DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kang, Jangkoo | ko |
dc.contributor.author | Lee, Chang Joo | ko |
dc.contributor.author | Lee, Soonhee | ko |
dc.date.accessioned | 2008-05-22T10:05:42Z | - |
dc.date.available | 2008-05-22T10:05:42Z | - |
dc.date.created | 2012-02-06 | - |
dc.date.created | 2012-02-06 | - |
dc.date.issued | 2006-12 | - |
dc.identifier.citation | JOURNAL OF EMERGING MARKET FINANCE, v.5, no.3, pp.235 - 261 | - |
dc.identifier.issn | 0972-6527 | - |
dc.identifier.uri | http://hdl.handle.net/10203/4675 | - |
dc.description.abstract | This article empirically examines the lead-lag relations among the KOSPI200 spot market, the KOSPI200 futures market, and the KOSPI200 options market, and provides some explanations for the observed lead-lag relations. In general, the KOSPI200 futures and options markets lead the KOSPI200 spot market by up to 10 minutes in terms of returns and by 5 minutes in terms of volatilities, even after purging the infrequent trading effect as well as the bid-ask spread effect. The KOSPI200 options market leads and lags the KOSPI200 futures market by 5 minutes only in terms of returns. The observed lead-lag relations seem to be caused by the difference in transaction costs of the three markets. | - |
dc.language | English | - |
dc.language.iso | en_US | en |
dc.publisher | SAGE Publications | - |
dc.title | An empirical investigation of the lead-lag relations of returns and volatilities among the KOSPI200 spot, futures, and options markets and their explanations | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.citation.volume | 5 | - |
dc.citation.issue | 3 | - |
dc.citation.beginningpage | 235 | - |
dc.citation.endingpage | 261 | - |
dc.citation.publicationname | JOURNAL OF EMERGING MARKET FINANCE | - |
dc.identifier.doi | 10.1177/097265270600500303 | - |
dc.embargo.liftdate | 9999-12-31 | - |
dc.embargo.terms | 9999-12-31 | - |
dc.contributor.localauthor | Kang, Jangkoo | - |
dc.contributor.nonIdAuthor | Lee, Chang Joo | - |
dc.contributor.nonIdAuthor | Lee, Soonhee | - |
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