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Keywords: Intraday volatility
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2002) 10 (1): 55–80.
Published: 31 May 2002
... in the volatility of returns between the cash and futures markets than that observed in the returns alone. When I consider intraday volatility as well in the lead-lag relationship between the two markets, KOSPI200 futures markets strongly lead index markets but KOSPI index do not lead futures markets. Evidence also...
