Which Trades Move Asset Prices? An Analysis of Futures Trading Data
In: Emerging markets, finance and trade: EMFT, Band 46, Heft sup1, S. 7-22
ISSN: 1558-0938
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In: Emerging markets, finance and trade: EMFT, Band 46, Heft sup1, S. 7-22
ISSN: 1558-0938
SSRN
In: Emerging markets, finance and trade: EMFT, Band 52, Heft 11, S. 2451-2453
ISSN: 1558-0938
In: Review of Pacific Basin Financial Markets and Policies, Band 11, Heft 2, S. 227-254
ISSN: 1793-6705
This paper examines the dynamics of returns and order imbalances across the KOSPI 200 cash, futures and option markets. The information effect is more dominant than the liquidity effect in these markets. In addition, returns have more predictability power for the future movements of prices than order imbalances. Information seems to be transmitted more strongly from derivative markets to their underlying asset markets than from the underlying asset markets to their derivative markets. Finally, domestic institutional investors prefer futures, domestic individual investors prefer options, and foreign investors prefer stocks relative to other investor groups when they have new information.
In: KAIST College of Business Working Paper Series No. 2008-003
SSRN
In: Emerging markets, finance and trade: EMFT, Band 52, Heft 10, S. 2335-2347
ISSN: 1558-0938
In: Emerging markets, finance and trade: EMFT, Band 51, Heft 2, S. 400-417
ISSN: 1558-0938
In: Emerging markets, finance and trade: EMFT, Band 47, Heft 3, S. 111-135
ISSN: 1558-0938
In: The quarterly review of economics and finance, Band 93, S. 176-189
ISSN: 1062-9769
In: Emerging markets, finance and trade: EMFT, Band 57, Heft 10, S. 2946-2976
ISSN: 1558-0938
In: Emerging markets, finance and trade: EMFT, Band 58, Heft 11, S. 3177-3190
ISSN: 1558-0938
In: KAIST College of Business Working Paper Series No. 2009-003
SSRN