181
Views
4
CrossRef citations to date
0
Altmetric
Regular Articles

Market Reform and Efficiency: The Case of KOSPI200 Options

, &

References

  • Ahn, H-. J., J. Kang, and D. Ryu. 2008. Informed trading in the index option market: The case of KOSPI 200 options. Journal of Futures Markets 28 (12):1118–46. doi:10.1002/fut.v28:12.
  • Chen, C. R., P. P. Lung, and N. S. P. Tay. 2005. Information flow between the stock and option markets: Where do informed traders trade? Review of Financial Economics 14 (1):1–23. doi:10.1016/j.rfe.2004.03.001.
  • Chung, K. H., S. G. Park, and D. Ryu. 2016. Trade duration, informed trading, and option moneyness. International Review of Economics and Finance 44:395–411. doi:10.1016/j.iref.2016.02.003.
  • Easley, D., M. O’Hara, and P. S. Srinivas. 1998. Option volume and stock prices: Evidence on where informed traders trade. Journal of Finance 53 (2):431–65. doi:10.1111/0022-1082.194060.
  • Han, H., A. M. Kutan, and D. Ryu. 2015. Effects of the US stock market return and volatility on the VKOSPI. Economics: The Open-Access, Open-Assessment E-Journal 9 (2015–35):1–34. doi: 10.5018/economics-ejournal.ja.2015-35.
  • Kim, J., Y. J. Park, and D. Ryu. 2018. Testing CEV stochastic volatility models using implied volatility index data. Physica A: Statistical Mechanics and Its Applications 449:224–32. doi:10.1016/j.physa.2018.02.001.
  • Kim, J. S., and D. Ryu. 2015. Are the KOSPI 200 implied volatilities useful in value-at-risk models? Emerging Markets Review 22:43–64. doi:10.1016/j.ememar.2014.11.001.
  • Kim, J. S., D. Ryu, and S. W. Seo. 2015. Corporate vulnerability index as a fear gauge? Exploring the contagion effect between U.S. and Korean markets. Journal of Derivatives 23 (1):73–88. doi:10.3905/jod.2015.23.1.073.
  • Lee, J., J. Kang, and D. Ryu. 2015. Common deviation and regime-dependent dynamics in the index derivatives markets. Pacific-Basin Finance Journal 33:1–22. doi:10.1016/j.pacfin.2015.02.001.
  • Lee, J., and D. Ryu. 2014. Regime-dependent relationships between the implied volatility index and stock market index. Emerging Markets Finance and Trade 50 (5):5–17.
  • Lee, J., D. Ryu, and A. M. Kutan. 2016. Monetary policy announcements, communication, and stock market liquidity. Australian Economic Papers 55 (3):227–50. doi:10.1111/aepa.2016.55.issue-3.
  • Lee, J., and C. H. Yi. 2001. Trade size an information-motivated trading in the options and stock markets. Journal of Financial and Quantitative Analysis 36 (4):485–501. doi:10.2307/2676221.
  • Malinova, K., and A. Park. 2014. The Impact of competition and information on intraday trading. Journal of Banking and Finance 44:55–71. doi:10.1016/j.jbankfin.2014.03.026.
  • Muravyev, D., N. D. Pearson, and J. P. Broussard. 2013. Is there price discovery in equity options? Journal of Financial Economics 107:259–83. doi:10.1016/j.jfineco.2012.09.003.
  • Ozturk, S. R., M. Van Der Wel, and D. Van Dijk. 2017. Intraday price discovery in fragmented markets. Journal of Financial Markets 32:28–48. doi:10.1016/j.finmar.2016.10.001.
  • Ryu, D. 2011. Intraday price formation and bid-ask spread components: A new approach using a cross-market model. Journal of Futures Markets 31 (12):1142–69. doi:10.1002/fut.v31.12.
  • Ryu, D. 2013. What types of investors generate the two-phase phenomenon? Physica A: Statistical Mechanics and Its Applications 392 (23):5939–46. doi:10.1016/j.physa.2013.07.053.
  • Ryu, D. 2015. The information content of trades: An analysis of KOSPI 200 index derivatives. Journal of Futures Markets 35 (3):201–21. doi:10.1002/fut.v35.3.
  • Ryu, D., J. Kang, and S. Suh. 2015. Implied pricing kernels: An alternative approach for option valuation. Journal of Futures Markets 35 (2):127–47. doi:10.1002/fut.v35.2.
  • Ryu, D., H. Kim, and H. Yang. 2017. Investor sentiment, trading behavior and stock returns. Applied Economics Letters 24 (12):826–30. doi:10.1080/13504851.2016.1231890.
  • Ryu, D., and H. Yang. 2017. Price disagreements and adjustments in index derivatives markets. Economics Letters 151:104–06. doi:10.1016/j.econlet.2016.12.016.
  • Ryu, D., and H. Yang. 2018. The directional information content of options volumes. Journal of Futures Markets Forthcoming. doi: 10.1002/fut.21960.
  • Sim, M., D. Ryu, and H. Yang. 2016. Tests on the monotonicity properties of KOSPI 200 options prices. Journal of Futures Markets 36 (7):625–46. doi:10.1002/fut.v36.7.
  • Song, W., D. Ryu, and R. I. Webb. 2016. Overseas market shocks and VKOSPI dynamics: A Markov-switching approach. Finance Research Letters 16:275–82. doi:10.1016/j.frl.2015.12.007.
  • Song, W., D. Ryu, and R. I. Webb. 2018. Volatility dynamics under an endogenous Markov-switching framework: A cross-market approach. Quantitative Finance Forthcoming. doi:10.1080/14697688.2018.1444551.
  • Stiglitz, J. E. 1993. The role of the state in financial markets. World Bank Economic Review 7 (suppl_1):19–52. doi:10.1093/wber/7.suppl_1.19.
  • Webb, R. I., D. Ryu, D. Ryu, and J. Han. 2016. The price impact of futures trades and their intraday seasonality. Emerging Markets Review 26:80–98. doi:10.1016/j.ememar.2016.01.002.
  • Yang, H., H-. J. Ahn, M. H. Kim, and D. Ryu. 2017. Information asymmetry and investor trading behavior around bond rating change announcements. Emerging Markets Review 32:38–51. doi:10.1016/j.ememar.2017.05.004.
  • Yang, H., H. S. Choi, and D. Ryu. 2017. Option market characteristics and price monotonicity Violations. Journal of Futures Markets 37 (5):473–98. doi:10.1002/fut.v37.5.
  • Yang, H., A. M. Kutan, and D. Ryu. 2018. Option moneyness and price disagreements. Applied Economics Letters 25 (3):192–96. doi:10.1080/13504851.2017.1307931.
  • Yang, H., J. Lee, and D. Ryu. 2018. Market depth, domestic investors and price monotonicity violations. Applied Economics Letters 25 (10):688–92. doi:10.1080/13504851.2017.1355539.
  • Yang, H., D. Ryu, and D. Ryu. 2017. Investor sentiment, asset returns and firm characteristics: Evidence from the Korean stock market. Investment Analysts Journal 46 (2):132–47. doi:10.1080/10293523.2016.1277850.

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.