[Refereed articles (SSCI)]
[16] Lee, G., Ryu, D., 2025. State-dependent relationship between cryptocurrency returns and credit spreads. European Financial Management, Available online publication.
[15] Lee, G., Ryu, D., 2025. Fear of missing out and cryptocurrency miners: Evidence from Dogecoin and Litecoin. Journal of Behavioral and Experimental Finance 46, 101059.
[14] Lee, G., Ryu, D., and Yang, L., 2025. Does domain symmetry affect the estimation of implied skewness? Journal of Derivatives 32(4), 142-163.
[13] Lee, G., Ryu, D., and Yang, L., 2025. Domain stabilization for model-free option implied moment estimation. Journal of Financial Econometrics 23(2), nbae037.
[12] Lee, G., Ryu, D., and Yang, L., 2025. Informativeness of truncation in the options market. Finance Research Letters 72, 106490.
[11] Lee, G., and Ryu, D., 2025. Are base layer blockchains establishing a new sector? Evidence from a connectedness approach. Research in International Business and Finance 73(B), 102654.
[10] Lee, G., and Ryu, D., 2024. Linear extrapolation and model-free option implied moments. Borsa Istanbul Review 24(Supplement 1), 88-106.
[9] Lee, G., and Ryu, D., 2024. Investor sentiment or information content? A simple test for investor sentiment proxies. North American Journal of Economics and Finance 74, 102222.
[8] Kang, C., Kim, D., Kim, J., and Lee, G., 2022. Informed trading of out‐of‐the‐money options and market efficiency. Journal of Financial Research 45(2), 242-279.
[7] Kim, S., Lee, G., and Kang, H., 2021. Risk management and corporate social responsibility. Strategic Management Journal 42(1), 202-230.
[6] Lee, J., Lee, G., and Ryu, D., 2019. The difference in the intraday return-volume relationships of spot and futures: a quantile regression approach. Economics 13, 2019-26.
[5] Lien, D., Lee, G., Yang, L., and Zhang, Y., 2018. Volatility spillovers among the US and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis. North American Journal of Economics and Finance 46, 187-201.
[4] Lee, G., and Ryu, D., 2018. Asymmetry in the stock price response to macroeconomic shocks: evidence from the Korean markets. Journal of Business Economics and Management 19(2), 343-359.
[3] Kim, S., Lee, G., and Park, Y., 2017. Skewness versus kurtosis: Implications for pricing and hedging options. Asia-Pacific Journal of Financial Studies 46(6), 903-933.
[2] Lien, D., Yang, L., Zhou, C., and Lee, G., 2014. Co-movement between RMB and New Taiwan Dollars: Evidences from NDF markets. North American Journal of Economics and Finance 28, 265-272.
[1] Kim, S., and Lee, G., 2011. Effects of macroeconomic news announcements on risk‐neutral distribution: Evidence from KOSPI200 intraday options data. Asia-Pacific Journal of Financial Studies 40(3), 403-432.
[Refereed articles (Scopus)]
[1] Kim, S., and Lee, G., 2017. Lead–Lag Relationship Between Returns and Implied Moments: Evidence from KOSPI 200 Intraday Options Data. Review of Pacific Basin Financial Markets and Policies 20(3), 1750017.
[Refereed articles (KCI)]
[2] ‘지수옵션의 변동성 스프레드가 갖는 정보효과,’ (김솔 공저) 선물연구 19(1), 59–90, 2011.
[1] ‘펀드 특성과 성과에 관한 실증 연구,’ (오봉록, 강장구, 김솔, 류두진 공저) 기업경영연구 18(2), 21–40, 2011.
[Refereed articles (Others)]
[1] ‘전통적 회귀분석 모형의 보완을 통한 동적헤징의 효율성 혁신: 시뮬레이션 연구,’ (김솔 공저) 산업혁신연구 26(1), 77–97, 2010.
[Working papers]
[3] Lee, G., Chen, J., Ryu, D., 2025. Effectiveness of domain stabilization: A broader perspective. (Revise & resubmit, International Review of Economics and Finance)
[2] Lee, G., Ryu, D., 2024. Arbitrage and return correlations in the treasury and MBS markets. (Revise & resubmit, Emerging Markets Review)
[1] Daily reversals of implied moments and their put-call spreads. (Submitted)