This study examines the roles of funding liquidity in shaping the relationship between stock price synchronicity and equity market liquidity. We find that market liquidity and stock price synchronicity exhibit a downward-sloping relationship, contradicting the relative synchronicity hypothesis....

This study examines whether sentiment indices predict individual firms’ stock returns and evaluates the performances of sentiment-based trading strategies. Both the sentiment indices constructed using the principal component analysis (PCA) and overnight stock returns positively predict stock...

This study suggests a novel approach for decomposing an options order imbalance based on trading motives using put-call parity. The options order imbalance is separated into two components: one that contains arbitrage trading and one that does not. Intuitively, the proportion of the former...

This study explores whether frequent trading is profitable to investors. Using the unique transaction-level data from a highly liquid index futures market, we show that domestic non-investment institutions lose money as they trade more frequently, especially from trading after the market opening...

This study examines whether analysts’ informativeness and activities change following regulatory reforms that strengthen market surveillance. We find that star (non-star) analysts provide firm-specific (market-wide) information, particularly for firms with characteristics favored by fund...

This study examines the short-term relationship between stock market returns and implied volatility using  high frequency data . This is the first study to analyze  high frequency data on the VKOPSIa newly introduced volatility index implied by the KOSPI200 options.  KOSPI 200 optioins  are...

Confirmation of the settlement on-[block]chain transactions is both costly and takes time as it requires the actions of others (i.e., “bitcoin miners”) who compete to mine a block into which they can compile transactions. In the on-chain settlement competition for bitcoin transactions, users...

This study examines how the issuance of a central bank digital currency (CBDC) affects both the payment instrument choice and asset allocation decisions of consumers, as well as the profitability of financial intermediaries. Specifically, we suggest a theoretical model where introducing a CBDC...

Confirmation of the settlement on-[block]chain transactions is both costly and takes time as it requires the actions of others (i.e., “bitcoin miners”) who compete to mine a block into which they can compile transactions. In the on-chain settlement competition for bitcoin transactions, users...