A further look at transaction costs, short sale restrictions, and futures market efficiency: the case of Korean stock index futures

Article Abstract:

The pricing performance of a contract launched by the Korea Stock Exchange on the Korea Stock Price Index 200 is examined. The study focuses on the persistent mispricing and underpricing in the market and examines a number of possible causes. The findings indicate that underpricing is caused by such factors as transaction costs and restrictions on short sales. It is also found that the equilibrium pricing model can adequately account for the pricing performance of Korean stock index futures.

Securities Exchanges, South Korea, Case studies, Exchanges, Futures market, Futures markets, Korea, Efficient market theory, Stock index futures, Short selling

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Returns and volatility in the Kuala Lumpur crude palm oil futures market

Article Abstract:

The determinants of daily returns and volatility in the Kuala Lumpur crude palm oil futures market over the period 1980 to 1994 were studied. The study found significant evidence of month and open interest effects in returns and also found strong evidence of daily, monthly, yearly, volume and open interest effects in volatility when ARCH/GARCH models are used to estimate volatility.

Securities & Commodities Exchanges, Malaysia, Vegetable oil mills, not elsewhere classified, Other Oilseed Processing, Palm Oil, Research, International trade, Futures, Kuala Lumpur, Malaysia (City)

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