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Keywords: Index options market
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Journal Articles
A Market Microstructure Analysis of the KOSPI200 Stock Index Options Market: Investor‘s Strategic Behavior
Open Access
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2003) 11 (1): 25–55.
Published: 31 May 2003
...Gyeong Sig Eom; Sang Beom Han This paper analyzes trader‘s strategic behavior in the KOSPI200 index options market. Using intraday data for various at-the-money options, we obtain the following results : (1) The frequency of trades is a better market statistic than trade size for option price...
