This paper examines the dynamics of returns and order imbalances across the KOSPI 200 cash, futures and option markets. The information effect is more dominant than the liquidity effect in these markets. In addition, returns have more predictability power for the future movements of prices than...

This study examines the impacts of net buying pressure on implied volatility, and documents the fact that Bollen and Whaley (2004)'s net buying pressure hypothesis does not hold in the daily data of the KOSPI200 options market. In addition, using intraday data, we show that the net buying...

Korean Abstract: 본 논문은 기업의 청산비용이 존재하는 경우에 채권자의 최적의사결정이 기업의 신용위험에 미치는 영향에 대해 연구하였다. 기업의 파산이 기업 가치에 의해 외생적으로 주어지는 Merton 모형과는 달리...

Duarte and Young (2009) decompose PIN into adjusted PIN (AdjPIN) and probability of trading caused by symmetric order flow shocks (PSOS). We explore sources of PSOS in the Korean stock market and examine the relation between PSOS and stock returns. Using transaction data with trader types and...