Fear in the Korea Market

• 主要作者: TING, Hian Ann, Christopher
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2007
• 主題: Finance and Financial Management; Portfolio and Security Analysis
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/634
• 機構: 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...