... attribution to the original publication and authors. The full terms of this licence maybe seen at Link to the terms of the CC BY 4.0 licence. Offshore listing Equity index derivatives KOSPI 200 Market liquidity Investor participation Volatility spillovers Korea Exchange Academic Research...

... seen at http://creativecommons.org/licences/by/4.0/legalcode Duration Market liquidity Momentum effect Duration factor Illiquidity factor G11 G12 G14 Our study is different from prior works in that our study attempts to understand the driving forces behind the momentum...

... the level of market illiquidity affect the momentum profits. The central findings are summarized as follows. First, our full-sample analysis shows that market liquidity is positively associated with momentum profits, meaning that the observed momentum effect during post-2000 period is related...

...-selling using order imbalance variables, we found that non-short selling is much more aggressive than short selling in the Korean stock market. From the observation of market liquidity measured by quoted spreads, we could find that market liquidity is somewhat limited during price decline stages while...

... lagged market liquidity and loss aversion does not have an impact on the probability of property sales. On the other hand, the liquidity spiral hypothesis holds that the interaction between market liquidity and loss aversion has an impact on the probability of property sales due to the self-fulfilling...