The Information Content of Trades: An Analysis of KOSPI 200 Index Derivatives-Reference-Cited by-同舟云学术

The Information Content of Trades: An Analysis of KOSPI 200 Index Derivatives

Published:2013-08-29 Issue:3 Volume:35 Page:201-221
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:

Author:

Ryu Doojin¹

Affiliation:

1. Doojin Ryu is at the; College of Economics, Sungkyunkwan University, Jongno-gu, Seoul, Republic of Korea [Correction added on 19 December 2014, after first online publication: the affiliation “Financial Economics at the School of Economics, Chung-Ang University, Seoul, Republic of Korea” was changed to “College of Economics, Sungkyunkwan University, Jongno-gu, Seoul, Republic of Korea”]

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/fut.21637/fullpdf

Reference55 articles.

1. A theory of intraday patterns: Volume and price variability;Admati;Review of Financial Studies,1988

2. Informed trading in the index option market: The case of KOSPI 200 options;Ahn;Journal of Futures Markets,2008

3. Information effects of trade size and trade direction: Evidence from the KOSPI 200 index options market;Ahn;Asia-Pacific Journal of Financial Studies,2010

4. Stealth trading in options markets;Anand;Journal of Financial and Quantitative Analysis,2007

5. Stealth trading and volatility: Which trades move prices;Barclay;Journal of Financial Economics,1993

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