.... The differences are higher at open and at 15:00 and are lower over intraday trading hours, implying that previous studies using daily closing prices overstate this mispricing. We also examine the effect of intraday spot return on the behavior of the difference between the hourly futures price and its theoretical...

..., and 3) mispricings between spot and futures prices. The first, analysis shows the in the KOSPI200 market, futures price leads spot price. While spot price leads futures price in the KOSDAQ50 market. The second analysis shows that the volatility-volume relation is positive in the KOSPI200 futures market...