Intradaily Patterns in the Korean Index Futures Market

This paper extends the research on intraday patterns in stock and futures exchanges into the Korean market. Similar patterns to those found previously in the heavily investigated Western markets are observed despite the differing microstructures, institutional framework and time zones between East and West. In addition we investigate the effect of the Asian financial crisis on intraday variables. In the Korean market, both volume and volatility were found to be consistently higher at the start of the trading day during the crisis, presumably due to a more rapid reaction to overnight news