...Kwangil Bae; Hankil Kang; Changjun Lee This study examines the lead-lag relationship between the stock market and CDS market in Korea using the firm-level data during 2006-2009. Our main findings can be summarized as follows. First, our empirical finding shows that stock returns Granger cause CDS...

...Sol Kim This paper investigates the lead-lag relationship between the call-put options trading value ratio and the KOSPI 200 returns using Chen, Lung, and Tay (2005, 2006)’s model. We report the evidence conSistent with a pooling equilibrium or that informed trades are executed in both equity...

...Jae Ha Lee; Deok Hee Hahn This study explores the Granger causal relationship between return and volume in the KOSPI200 spot and option markets for the period from December 13. 2002 to December 9. 2004. using minute-by-minute data. Specifically, we examine the lead-lag relationship among OPtion...

...Jae Ha Lee; Je Ryun Chung This study examines the lead-lag relationship between KOSPI200 and the volatility index based on the implied volatility from the KOSPI200 options. The sample period covers from January 2, 2003 to June 30, 2004. Both daily and minute-by-minute data were used for the lead...

... because futures and cash returns may affect each other contemporaneously. Secondly, a bivariate GARCH model is used because the lead-lag relationships between the two markets should consider not only return itself but also return volatility. The results from the first regression suggest that KOSPI200...