We examine the two-phase phenomenon described by Plerou, Gopikrishnan, and Stanley (2003)  [1] in the KOSPI 200 options market, one of the most liquid options markets in the world. By analysing a unique intraday dataset that contains information about investor type for each trade and quote, we...

This study examines the intraday formation process of transaction prices and bid–ask spreads in the KOSPI 200 futures market. By extending the structural model of Madhavan, A., Richardson, M., and Roomans, M. (<link href="#bib14">1997</link>), we develop a unique cross‐market model that can decompose spread components...

In this study, we use both parametric and non-parametric methods to test the property of martingale restriction in KOSPI 200 index options market. Our results provide strong evidence that the property is violated. Further regression analysis and robustness checks suggest that market friction...

This study investigates stock price movements in response to macroeconomic shocks, allowing for asymmetry in this relationship. Given Ferson's (1989) finding that large and small stocks can exhibit different risk behaviors, we examine the behaviors of the KOSPI and KOSDAQ stock markets in...