The determinant of difference between VKOSPI and VIX
| Period | KOSPI200 ret –S&P500 ret | △VKOSPI | △ELS_Outstanding | Constant | R^2 |
|---|---|---|---|---|---|
| 2008/1–2010/12 | −15.1453 (−0.8954) | 10.0657*** (3.0536) | 1.1465 (1.0402) | 1.1518* (1.8587) | 0.2164 |
| 2011/1–2019/12 | −22.0221*** (−3.3151) | −3.4603** (−2.5636) | −0.3452** (−2.4546) | −0.6147*** (−2.6744) | 0.1851 |
| 2008/1–2019/12 | −13.7675* (−1.6927) | 3.5890** (2.1468) | −0.3917* (−1.6794) | 0.0901 (0.2785) | 0.0591 |
| Period | KOSPI200 ret –S&P500 ret | △VKOSPI | △ELS_Outstanding | Constant | R^2 |
|---|---|---|---|---|---|
| 2008/1–2010/12 | −15.1453 (−0.8954) | 10.0657*** (3.0536) | 1.1465 (1.0402) | 1.1518* (1.8587) | 0.2164 |
| 2011/1–2019/12 | −22.0221*** (−3.3151) | −3.4603** (−2.5636) | −0.3452** (−2.4546) | −0.6147*** (−2.6744) | 0.1851 |
| 2008/1–2019/12 | −13.7675* (−1.6927) | 3.5890** (2.1468) | −0.3917* (−1.6794) | 0.0901 (0.2785) | 0.0591 |
Note:
Sample period: January 2, 2008–December 30, 2019
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