This research investigates that the price relationship between a stock index and its associated nearby futures markets can be explained by the cost-of-carry model using the concordance correlation (CC) coefficient in the US financial markets. The main purpose of this research is to confirm that...

This paper investigates Korean financial markets for the study of market microstructure of price discovery in the KOSPI 200 stock index and its related derivatives markets using different time-interval price data. The Granger causality test and vector error correction model are used to analyze...

Purpose – The purpose of this paper is to examine the price discovery role of the Korea Composite Stock Price Index 200 (KOSPI 200) stock index options market in contrast to other developed options markets. Design/methodology/approach – The price discovery roles of the stock and options...