Research

[Refereed articles (SSCI)]

[9] Lee, G., and Ryu, D., 2024. Linear extrapolation and model-free option implied moments. Borsa Istanbul Review, in press.

[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, 242-279.

[7] Kim, S., Lee, G., and Kang, H., 2021. Risk management and corporate social responsibility. Strategic Management Journal 42, 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, 20190026.

[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, 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, 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, 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, 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]

[4] Lee, G., and Ryu, D., 2024. Arbitrage and return correlations in the treasury and MBS markets. (Submitted)

[3] Lee, G., Yang, L., and Ryu, D., 2024. Domain symmetry and model-free option implied skewness estimation. (Submitted)

[2] Lee, G., and Ryu, D., 2024. Investor sentiment or information content? A simple test for investor sentiment proxies. (Revise & resubmit)

[1] Lee, G., and Ryu, D., 2023. Are base layer blockchains establishing a new sector? Evidence from a connectedness approach. (Revise & resubmit)

[Papers in progress]

[1] Lee, G., Yang, L., and Ryu, D., 2024. Domain stabilization for model-free option implied moment estimation.