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The Dynamics of Trades and Quote Revisions Across Stock, Futures, and Option Markets

Listed author(s):
  • Jangkoo Kang


    (Graduate School of Finance, Korea Advanced Institute of Science and Technology, 207–43, Cheongryangri-dong, Dongdaemun-gu, Seoul, 130–722, Korea)

  • Hyoung-Jin Park


    (Dongguk University, 26, 3-ga, Pil-dong, Chung-gu, Seoul, 100–715, Korea)

Registered author(s):

    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.

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    Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal Review of Pacific Basin Financial Markets and Policies.

    Volume (Year): 11 (2008)
    Issue (Month): 02 ()
    Pages: 227-254

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    Handle: RePEc:wsi:rpbfmp:v:11:y:2008:i:02:p:227-254
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