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Informed trading in the index option market : the case of KOSPI 200 options
Ahn, Hee-joon; Kang, Jangkoo; Ryu, Doojin - In: The journal of futures markets 28 (2008) 12, pp. 1118-1146
Persistent link: https://www.econbiz.de/10003773141
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Information effects of trade size and trade direction : evidence from the KOSPI 200 index options market
Ahn, Hee-joon; Kang, Jangkoo; Ryu, Doojin - In: Asia-Pacific journal of financial studies 39 (2010) 3, pp. 301-339
Persistent link: https://www.econbiz.de/10009230522
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Information effects of trade size and trade direction : evidence from the KOSPI 200 index options market
Ahn, Hee-joon; Kang, Jangkoo; Ryu, Doojin - In: Asia-Pacific journal of financial studies 39 (2010) 3, pp. 301-339
Persistent link: https://www.econbiz.de/10009958517
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Information asymmetry and investor trading behavior around bond rating change announcements
Yang, Heejin; Ahn, Hee-joon; Kim, Maria H.; Ryu, Doojin - In: Emerging markets review 32 (2017), pp. 38-51
Persistent link: https://www.econbiz.de/10011803209
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Common deviation and regime-dependent dynamics in the index derivatives markets
Lee, Jaeram; Kang, Jangkoo; Ryu, Doojin - In: Pacific-Basin finance journal 33 (2015), pp. 1-22
Persistent link: https://www.econbiz.de/10011474037
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Phase-transition behavior in the emerging market : evidence from the KOSPI200 futures market
Hwang, Keunho; Kang, Jangkoo; Ryu, Doojin - In: International review of financial analysis 19 (2010) 1, pp. 35-46
Persistent link: https://www.econbiz.de/10008668729
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Which trades move asset prices? : an analysis of futures trading data
Kang, Jangkoo; Ryu, Doojin - In: Emerging markets finance & trade : a journal of the … 46 (2010), pp. 7-22
Persistent link: https://www.econbiz.de/10008903656
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Implied pricing Kernels : an alternative approach for option valuation
Ryu, Doojin; Kang, Jangkoo; Suh, Sangwon - In: The journal of futures markets 35 (2015) 2, pp. 127-147
Persistent link: https://www.econbiz.de/10011348461
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Informed trading in the index option market: The case of KOSPI 200 options
Hee‐Joon Ahn; Kang, Jangkoo; Ryu, Doojin - In: Journal of Futures Markets 28 (2008) 12, pp. 1118-1146
This study examines if informed trading is present in the index option market by analyzing the KOSPI 200 options, the most actively traded derivative product in the world. The spread decomposition model developed by Madhavan, Richardson, and Roomans (1997) is utilized and the adverse‐selection...
Persistent link: https://www.econbiz.de/10011197652
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Which Trades Move Asset Prices? An Analysis of Futures Trading Data
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...
Persistent link: https://www.econbiz.de/10008742569