This study examines the phase-transition behavior of the KOSPI200 futures market and discusses empirical findings in the context of the unique characteristics of that market. We study the two qualitatively different phases of the market based on two related measures: the volume-imbalance measure...

<section xml:id="fut21618-sec-0001"> This study proposes a new estimation approach for option valuation (an implied pricing kernel‐based approach), which estimates model parameters under the physical probability measure (P‐measure) using a pricing kernel implied by the GARCH option pricing model. Analyzing the dataset on the...</section>

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...

In this study, we investigate the effect of minimum trade unit (MTU) reductions on the Korea Exchange (KRX) on price efficiency. The KRX switched its MTU from 10 shares to one share for high-price stocks twice, once in December 2004 and once in July 2006. The MTU changes were intended to attract...