266
Views
18
CrossRef citations to date
0
Altmetric
Original Articles

Stock market volatility and trading activities in the KOSPI 200 derivatives markets

, &
Pages 49-53 | Published online: 19 Aug 2006

References

References

  • Bessembinder , H and Seguin , PJ . 1992 . Futures trading activity and stock price volatility . Journal of Finance , 47 : 2015 – 34 .
  • Bessembinder , H and Seguin , PJ . 1993 . Price volatility, trading volume, and market depth: evidence from futures markets . Journal of Financial Quantitative Analysis , 28 : 21 – 39 .
  • Chang , EC , Cheng , WJ and Pinegar , JM . 1999 . Does futures trading increase stock market volatility? The case of the Nikkei stock index futures markets . Journal of Banking & Finance , 23 : 727 – 53 .
  • Damodaran , A and Subrahmanyam , MG . 1992 . The effects of derivative securities on the markets for the underlying assets in the United States: a survey . Financial Markets, Institutions & Instruments , 1 : 1 – 22 .
  • Dantine , J . 1978 . Information, futures prices, and stabilizing speculation . Journal of Economic Theory , 17 : 79 – 98 .
  • Edwards , FR . 1988 . Futures trading and cash market volatility: stock index and interest rate futures . Journal of Futures Markets , 8 : 421 – 39 .
  • Eme P 2003 Korea Stock Index Option: The Hottest Listed Derivatives Product in the World, An FIA Special Report pp. 38–40
  • Figlewski , S . 1981 . Futures trading and volatility in the GNMA market . Journal of Finance , 36 : 445 – 56 .
  • Fleming , J , Ostdiek , B and Whaley , RE . 1996 . Trading costs and the relative rates of price discovery in stock, and option markets . Journal of Futures Markets , 16 : 353 – 87 .
  • Grossman , SJ . 1988 . An analysis of the implications for stock and futures price volatility of program trading and dynamic hedging strategies . Journal of Business , 61 : 275 – 98 .
  • Gulen , H and Mayhew , S . 2000 . Stock index futures trading and volatility in international equity markets . Journal of Futures Markets , 20 : 661 – 85 .
  • Hagelin , N . 2000 . Index option market activity and cash market volatility under different market conditions: an empirical study from Sweden . Applied Financial Economics , 10 : 597 – 613 .
  • Harris , L . 1989 . S&P 500 cash stock price volatilities . Journal of Finance , 46 : 1155 – 75 .
  • Hodges S 1992 Do derivative instruments increase market volatility? Options: Recent Advances in Theory and Practice II (Ed.) S. Hodges Manchester University Press Manchester
  • Kim , M , Szakmary , A and Schwarz , T . 1999 . Trading costs and price discovery across stock index futures and cash markets . Journal of Futures Markets , 19 : 475 – 98 .
  • Kyle AS 1984 A theory of futures market manipulations The Theory of Futures Markets (Ed.) P. Weller (republished 1992) Blackwell Oxford and Cambridge MA pp. 273–303
  • Lee , SB and Ohk , KY . 1992 . Stock index futures listing and structural change in time varying volatility . Journal of Futures Markets , 12 : 493 – 509 .
  • Mayhew S 2000 The impact of derivatives on cash markets: what have we learned University of Georgia Working Paper
  • Ross , S . 1989 . Information and volatility: the no-arbitrage Martingale approach to timing and resolution irrelevancy . Journal of Finance , 44 : 1 – 17 .
  • Stein , J . 1987 . Informational externalities and welfare-reducing speculation . Journal of Political Economy , 95 : 1123 – 45 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.