Journal of Derivatives and Quantitative Studies: ????????????

2023 - 2026

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2026, month September, vol 34

How do macroeconomic determinants and weather conditions jointly influence the commodity derivative market? pp. 162-176

Ruchita Verma, Dhanraj Sharma and Deepak Kumar

Offshore listing of Korean equity index derivatives and domestic market adjustment: evidence from the KOSPI 200 index pp. 221-247

Chaehyun Kim

2026, month June, vol 34

ESG activities and bank risk-taking: The mediating role of liquidity creation and the moderating role of bank funding structure in ASEAN-5 pp. 177-201

Mohammed R. M. Salem and Mohd Fahmi Ghazali

Do employee owners deter firms from withholding bad news? Evidence from Korea pp. 202-220

Shin Hyejeong and Heejin Park

2026, month May, vol 34

Time-frequency connectedness between Thailand and international stock markets during crises pp. 96-112

Surachai Chancharat and Nongnit Chancharat

Portfolio return optimization under an endogenous investment set: evidence from P2P lending pp. 113-127

Jaesung James Park, Jonghyun Moon, HyeIn Yu, Hyomin Lee, Hyebin Jeong, Minseo Choi and Hyeseong Hwang

2026, month April, vol 34

The efficiency cost of ESG investing: evidence from the Korean stock market pp. 82-95

Sangki Lee and Dongyoup Lee

2026, month February, vol 34

Comparative analysis of derivatives usage patterns among Fortune 500 companies during the market volatility periods pp. 61-77

Vibhum Bansal and Preeti Sharma

Measuring managerial skill using value added and alpha: evidence from the Korean equity fund market pp. 143-158

Jaeram Lee and Changjun Lee

2026, month January, vol 34

Empirical estimation of realized higher-order (joint) cumulants and their practical issues pp. 44-60

Kwangil Bae and Soonhee Lee

Weibull option Greeks for managing residual value risk in automotive finance pp. 128-142

Seok Bin Ko

2026, month October

Empirical performance of rough volatility models in the KOSPI 200 options market using deep surrogates pp. 1-22

Woon Wook Jang

Salience-driven mispricing in retail-dominated markets: evidence from Korea pp. 1-25

Donghoon Kim and Jihoon Goh

2025, month December, vol 34

Option pricing models revisited: evidence from the KOSPI 200 options market pp. 2-22

Sol Kim

2025, month November, vol 34

Do firms with excessive cash holdings exhibit higher stock price crash risk? Evidence from Korea pp. 23-43

Jeonghu Pak, Seongjae Mun and Hyeong Joon Kim

2025, month November, vol 33

Predictive power of mutual fund holdings on stock returns: evidence from the Korean market pp. 262-281

Kayoun Yi and Noolee Kim

2025, month October, vol 33

Do analysts underreact to pension underfunding? Evidence from forecast bias and funding ratios of DB plans in Korea pp. 189-206

Jung-Hee Noh and Heejin Park

Unraveling COVID-19-induced volatility spillover: a study of the dynamic interplay between NIFTY 50 spot and options markets pp. 231-259

Nisha Tokas, Ruchika Gahlot, Neha Puri, Himani Gupta and Kunal Malhotra

How large-cap exclusion affects alpha and factor stability in the Korean FF3 model pp. 282-297

Mhin Kang

The governance role of board interlocks in audit pricing: empirical evidence from the KOSDAQ pp. 298-312

Jeong-hwan Park

Commodity spot prices and the US stock market performance: evidence from the COVID-19 crisis pp. 313-332

Quazi Nur Alam and Dipta Banik

2025, month May, vol 33

Valuation of American options using machine learning: beyond Longstaff–Schwartz and hybrid models pp. 170-188

Maria Vivas-Redondo, María Coronado-Vaca and Esther Vaquero-Lafuente

2025, month April, vol 33

Impact of monetary policy on financial stability in good times pp. 131-149

Peterson Ozili

Diversity of the board, nomination committee and earnings management in the two-tier system pp. 207-230

Ferdy Putra and Doddy Setiawan

2025, month March, vol 33

High-dimensional parameter calibration of interest rate model for the Korean insurance capital standard pp. 23-44

Bong-Gyu Jang, Seung Min Baik and Changhui Choi

Predicting crude oil returns and trading position: evidence from news sentiment pp. 86-109

Hail Jung and Daejin Kim

Do changes in the implied volatility of stock options predict future changes in CDS spreads? pp. 150-167

Changsoo Hong and Yuen Jung Park

2025, month February, vol 33

Real option valuation using Weibull distribution: a new framework for depreciation risk management pp. 110-130

Seok Bin Ko

2025, month January, vol 33

Margin call risk and leverage constraints: exploring investment horizons and low-risk anomalies in futures markets pp. 2-22

Yonghwan Jo and Dain Jung

The role of ESG rating divergence and independent directors in predicting future stock price crash risk pp. 45-66

Han Sun, JaeHo Lee, Hyoung-Goo Kang and Zengrui Fan

2024, month November, vol 33

Interaction between equity futures and spot markets during COVID-19 pandemic: a multi-market analysis pp. 67-84

Kalu O. Emenike

2024, month November, vol 32

Predicting zombie firms after the COVID-19 pandemic using explainable artificial intelligence pp. 266-285

Dongwook Seo, Hyeong Joon Kim and Seongjae Mun

2024, month October, vol 32

Partial hedging in credit markets with structured derivatives: a quantitative approach using put options pp. 286-322

Constantin Siggelkow

Does the disclosure of ESG information by private equity firms impact the success of their fundraising efforts? pp. 323-343

Jung-Hee Noh and Heejin Park

The Fisher’s hedge hypothesis: what about homogeneity and stability properties? pp. 344-370

Malika Neifar and Amira Harzallah

2024, month July, vol 32

The impact of ESG ratings on corporate value during COVID-19 pandemic: evidence from China and South Korea pp. 223-237

Donghoon Kim and Sun-Joong Yoon

2024, month May, vol 32

Renegotiable debt, liquidity injections and financial instability pp. 182-199

Hyun Soo Doh and Guanhao Feng

Word-of-mouth effects in individual investors’ trading: evidence from Korea pp. 200-222

Sujung Choi

Informational role of investment and liquidation values pp. 238-263

Hyun Soo Doh and Yiyao Wang

2024, month April, vol 32

American put options with regime-switching volatility pp. 86-115

Bong-Gyu Jang and Hyeng Keun Koo

The role of arbitrage risk in the MAX effect: evidence from the Korean stock market pp. 159-180

Jihoon Goh and Donghoon Kim

2024, month March, vol 32

The relationship between changes in corporate payout policy and capital structure pp. 116-144

Songhee Kim, Jaeuk Khil and Yu Kyung Lee

2024, month February, vol 32

Whose option ratios contain information about future stock prices? pp. 58-81

Bonha Koo and Ryumi Kim

Does information environment affect information spillover between the CDS and stock markets in Korea? pp. 145-158

Heewoo Park and Yuen Jung Park

2024, month January, vol 32

Network of public equity funds and investment performance in South Korea pp. 36-57

Yongwon Kim, Inwook Song and Young Kyu Park

2023, month December, vol 32

Changes in repo markets and the necessity for CCPs in Korea pp. 2-22

Sun-Joong Yoon

2023, month November, vol 32

Do technical trading rules outperform the simple buy-and-hold strategy in the cryptocurrency market? pp. 23-35

JunHyeong Jin, JiHoon Jung and Kyojik Song

2023, month October, vol 31

The performance distribution and managerial skill of passive funds: evidence from the Korean market pp. 328-346

Jaeram Lee and Changjun Lee

2023, month September, vol 31

National cultures and the asset growth effect pp. 278-308

Robin K. Chou, Kuan-Cheng Ko and S. Ghon Rhee

Retail investors and overpricing of left-tail risk: evidence from the Korean stock market pp. 309-327

Jungmu Kim, Yuen Jung Park and Thuy Thi Thu Truong

2023, month July, vol 31

Comparison of the trading strategies and market impact costs of the National Pension Service's internal and external management pp. 197-218

Yunsung Eom and Mincheol Woo

Do competent managers increase labor productivity? Evidence from Korea pp. 242-260

Donghwan Ahn, Shiyong Yoo and Seungho Cho

Effectiveness of debt modification system in Korea pp. 262-277

Kye moon Lee and Junesuh Yi

2023, month June, vol 31

Network-based measures of systemic risk in Korea pp. 174-196

Jaewon Choi and Jieun Lee

2023, month May, vol 31

Is OCIO superior in asset allocation performance? pp. 139-161

Myungjoo Kang, Inwook Song and Seiwan Kim

The impact of ESG rating disagreement on corporate value pp. 219-241

Ryumi Kim and Bonha Koo

2023, month March, vol 31

Investment strategy via analyst report text mining pp. 98-120

Cheol-Won Yang

Time-varying preferences for ESG investments: evidence from an emerging market pp. 121-138

Eunyoung Cho

2023, month February, vol 31

Small-sized asset owners’ OCIO selections and evaluations pp. 162-171

Deahyeon Park and Doo Jin Ryu