... the stock market in Taiwan officially approved selected stocks for day trading for all investors. Within the sample period, the empirical findings show that day trading increases the bid–ask spread, price depth and stock volatility, indicating that day trading activities not only cause higher transaction...

... is a significant challenge. In this paper, we analyze whether leveraged and inverse ETFs affect the price and volatility of Korean market. Thus, our research contributes to the body of literature and to the design of public policies and trading strategies. Our research can also advance the development of ETF...

...Young Sook Suh This study examines how FX OTC derivatives transactions of foreign banks’ branches funded by short term borrowings affect the volatility of stock markets and FX markets in Korea based on historical data. It founds that they use call money for FX-derivatives trading, rather than...

... model with objective standards for selecting events when measuring the effect of North Korea Risks. North Korea Risk Event Study Efficient Market Hypothesis Cumulative Abnormal Return (CAR) Volatility © 2014 Emerald Publishing Limited 2014 This article is published under the Creative...

.... Also, it is estimated based on volume time, so it can estimate toxicity of order flow in a high frequency world. We show a relation between KOSPI200 index futures VPIN and futures market volatility using correlation and conditional probability distribution. A main empirical result is that persistently...

...Shiyong Yoo In this study, we explore the empirical relationship between trading volume and volatility among KOSPI200 index stock market, futures and options markets. In particular, in explaining the volatility of each market, the trading in other markets, as well as the trading volume of other...

... 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 KOSPI200 Index Variance Swap Realized Variance Volatility Term Structure of Variance...

... strategies using the KOSPI200 nighttime futures are quite effective when investors have positions in the ETFs. Third, the empirical performance of the investment strategies using the nighttime futures is significantly related to volatility shocks. The strategies are more effective when the market is volatile...

... but price continuations after the event. Secondly, the analysis of volatility and liquidity shows that there are some differences in the effects of sidecar on market volatility and liquidity according to the sample periods‘ however, in the post period of widening of the sidecar trigger levels, the mechanism...

...Jong In Yoon This study analyzes the maturity structure of the volatility in the KOSPI200 index and futures returns. Using bivariate GARCH model, we obtain the empirical evidences that the maturity structure of the volatility is U-shaped unlike the well-known Samuelson effect. Remarkably. U-shaped...

...Dam Cho I perform the backtesting of 10-day VaR's using daily returns of KOSPI 200 from January 1994 to December 1993 (2,692 days). The seven volatility measures are calculated with the last 300-day data; those are the historical standard deviations, the exponentially weighted moving average (EWMA...

...Chang Hyeon Yun; Lee Seong Gu In this study we examine the relationships between trader-type-specific trading volumes and the price volatility of the KOSPI200 stock index futures over the period of July 1997 through December 2001. The principal findings of this study are that the changes in trading...

...Ji Hyeon Lee; Dong Seog Kim; Hoe Gyeong Lee In this paper, we empirically examine the volatility process of Korean stock market returns using the KOSPI200. To investigate the property of the process, we use the FIGARCH (Fractionally Integrated GARCH) model that includes GARCH and 1GARCH processes...