Abstract

ABSTRACTWe investigate whether changes in the implied volatility index (VKOSPI) of the Korean market have predictive power for daily market returns. We find that future returns on large stocks are higher than those on small stocks on days that follow an increase in the VKOSPI. Additionally, we find that future returns on growth stocks are larger than those on value stocks on days following an increase in the VKOSPI. We also provide empirical evidence that a potential trading rule based on changes in the VKOSPI might be profitable. Our findings indicate that the VKOSPI can be used in predicting the performance of large/small and value/growth stocks in practice.

Full Text
Paper version not known

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.