This study investigates the market interdependence among the Dow Jones (USA), Nikkei225 (Japan), and KOSPI200 (Korea) index futures markets from May 2002 to July 2009, which is divided into three distinct periods: the normal growth, accelerated growth and declining growth (crisis) periods. We...

This letter first examines the effectiveness of the order-splitting strategy by analysing the unique intraday dataset of the KOSPI200 futures market, which contains high-quality information on the classes and identification of investors. The empirical finding indicates that a significant number...

This paper investigates the properties and information contents of an implied volatility index based on Korea's index options contract, which is the most liquid options product in the world. Analyzing the recent 100-month-long volatility index series (VKOSPI; Volatility Index of KOSPI200)...

This study examines the influence of investor sentiment on the relationship between disagreement among investors and future stock market returns. We find that the relationship between disagreement and future stock market returns time-varies with the degree of investor sentiment. Higher...