Fear in the Korea Market
To quantify the level of fear in the Korea equity market, we construct a volatility index with the market prices of options on the KOSPI 200 index. We use the model-free approach in our construction. The resulting volatility index, referred to as KIX, is found to play a role similar to VIX, the vola...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2007
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| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/634 |
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| Institution: | Singapore Management University |
| Language: | English |