An Empirical Investigation of the Lead-Lag Relations of Returns and Volatilities among the KOSPI200 Spot, Futures and Options Markets and their Explanations
Year of publication: |
2006
|
---|---|
Authors: | Kang, Jangkoo ; Lee, Chang Joo ; Lee, Soonhee |
Published in: |
Journal of Emerging Market Finance. - Institute for Financial Management and Research. - Vol. 5.2006, 3, p. 235-261
|
Publisher: |
Institute for Financial Management and Research |
Subject: | Lead-Lag Relations | Information Transmission | Market Efficiency |
-
Testing market efficiency with the pricing kernel
Barone-Adesi, Giovanni, (2019)
-
Media coverage and food commodities : agricultural futures prices and volatility effects
Almánzar, Miguel, (2017)
-
A new Model for Stock Price Movements
Venier, Guido, (2007)
- More ...
-
Kang, Jangkoo, (2006)
-
An Analysis of the Determinants of Inflation-linked Bond Prices in Korea
Kang, Jangkoo, (2018)
-
Is the information on the higher moments of underlying returns correctly reflected in option prices?
Kang, Jangkoo, (2016)
- More ...