Traders' strategic behavior in an index options market
Article Abstract:
The strategic behavior of traders in the (Korea Composite Stock Price Index) KOSPI 200 index options market is analyzed. The relationships among expected duration, frequency of trade, trade size and time to maturity are examined using a modified ACD model.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
User Contributions:
Comment about this article or add new information about this topic:
Testing range estimators of historical volatility
Article Abstract:
The proportional performances of several historical unpredictability estimators that comprise daily trading range in share markets are investigated.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2006
User Contributions:
Comment about this article or add new information about this topic:
Futures trading, spot market volatility and market efficiency: The case of the Korean index futures markets
Article Abstract:
The effect of introducing index futures trading in Korean markets on spot price volatility and market efficiency is examined.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2004
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: Stock index futures listing and structural change in time-varying volatility
- Abstracts: Prospective respondent integrity behavior in replying to direct mail questionnaires: A contributor in overestimating nonresponse rates
- Abstracts: Managing in a coaching style. Creativity in the marketplace in praise of an organically embedded creative shift
- Abstracts: For the Sake of Argument: Towards an Understanding of Rhetoric as Process. Management Research Based on the Paradigm of the Design Sciences: The Quest for Field-Tested and Grounded Technological Rules
- Abstracts: Two speed economy. Building on reform. Lucky breaks, big mistakes