Kang, Jangkoo; Ryu, Doojin - In: Emerging Markets Finance and Trade 46 (2010) 5, pp. 7-22
This article examines the information content of trade size and investor performance in a unified framework, using the price contribution (PC) measure proposed by Barclay and Warner (1993). Several interesting results obtained through the analysis of a unique dataset of KOSPI200 futures are...