This is the first study to examine the intraday price discovery process between the Singapore Exchange and the China Financial Futures Exchange. Using one- and five-minute high-frequency data from May to November 2011, we found that China’s CSI 300 index futures dominated...

Using the Chinese stock market data from 1997 to 2013, this paper examines the “Sell in May and Go Away” puzzle first identified by Bouman and Jacobsen (2002). We find strong existence of the Sell in May effect, robust to different regression assumptions, industries, and after controlling...

This is the first study to examine the intraday price discovery and volatility transmission processes between the Singapore Exchange and the China Financial Futures Exchange. Using one- and five-minute high-frequency data from May to November 2011, the authors find that the Chinese Securities...

In this study, we use both parametric and non-parametric methods to test the property of martingale restriction in KOSPI 200 index options market. Our results provide strong evidence that the property is violated. Further regression analysis and robustness checks suggest that market friction...

This study investigates the number of state variables needed for CDS pricing by conducting a principal component analysis using CDS data for the 2006-2009 period. Two state variables, approximated by the first two components, are found sufficient for pricing CDS spreads. The first component...

This study examines the short-term relationship between stock market returns and implied volatility using  high frequency data . This is the first study to analyze  high frequency data on the VKOPSIa newly introduced volatility index implied by the KOSPI200 options.  KOSPI 200 optioins  are...

<section xml:id="fut21653-sec-0001"> We develop the Nelson–Siegel model in the context of option‐implied volatility term structure and study the time series of volatility components. Three components, corresponding to the level, slope, and curvature of the volatility term structure, can be interpreted as the long‐,...</section>

Multidimensional Item Response Theory (MIRT) has been proposed as a means to model the relation between examinee abilities and test responses. Three recent articles proved that when MIRT is used in ability estimation, an examinee’s score could theoretically decrease due to a correct...