedging by firms with multiple sources of risky revenues
  • Optimal futures hedge with marketing-to-market and stochastic interest rates
  • On the relations between the expected value and the volatility of the nominal excess returns on stocks
  • On the effect of index futures trading on stock market volatility
    Alexakis [2007]
  • New insights into the impact of the introduction of futures trading on stock price volatility
  • Measuring and Testing the Impact of News on Volatility
    Engle V.K.Ng Measuring and testing the impact of news on volatility [1993]
  • KOSPI 200 derivatives and volatility spillover between stocks in the spot market
  • Innovation, competition, and new contract design in futures market
    Silber Innovation [1981]
  • Innovation by an exchange : A case study of the development of the plywood futures contract
    Sandor [1973]
  • Informational externalities and welfare reducing speculation
    Stein [1987]
  • Information efficiency of credit default swap and stock markets : the impact of credit rating announcements
  • Index futures trading and asymmetric volatility : evidence from asian stock markets
  • Impact of the introduction of stock price index futures on dispersion : the empirical analysis in korea
  • Impact of stock price index futures on the liquidity and volatility of stock market
    Byun [1998]
  • Impact of futures and options on the underlying market volatility : an empirical study on S&P CNX Nifty index
  • Impact of derivatives trading on volatility of the underlying : evidence from indian stock market
    Nair [2008]
  • Impact of KOSPI 200 futures trading on the volatility of spot market
  • Hedging efficiency : A futures exchange management approach
  • Hedging effectiveness in greek stock index futures market 1999-2001
  • Hedging and joint production, theory and illustrations
    Anderson J.P.Danthine Hedging and joint production [1980]
  • Generalized optimal hedge ratio estimation
    Myers [1989]
  • Generalised autoregressive conditional heteroskedasticity
    Bollerslev [1986]
  • GNMA futures: stabilizing or destabilizing?
    Froewiss [1978]
  • Futures trading and volatility in the GNMA market
    Figlewski [1981]
  • Futures trading and spot price volatility : evidence for the FTSE-100 stock index futures contract using GARCH
    Antoniou [1995]
  • Futures trading and hedging
    Working [1953]
  • Futures trading and cash market volatility : stock index and interest rate futures
    Edwards [1988]
  • Futures markets : their purpose, their history, their growth, their success and failures
    Carlton Futures markets : their purpose [1984]
  • Equity Prices, credit default swaps, and bond spreads in emerging markets
    Chan-Lau Equity Prices [2004]
  • Does the introduction of stock index futures effectively reduce stock market volatility? Is the ‘futures effect’ immediate?
    Bologna [2002]
  • Does futures trading reduce price fluctuations in the cash markets?
    Powers [1970]
  • Does futures trading increase stock market volatility?
    Edwards [1988]
  • Do futures and options trading increase stock market volatility?
  • Derivatives and volatility on indian stock markets
  • Default risk or liquidity? New evidence from the credit default swap market
  • Cross hedging
    Anderson [1981]
  • Credit swap valuation
    Duffie [1999]
  • Bivariate GARCH estimation of the optimal commodity futures hedge
    Baillie [1991]
  • Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation
    Engle Autoregressive conditional heteroskedasticity with estimates of the variance of united kingdom inflation [1982]
  • An empirical comparison of credit spreads between the bond market and the credit default swap market
    Zhu [2006]
  • An empirical analysis on the determinants of credit default swap spreads
    Kang [2010]
  • An empirical analysis on asymmetric volatility and market trend in korean stock market
    C.S.Lee [2000]
  • An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps
  • An analysis on korean sovereign credit risk index
  • An analysis of dynamic relationship between korean sovereign CDS premium and foreign exchange stabilization bond spread
    Cho [2011]
  • An analysis and implication on the determinants of credit default swap premiums of domestic and foreign banks
    Seo [2010]
  • Alternative models for the conditional heteroskedasticity of stock returns
    Kim [1994]
  • Alternative models for conditional stock volatility
  • A study on the adoption of stock futures and the volatility of the stock market
    Cho [2012]
  • A new measure to compare the hedging effectiveness of foreign currency futures versus options
  • A documentative look at contract approvals, launches and successes in U.S. futures markets
    Don A documentative look at contract approvals [2008]