Fear in the Korea Market

• المؤلف الرئيسي: TING, Hian Ann, Christopher
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2007
• الموضوعات: Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/634
• المؤسسة: 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...