Similar Search Results

Illiquidity, duration and momentum profits: evidence from the Korean stock market

Bae, Jaewan; Lee, Changjun - In: Journal of derivatives and quantitative studies : … 29 (2021) 1, pp. 49-72

This paper examines the role of illiquidity and duration factor in understanding the momentum profit in the Korean stock market. We find that the foreigner/institutional illiquidity factor explains the momentum effect. In addition, this paper finds that duration factor defined as the difference...

Persistent link: https://www.econbiz.de/10012592791

How informed investors take advantage of negative information in options and stock markets

Kang, Jangkoo; Park, Hyoung-jin - In: The journal of futures markets 34 (2014) 6, pp. 516-547

Persistent link: https://www.econbiz.de/10010371414

Information effects of trade size and trade direction : evidence from the KOSPI 200 index options market

Ahn, Hee-joon; Kang, Jangkoo; Ryu, Doojin - In: Asia-Pacific journal of financial studies 39 (2010) 3, pp. 301-339

Persistent link: https://www.econbiz.de/10009230522

The dynamics of trades and quote revisions across stock, futures, and option markets

Kang, Jangkoo; Park, Hyoung-jin - In: Review of Pacific Basin financial markets and policies 11 (2008) 2, pp. 227-254

Persistent link: https://www.econbiz.de/10003759220

PIN, Adjusted PIN, and PSOS : difference of opinion in the Korean stock market

Eom, Kyong Shik; Kang, Jangkoo; Kwon, Kyungyoon - In: Asia-Pacific journal of financial studies 46 (2017) 3, pp. 463-490

Persistent link: https://www.econbiz.de/10011736131

Bullish/bearish/neutral strategies under short sale restrictions

Bae, Kwangil; Kang, Jangkoo; Lee, Soonhee - In: Journal of banking & finance 71 (2016), pp. 227-239

Persistent link: https://www.econbiz.de/10011635429

Liquidity skewness premium

Jeong, Giho; Kang, Jangkoo; Kwon, Kyungyoon - In: The North American journal of economics and finance : a … 46 (2018), pp. 130-150

Persistent link: https://www.econbiz.de/10012036613

Who and what drives informed options trading after the market opens?

Kang, Jongho; Kang, Jangkoo; Lee, Jaeram - In: The journal of futures markets 42 (2022) 3, pp. 338-364

Persistent link: https://www.econbiz.de/10012817917

The momentum strategies and salience : evidence from the Korean stock market

Sim, Myounghwa; Kang, Jangkoo; Kim, Hee-Eun; Lee, Eunmee - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 11, pp. 3177-3190

Persistent link: https://www.econbiz.de/10013355055

Market versus limit orders of speculative high-frequency traders and price discovery

Kang, Jongho; Kang, Jangkoo; Kwon, Kyungyoon - In: Research in international business and finance 63 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10014248964