An empirical analysis of the price discovery and the pricing bias in the KOSPI 200 stock index derivatives markets
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- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
- Owain Ap Gwilym & Mike Buckle, 2001. "The lead-lag relationship between the FTSE100 stock index and its derivative contracts," Applied Financial Economics, Taylor & Francis Journals, vol. 11(4), pages 385-393.
- Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
- Manaster, Steven & Rendleman, Richard J, Jr, 1982. " Option Prices as Predictors of Equilibrium Stock Prices," Journal of Finance, American Finance Association, vol. 37(4), pages 1043-57, September.
- Stephan, Jens A & Whaley, Robert E, 1990. " Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets," Journal of Finance, American Finance Association, vol. 45(1), pages 191-220, March.
- Stoll, Hans R. & Whaley, Robert E., 1990. "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(04), pages 441-468, December.
- Chan, Kalok & Chung, Y Peter & Johnson, Herb, 1993. " Why Option Prices Lag Stock Prices: A Trading-Based Explanation," Journal of Finance, American Finance Association, vol. 48(5), pages 1957-67, December.
- Chan, Kalok & Chan, K C & Karolyi, G Andrew, 1991. "Intraday Volatility in the Stock Index and Stock Index Futures Markets," Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 657-84.
- Anthony, Joseph H, 1988. " The Interrelation of Stock and Options Market Trading-Volume Data," Journal of Finance, American Finance Association, vol. 43(4), pages 949-64, September.
- Bhattacharya, Mihir, 1987. "Price Changes of Related Securities: The Case of Call Options and Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 1-15, March.
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