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1-3 of 3
Keywords: Information Transmission
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2016) 24 (1): 153–184.
Published: 29 February 2016
...://creativecommons.org/licences/by/4.0/legalcode Price Discovery Nighttime Market Put-call Ratio Liquidity Information Transmission ...
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2012) 20 (2): 165–193.
Published: 31 May 2012
...Jay M. Chung We investigate how Korean stock market and its participants react to the sub-prime mortgage crisis. Using data for the ABX sub-prime index, we find strong evidence of information transmission from ABX to KOSPI and VKOSPI during 2007 sub-prime mortgage crisis period. Responding...
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2012) 20 (1): 101–131.
Published: 29 February 2012
...Woo-Baik Lee Trading of KOSPI 200 futures on CME Globex platform, which was launched in November 2009, starts at 18:00 and closes at 05:00 in the next morning. This paper investigates the information transmission between daytime trading of KOSPI 200 futures on KRX and nighttime trading of KOSPI 200...
