연구논문 : 변동성지수와 주가지수간의 선도-지연관계 = Lead-Lag Relationship between Volatility Index and Stock Market Index

참고문헌 (Reference)

1 김명직, "＂주식시장의 변동성 예측：KOSPI 변동성지수(KoVIX)의 도입가능성을 중심으로＂" 229-264, 1993

2 홍성희, "＂주가지수 선물, 주가지수 옵션, 주식시장 상호작용에 대한 재조명＂" 한국선물학회 1-33, 1998

3 구본일, "한국 주식시장에서의 주가변동성의 비대칭성에 관한 연구" 129-159, 2000

4 장국현, "한국 옵션시장의 변동성 예측과 예측성과 비교에 관한 연구" 9 (9): 51-79, 2001

5 Schwert, "Why Does Stock Market Volatility Change over Time?" 1115-1153, 1989

6 Fleming, "Trading Costs and The Relative Rates of Price Discovery in Stock" 353-387, 1996

7 Lee,J.and J.Chung, "Time-Varying Forecast Performance of New and Original Volatility Indexes for the 1990-2004 Period" skk graduate school of business : 2005-, sungkyunkwanuniversity

8 Black,F.and M.Scholes, "The pricing of options and corporate liabilities" 81 : 637-659, 1973

9 Christie, "The Stochastic Behavior of Common Stock Variance Journal of Financial Economics" 407-432, 1982

10 Simon, "The Nasdaq Volatility Index During and After the Bubble" 9-24, 2003

11 Whaley, R.,, "The Investor Fear Gauge" 12-17, 2000

12 Dowling, "The Implied Volatility of Australian Index Options" 1-35, 2004

13 Corrado, "The Forecast Quality of CBOE Implied Volatility Indexes" 339-373, 2005

14 Black, "Studies of stock market volatility changes" business and economics section : 177-181, 1976

15 Schwert, "Stock Volatility and the Crash of ’87" 77-102, 1990

16 Gorton,G.and P.Pennacchi, "Security Baskets and Index-Linked Securities" 66 : 1-28, 1993

17 Fleming, J., B., "Predicting stock market volatility：A New measure" 265-302, 1995

18 이재하, "KOSPI200 옵션시장에서의 변동성지수 산출 및 분석" 성균관대학교 SKK GSB 2005

19 Cox, "Journal of Financial Economics" 229-264, 1979

20 French, "Journal of Finance" 279-496, 1987

21 Granger, "Investigating Causality Relations by Econometric Models and Cross Spectral Methods" eco (eco): 424-438, 1969

22 Merton, "Financial innovation and the management and regulation of financial institutions" 3 461-4 481, 1995

23 Whaley, "Derivatives on market volatility Journal of Derivatives" 71-84, 1993

24 Newey,W.and K.West, "A Simple Positive Semi-Definite Heteroskedasticity and Autocorrelation Consistent Covariance Matrix" 55 : 703-708, 1987b