The Dynamics of Trade and Quote Revisions Across Stock, Futures, and Option Markets
Review of Pacific Basin Financial Markets and Policies, Vol. 11, No. 2, pp. 227-254, 2008
Posted: 21 Oct 2009
Abstract
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.
Keywords: KOSPI 200 index, futures, options, information, VAR
JEL Classification: G12, G13, G14
Suggested Citation: Suggested Citation
Jangkoo Kang
College of Business, Korea Advanced Institute of Science and Technology (KAIST) ( email )
85 Hoegiro, Dongdaemoon-gu
Seoul 02455
Korea, Republic of (South Korea)
+82 2 958 3521 (Phone)