English, Article edition: The Dynamics of Trades and Quote Revisions Across Stock, Futures, and Option Markets Jangkoo Kang; Hyoung-Jin Park

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Physical Description
  • article
Language
  • English

Edition details

Title
  • The Dynamics of Trades and Quote Revisions Across Stock, Futures, and Option Markets
Author
  • Jangkoo Kang
  • Hyoung-Jin Park
Physical Description
  • article
Notes
  • This paper examines the dynamics of returns and order imbalances across the KOSPI 200 cash, futures and option markets. The information effect is more dominant than the liquidity effect in these markets. In addition, returns have more predictability power for the future movements of prices than order imbalances. Information seems to be transmitted more strongly from derivative markets to their underlying asset markets than from the underlying asset markets to their derivative markets. Finally, domestic institutional investors prefer futures, domestic individual investors prefer options, and foreign investors prefer stocks relative to other investor groups when they have new information.
  • KOSPI 200 index, futures, options, information, VAR, JEL Classification: G12, JEL Classification: G13, JEL Classification: G14
  • RePEc:wsi:rpbfmp:v:11:y:2008:i:02:p:227-254
Language
  • English
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