The Dynamics of Trades and Quote Revisions Across Stock, Futures, and Option Markets
2008 ◽
Vol 11
(02)
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pp. 227-254
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Keyword(s):
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.
2019 ◽
Vol 27
(3)
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pp. 329-364
2013 ◽
Vol 08
(01)
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pp. 1350002
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Keyword(s):
2017 ◽
Vol 25
(3)
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pp. 451-478
2006 ◽
Vol 09
(04)
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pp. 575-596
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1998 ◽
Vol 01
(03)
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pp. 321-353
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2017 ◽
Vol 25
(4)
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pp. 591-622
Keyword(s):
2014 ◽
Vol 11
(2)
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pp. 697-707
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2018 ◽
Vol 7
(2)
◽
pp. 150-171
Keyword(s):
2015 ◽
Vol 5
(3)
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pp. 215-235
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