Information Effects of Trade Size and Trade Direction: Evidence from the KOSPI 200 Index Options Market*
Author:
Publisher
Wiley
Subject
Finance
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.2041-6156.2010.01016.x/fullpdf
Reference46 articles.
1. The components of the bid-ask spread in a limit-order market: Evidence from the Tokyo Stock Exchange;Ahn;Journal of Empirical Finance,2002
2. Price clustering on the limit-order book: Evidence from the Stock Exchange of Hong Kong;Ahn;Journal of Financial Markets,2005
3. Informed trading in the index option market: The case of KOSPI 200 options;Ahn;Journal of Futures Markets,2008
4. Stealth trading in options markets;Anand;Journal of Financial and Quantitative Analysis,2007
5. The components of the bid-ask spread: The case of the Athens stock exchange;Angelidis;European Financial Management,2009
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