This study examines the pricing kernel and empirical risk aversion implied by Korea's equity-linked warrants (ELWs). The estimated pricing kernel is clearly time-varying and exhibits a monotonic decrease with the underlying return state, which is consistent with mainstream economic theories on...

In this study, we examine the impacts of changes to the required reserve ratio (RRR) on banking and finance stock prices in China from 2007 to 2012 using multiple variance ratio tests and vector error correction models. The efficient market hypothesis is rejected during the earlier increases in...

This study examines liquidity dynamics by observing changes in bid-ask spreads and market depths in response to new information and trading activities. By analysing high-quality data from the KOSPI200 futures market, we determine that spread and depth effectively adjust to new information and...

This letter first examines the effectiveness of the order-splitting strategy by analysing the unique intraday dataset of the KOSPI200 futures market, which contains high-quality information on the classes and identification of investors. The empirical finding indicates that a significant number...