Fear in the Korea Market

• Main Author: TING, Hian Ann, Christopher
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2007
• Subjects: Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/634
• Institution: Singapore Management University

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...