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Keywords: Investor Sentiment
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2015) 23 (4): 475–516.
Published: 30 November 2015
...Byungchan Kim; Sol Kim We examine the relation between investor sentiment proxies and the risk neutral skewness of S&P 500 index option. The risk neutral skewness is estimated by the method of Bakshi, Kapadia and Madan (2003), which is non-parametric method, and the interpolation-extrapolation...
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2014) 22 (4): 611–635.
Published: 30 November 2014
... of investor sentiment, on average. The relation between the KOSPI and mood variables representing for investor sentiment is economically and statistically significant. For example, a 10% increase of the CEI relative to the previous month leads to a 14.7% rise of the KOSPI. The magnitude of the mood effect...
