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The information content of net buying pressure: Evidence from the KOSPI 200 index option market

  • Kang, Jangkoo
  • Park, Hyoung-Jin
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    File URL: http://www.sciencedirect.com/science/article/B6VHN-4N3GHP4-1/2/15fd692fb33ae151f1cb7bc715826ee0
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    Article provided by Elsevier in its journal Journal of Financial Markets.

    Volume (Year): 11 (2008)
    Issue (Month): 1 (February)
    Pages: 36-56

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    Handle: RePEc:eee:finmar:v:11:y:2008:i:1:p:36-56
    Contact details of provider: Web page: http://www.elsevier.com/locate/finmar

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    1. Liu, Jun & Longstaff, Francis A, 2000. "Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities," University of California at Los Angeles, Anderson Graduate School of Management qt48k8f97f, Anderson Graduate School of Management, UCLA.
    2. Bates, David S, 1996. "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options," Review of Financial Studies, Society for Financial Studies, vol. 9(1), pages 69-107.
    3. Foster, F Douglas & Viswanathan, S, 1990. "A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 593-624.
    4. Schlag, Christian & Stoll, Hans, 2005. "Price impacts of options volume," Journal of Financial Markets, Elsevier, vol. 8(1), pages 69-87, February.
    5. Campbell, John Y. & Hentschel, Ludger, 1992. "No news is good news *1: An asymmetric model of changing volatility in stock returns," Journal of Financial Economics, Elsevier, vol. 31(3), pages 281-318, June.
    6. Andrei Shleifer & Robert W. Vishny, 1995. "The Limits of Arbitrage," NBER Working Papers 5167, National Bureau of Economic Research, Inc.
    7. 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.
    8. Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
    9. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
    10. David Easley & Maureen O'Hara & P.S. Srinivas, 1998. "Option Volume and Stock Prices: Evidence on Where Informed Traders Trade," Journal of Finance, American Finance Association, vol. 53(2), pages 431-465, 04.
    11. Kalok Chan & Y. Peter Chung & Wai-Ming Fong, 2002. "The Informational Role of Stock and Option Volume," Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1049-1075.
    12. Jun Pan & Allen M. Poteshman, 2006. "The Information in Option Volume for Future Stock Prices," Review of Financial Studies, Society for Financial Studies, vol. 19(3), pages 871-908.
    13. Nicolas P. B. Bollen & Robert E. Whaley, 2004. "Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?," Journal of Finance, American Finance Association, vol. 59(2), pages 711-753, 04.
    14. Sugato Chakravarty & Huseyin Gulen & Stewart Mayhew, 2004. "Informed Trading in Stock and Option Markets," Journal of Finance, American Finance Association, vol. 59(3), pages 1235-1258, 06.
    15. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    16. Charles Cao & Zhiwu Chen & John M. Griffin, 2005. "Informational Content of Option Volume Prior to Takeovers," The Journal of Business, University of Chicago Press, vol. 78(3), pages 1073-1109, May.
    17. 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.
    18. Chiang, Raymond & Fong, Wai-Ming, 2001. "Relative informational efficiency of cash, futures, and options markets: The case of an emerging market," Journal of Banking & Finance, Elsevier, vol. 25(2), pages 355-375, February.
    19. G. Geoffrey Booth & Raymond W. So & Yiuman Tse, 1999. "Price discovery in the German equity index derivatives markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 19(6), pages 619-643, 09.
    20. Hentschel, Ludger, 2003. "Errors in Implied Volatility Estimation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(04), pages 779-810, December.
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