We examine the effect of the introduction of index futures trading in the Korean markets on spot price volatility and market efficiency of the underlying KOSPI 200 stocks, relative to the carefully matched non‐KOSPI 200 stocks. Employing both an event study approach and a matching‐sample...

Unlike the U.S. and Japanese securities markets, we find new evidence of volatility spillover between index stocks and non‐index stocks following the introductions of index derivatives trading in the Korean securities markets. We further find that the degree of volatility spillover is closely...

We study gains to momentum trading from 1946 through 2002. Past papers assume a zero-investment strategy where short sales of losers fund the purchase of winners. In practice, the broker holds the cash from the short sale as collateral, and the investor funds long positions with his own or...

In this paper, we obtain sharp estimates for the expected payoffs and prices of European call options on an asset with an absolutely continuous price in terms of the price density characteristics. These techniques and results complement other approaches to the derivative pricing problem. Exact...

This paper reexamines the international long-term reversal evidence. Using a longer time horizon and expanding the number of country indices, it is shown that long-term reversals results differ across methodology, start date, and time horizon. Due to the fact that the major international equity...

Semi-parametric upper bounds are derived for call and put options. These bounds depend only on moments of the return distribution. The importance of skewness of the underlying price distribution on option bounds is demonstrated. Examples of bounds to lognormal diffusions and mixed diffusion-jump...

This study proposes a linkage between intraday variables (signal amounts and signal duration) and the mispricing of Taiwan call warrant prices, based on the lower boundary condition of Merton [1973. Theory of rational option pricing. <italic>Bell Journal of Economics and Management Science</italic>, <italic>4</italic>(1),...