Search Results - subject:"KOSPI200 futures"

Common deviation and regime-dependent dynamics in the index derivatives markets

Lee, Jaeram; Kang, Jangkoo; Ryu, Doojin - In: Pacific-Basin finance journal 33 (2015), pp. 1-22

Persistent link: https://www.econbiz.de/10011474037

Information content of inter-transaction time : a structural approach

Ryu, Doojin - In: Journal of business economics and management 16 (2015) 4, pp. 697-711

Persistent link: https://www.econbiz.de/10011383043

Market overreaction and investment strategies

Han, Chulwoo; Hwang, Soosung; Ryu, Doojin - In: Applied economics 47 (2015) 52/54, pp. 5868-5885

Persistent link: https://www.econbiz.de/10011348836

Phase-shifting behaviour revisited: An alternative measure

Kang, Bo Soo; Ryu, Doojin; Ryu, Doowon - In: Physica A: Statistical Mechanics and its Applications 401 (2014) C, pp. 167-173

is used. By analysing a high-frequency dataset of KOSPI200 futures, we also find that large trades reveal phase …

Persistent link: https://www.econbiz.de/10011062594

Intraday price dynamics in spot and derivatives markets

Kim, Jun Sik; Ryu, Doojin - In: Physica A: Statistical Mechanics and its Applications 394 (2014) C, pp. 247-253

confirms that there is a strong intraday market linkage between the spot index, KOSPI200 futures, and VKOSPI and that …

Persistent link: https://www.econbiz.de/10010719728

Price impact asymmetry of futures trades : trade direction and trade size

Ryu, Doojin - In: Emerging markets review 14 (2013), pp. 110-130

Persistent link: https://www.econbiz.de/10009727962

Spread and depth adjustment process : analysis of high-quality microstrucutre data

Ryu, Doojin - In: Applied economics letters 20 (2013) 16/18, pp. 1506-1510

Persistent link: https://www.econbiz.de/10010221174

Market interdependence before, during, and after the 2007 US subprime crisis: evidence from index futures markets

Bagchi, Debasis; Ryu, Doojin - In: Afro-Asian Journal of Finance and Accounting 2 (2011) 3, pp. 230-247

This study investigates the market interdependence among the Dow Jones (USA), Nikkei225 (Japan), and KOSPI200 (Korea) index futures markets from May 2002 to July 2009, which is divided into three distinct periods: the normal growth, accelerated growth and declining growth (crisis) periods. We...

Persistent link: https://www.econbiz.de/10009352987

Dynamics of implied volatility surfaces from random matrix theory

Kim, Min Jae; Lee, Sun Young; Hwang, Dong Il; Kim, Soo Yong - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 14, pp. 2762-2769

We analyze the dynamics of the implied volatility surface of KOSPI 200 futures options from random matrix theory. To …

Persistent link: https://www.econbiz.de/10010589882

Which Trades Move Asset Prices? An Analysis of Futures Trading Data

Kang, Jangkoo; Ryu, Doojin - In: Emerging Markets Finance and Trade 46 (2010) 5, pp. 7-22

analysis of a unique dataset of KOSPI200 futures are presented herein, as follows: (1) evidence is presented against the …

Persistent link: https://www.econbiz.de/10008742569