... attribution to the original publication and authors. The full terms of this licence maybe seen at http://creativecommons.org/licences/by/4.0/legalcode COVID-19 pandemic and equity markets Futures-stock markets relationship Price discovery Volatility transmission G11 G13 G15 G32...

... purposes of liquidity provider from 2015. This study performed a vector error correction model (VECM) based on spot-futures market linkage to evaluate the effectiveness of the liquidity policy by examining the difference in the price discovery around the event. The main empirical analysis results...

...Woo–baik Lee The KOSPI200 mini options market, introduced in July 2015, is a market where the trading multiplier is reduced to one-fifth of the regular options. This study shows that the price discovery effect of the original options and the mini options estimated by the vector error correction...

... of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode Mini Futures Regular Futures Arbitrage Trading Price Discovery...

...Junghoon Seon Korea Exchange has widen daily price limits from ±15% to ±30% of previous trading day’s closing price since June 15, 2015. In this paper, we examine how the event of widening price limits affect price discovery process over the course of trading day. In order to conduct...

...Ki Beom Binh; Sang-min Lee; Won Seop Lee Using Hasbrouck’s (1995, 2002) information share method, we examine the mutual price discovery dynamics among Won/Dollar spot, forward, and NDF exchange rates in on- and off-shore FX markets. Our findings include : (i) During the entire period, the mutual...

...Woo-baik Lee Trading of KOSPI200 options on Eurex launched in 2010 starts at 17:00 after market and closes at 05:00 in the next morning. This paper attempts to examine the role of put-call ratio of KOSPI200 nighttime options in price discovery process of spot market. The main findings of this paper...

...Myeong-Hoon Yeom; Jae-Seung Baek This study focused on the Korea ETF which is listed and traded in NYSE (New York stock exchange) and analyzed empirically the price discovery effect of NYSE Korea ETF on the Korean stock market. There was almost no related research even though the Korea ETF listed...

... in process of intraday price discovery. Each market’s speed and degree of price discovery are measured by WPC (weighted price contribution) devised by Barclay and Warner (1993) and WPCT (weighted price contribution per trade) proposed by Barclay and Hendershott (2003), respectively. Each market’s accuracy...

...Ki Beom Binh; Seokjin Woo; Sang Min Lee This paper empirically analyzes the price discovery process between Korean sovereign CDS premium, spread of Korean government debt, Won-Dollar currency swap rate, and Won-Dollar FX rate. With the global financial and fiscal crisis, especially in the U.S...

... fruitful guides for the foreign exchange intervention policy, including signaling effect, portfolio effects, and direct and indirect intervention effects. Currency Futures Markets Foreign Exchange Spot Market NDF Markets Price Discovery DCC-GARCH Model the Spillover Index © 2014 Emerald...

... price discovery to KOSPI 200 Global futures. Meanwhile, the weighted volume contribution (WVC) also shows ‘W’-shaped curve but weighted price contribution per volume contribution (WPCV) indicates asymmetric ‘U’-shaped curve. This finding that a trade is more (less) informative when trading intensity...

... in price discovery process of daytime trading of KOSPI 200 futures on KRX despite of immaturity and low liquidity. Globex Price Discovery Information Transmission Nighttime Market Liquidty © 2012 Emerald Publishing Limited 2012 This article is published under the Creative Commons Attribution...

...Hong Chung-Hyo This paper investigated the price discovery and asymmetric volatility spillover effects between single stock futures and spot markets. For this purpose we employ 4 largest Korean financial holding companies's daily data covering the period from May 7, 2008 to the end of December...

... orders behind the best bid and offer. Using Vector Error Correction Method to estimate ‘Information share’ of quotes as suggested by Hasbrouck (1995), we find that the order book is significantly informative–its contribution to price discovery is approximately above 70%, while remaining is from cash...

...Seok-Kyu Kang This paper examines the price discovery process among the Korea stock index markets using the vector error correction model (VECM) and the multivariate generalized auto regressive conditional heteroskedasticity (M-GARCH) model. The minute-by-minute price series of the KOSPI200 index...

... Trading After Stock Market Close Synchronous Trading Price Discovery ...

...Woo–baik Lee This paper estimates the contribution of KOSPI200 futures to spot price discovery based on methodology of ‘information share’, which is suggested by Hasbrouck (1995). Using the intraday data covering sample period from year 1997 to 2003, I estimate information share with specification...