Doojin Ryu

Sungkyunkwan University

53 Myeongnyun-dong 3-ga Jongno-ju

Guro-gu

Seoul, 110-745

Korea, Republic of (South Korea)

  • Sungkyunkwan University

SCHOLARLY PAPERS

22

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SSRN CITATIONS
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13

CROSSREF CITATIONS

3

Scholarly Papers (22)

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1.

Forecasting Stock Market Volatility and Application to Volatility Timing Portfolios

Number of pages: 43 Posted: 25 Jul 2022
Dohyun Chun, Hoon Cho and Doojin Ryu
Yonsei University, Korea Advanced Institute of Science and Technology (KAIST) and Sungkyunkwan University
Downloads 1,005 (38,298)

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Asset allocation; Machine learning; Model averaging; Volatility forecasting; Volatility timing portfolio

2.

Who Profits From Trading Options?

Number of pages: 51 Posted: 16 Jun 2021
Jianfeng Hu, Antonia Kirilova, Seongkyu Gilbert Park and Doojin Ryu
Singapore Management University - Lee Kong Chian School of Business, CUNEF Universidad, Willamette University and Sungkyunkwan University
Downloads 1,003 (38,572)
Citation 1

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Options, institutional investors, retail investors, trading styles, volatility

3.

Time-Series Momentum in the Chinese Commodity Futures Market

Number of pages: 29 Posted: 17 Jan 2019
Hoon Cho, Hyuna Ham, Hyeongjun Kim and Doojin Ryu
Korea Advanced Institute of Science and Technology (KAIST), Fount Inc., Yeungnam University - Department of Business Administration and Sungkyunkwan University
Downloads 386 (129,314)
Citation 3

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China, Commodity, Futures, Momentum, Time-Series

4.

Investor Sentiment, Stock Returns, and Analyst Recommendation Changes

Number of pages: 14 Posted: 04 Feb 2019
Karam Kim, Doojin Ryu, Heejin Yang and Heejin Yang
Sungkyunkwan University - College of Economics, Sungkyunkwan University and Sungkyunkwan UniversitySoongsil University
Downloads 225 (226,329)

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Analyst Recommendation Changes, Event Study, Investor Sentiment, Stock Returns

5.

Search-Theoretic Approach to Cryptocurrency Adoption and Financial Inclusion

Downloads 217 (235,173)
Citation 1

Search-Theoretic Approach to Cryptocurrency Adoption and Financial Inclusion

Number of pages: 31 Posted: 01 Jun 2022
Daehan Kim, Maggie Chen and Doojin Ryu
Sungkyunkwan University, Cardiff University - School of Mathematics and Sungkyunkwan University
Downloads 162 (305,252)
Citation 1

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Bitcoin, Cryptocurrency, Economic modeling, Financial inclusion, Monetary search model

Search-Theoretic Approach to Cryptocurrency Adoption and Financial Inclusion

Number of pages: 31 Posted: 02 Jun 2022
Daehan Kim, Jing Chen and Doojin Ryu
Sungkyunkwan University, Cardiff University - School of Mathematics and Sungkyunkwan University
Downloads 55 (624,247)

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Bitcoin; Cryptocurrency; Economic modeling; Financial inclusion; Monetary search model

6.

Optionable Stocks and Mutual Fund Performance

Journal of Futures Markets, Forthcoming
Number of pages: 31 Posted: 22 Aug 2016 Last Revised: 06 Jan 2017
Chune Young Chung, Doojin Ryu, Kainan Wang and Blerina Bela Zykaj
Chung-Ang University - College of Business & Economics, Sungkyunkwan University, University of Toledo and Clemson University - College of Business
Downloads 130 (362,195)

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implied volatility; mutual fund; optionable stock; predictability; performance

7.

Impact of the COVID-19 Pandemic on Corporate Cash Holdings: Evidence from Korea

Number of pages: 24 Posted: 09 Jun 2022
Hae Jin Chung, Hogyu Jhang and Doojin Ryu
Sejong University - School of Business, CNU, School of Business and Sungkyunkwan University
Downloads 111 (406,843)

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Cash holdings, Cash management, COVID-19, Marginal value of cash, Precautionary motives of cash

8.

Noise Traders, Mispricing, and Price Adjustments in Derivatives Markets

Downloads 105 (423,268)
Citation 1

Noise Traders, Mispricing, and Price Adjustments in Derivatives Markets

Number of pages: 32 Posted: 19 Jan 2019
Doojin Ryu, Heejin Yang and Heejin Yang
Sungkyunkwan University and Sungkyunkwan UniversitySoongsil University
Downloads 55 (624,247)

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cost-of-carry; domestic investor; market efficiency; noise trading; price adjustment; price disagreement; put-call parity

Noise Traders, Mispricing, and Price Adjustments in Derivatives Markets

Number of pages: 32 Posted: 30 Jan 2019
Doojin Ryu and HeeJin Yang
Sungkyunkwan University and Soongsil University
Downloads 50 (652,986)
Citation 1

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9.

The Impacts of Macroeconomic News Announcements on Intraday Implied Volatility

Bank of Korea WP 2019-2
Number of pages: 76 Posted: 10 Jan 2019
Jieun Lee and Doojin Ryu
The Bank of Korea and Sungkyunkwan University
Downloads 94 (456,171)

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Event study; Intraday volatility; KOSPI 200 options; Macroeconomic news announcement

10.

Firm-specific or market-wide information: How does analyst coverage influence stock price synchronicity?

Number of pages: 29 Posted: 17 Jan 2022
Yongsik Kim and Doojin Ryu
Hankuk University of Foreign Studies - Department of International Finance and Sungkyunkwan University
Downloads 91 (465,785)

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Analyst coverage; Cyclicality; Firm performance; Firm-specific information; Stock price synchronicity

11.

Determination of Transaction Fees in the Bitcoin Network

Number of pages: 21 Posted: 30 Sep 2022
Daehan Kim, Doojin Ryu and Robert I. Webb
Sungkyunkwan University, Sungkyunkwan University and University of Virginia - McIntire School of Commerce
Downloads 88 (475,548)

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Bitcoin, Blockchain security, Transaction fee, Contest theory

12.

Discovering the Drivers of Stock Market Volatility in a Data-Rich World

Number of pages: 56 Posted: 10 Jun 2022
Hoon Cho, Dohyun Chun and Doojin Ryu
Korea Advanced Institute of Science and Technology (KAIST), Yonsei University and Sungkyunkwan University
Downloads 80 (503,705)

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Asset allocation, Cross-market studies, Global financial markets, Heterogeneous autoregressive model, LASSO, Volatility forecasting

13.

Characteristics of Mortgage Terminations: An Analysis on the Loan-Level Dataset

KAIST College of Business Working Paper Series No. 2016-016
Number of pages: 42 Posted: 23 Nov 2016
Hoon Cho, Hyeongjun Kim and Doojin Ryu
Korea Advanced Institute of Science and Technology (KAIST), College of Business, Korea Advanced Institute of Science and Technology (KAIST) and Sungkyunkwan University
Downloads 80 (503,705)
Citation 3

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Default, Hazard model, Loan-level dataset, Mortgage; Prepayment

14.

Expectations and the Housing Market: A Model of House Price Dynamics

Number of pages: 37 Posted: 06 Dec 2021 Last Revised: 26 Feb 2022
Jengei Hong and Doojin Ryu
Handong Global University - Management & Economics and Sungkyunkwan University
Downloads 71 (539,095)
Citation 1

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Bounded rationality, Endogenous cycles, Extrapolative expectation, Housing bubbles, Housing prices

15.

Contract Size Changes in the Options Market: Effects on Market Efficiency and Investor Behavior

Applied Economics, forthcoming
Number of pages: 38 Posted: 18 Feb 2021 Last Revised: 06 Jul 2021
Seongkyu Gilbert Park and Doojin Ryu
Willamette University and Sungkyunkwan University
Downloads 62 (578,531)

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Account-level trade and quote data, Index options, Lottery stocks, Options multiplier, Retail investor

16.

Effects of Intraday Weather Changes on Asset Returns and Volatilities

Zbornik radova Ekonomskog fakulteta u Rijeci, časopis za ekonomsku teoriju i praksu - Proceedings of Rijeka Faculty of Economics, Journal of Economics and Business, Vol. 35, No. 2, 2017, pp. 301-330
Number of pages: 30 Posted: 26 Jan 2018
Hyein Shim, Maria Kim and Doojin Ryu
Republic of Korea Public Finance Information Service, University of Wollongong and Sungkyunkwan University
Downloads 56 (607,740)

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asset returns, behavioral finance, GJR-GARCH, intraday analyses, weather effect, volatility

17.

Measuring Corporate Failure Risk: Does Long Short-term Memory Perform Better in All Markets?

Number of pages: 23 Posted: 28 Sep 2022
Hyeongjun Kim, Hoon Cho and Doojin Ryu
Yeungnam University - Department of Business Administration, Korea Advanced Institute of Science and Technology (KAIST) and Sungkyunkwan University
Downloads 31 (763,717)

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Corporate Failure Prediction; Emerging Market; Machine Learning; Long Short-Term Memory; Random Forest

18.

Signaling or Collusion Effects? The Information Bridge Between Banks and SMEs in China

Number of pages: 24 Posted: 28 Sep 2022
kainan li, Xingguo Luo, Doojin Ryu and Liuyong Yang
Zhejiang University, Zhejiang University, College of Economics and Academy of Financial Research, Sungkyunkwan University and Zhejiang University
Downloads 29 (779,300)

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Asymmetric information; Chinese market; Credit market; Credit rationing; Government guarantee institutions; SMEs.

19.

Mass Appraisal for Urban Land in Korea: A Hybrid Hedonic Pricing Approach

Number of pages: 21 Posted: 30 Nov 2021
Jengei Hong and Doojin Ryu
Handong Global University - Management & Economics and Sungkyunkwan University
Downloads 29 (779,300)

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Hedonic model, Machine learning, Mass appraisal, Locational effect, K-means clustering

20.

The Effects of Option Incentive Compensation on Corporate Innovation: The Case of China

Number of pages: 36 Posted: 28 Jun 2023
Rui Cheng, Bart Frijns, Hyeongjun Kim and Doojin Ryu
Taiyuan University of Technology, Open University of the Netherlands - School of Management, Yeungnam University - Department of Business Administration and Sungkyunkwan University
Downloads 19 (864,883)

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Compensation structure, Corporate innovation, Chinese market, Option incentives, R&D

21.

Forecasting Consumer Credit Recovery Failure: Classification Approaches

Journal of Credit Risk, Vol. 17, No. 3
Number of pages: 24 Posted: 21 Oct 2021
Hyeongjun Kim, Hoon Cho and Doojin Ryu
Yeungnam University - Yeungnam University, Korea Advanced Institute of Science and Technology (KAIST) and Sungkyunkwan University
Downloads 0 (1,032,601)
Citation 1
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classification; consumer credit recovery; credit risk; machine learning; nonperforming loans

22.

Characteristics of Mortgage Terminations: An Analysis of a Loan-level Dataset

Journal of Real Estate Finance and Economics, Vol. 57, No. 4, 2018
Posted: 20 Nov 2018
Hyeongjun Kim, Hoon Cho and Doojin Ryu
College of Business, Korea Advanced Institute of Science and Technology (KAIST), Korea Advanced Institute of Science and Technology (KAIST) and Sungkyunkwan University

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Default; Hazard Model; Loan-Level Dataset; Mortgage; Prepayment