Hee‐Joon Ahn

ABSTRACT We investigate the role of limit orders in the liquidity provision in a pure order‐driven market. Results show that market depth rises subsequent to an increase in transitory volatility, and transitory volatility declines subsequent to an increase in market depth. We also examine how transitory volatility affects the mix between limit orders and market orders. When transitory volatility arises from the ask (bid) side, investors will submit more limit sell (buy) orders than market sell (

Abstract This study examines if informed trading is present in the index option market by analyzing the KOSPI 200 options, the most actively traded derivative product in the world. The spread decomposition model developed by Madhavan, Richardson, and Roomans (1997) is utilized and the adverse‐selection cost component of the spread estimated by the model is then used as a proxy for the degree of informed trading. We find that adverse‐selection costs constitute a nontrivial portion of the transact

Abstract In the present study, we examine two important issues related to the information content of a trade in option markets: (i) whether trade size is related to information content; and (ii) whether buy and sell transactions carry different information content. Our analysis is based on comprehensive market microstructure data on the KOSPI 200 options, the single most actively traded derivative securities in the world. We use two structural models modified from the Madhavan et al. [ Review of

In the present study, we examine two important issues related to the information content of a trade in option markets: (i) whether trade size is related to information content; and (ii)whether buy and sell transactions carry different information content. Our analysis is based on comprehensive market microstructure data on the KOSPI 200 options, the single most actively traded derivative securities in the world. We use two structural models modified from the Madhavan et al. [Review of Financial

This study empirically investigates the low-frequency liquidity proxies that best measure liquidity in emerging markets. We carry out a comprehensive analysis using tick data that cover 1183 stocks from 21 emerging markets, while also comparing various low-frequency liquidity proxies with high-frequency spread measures and price impact measures. We find that the Lesmond, Ogden, and Trzcinka (LOT) measure is the most effective spread proxy in most emerging markets. Among the price impact proxies,

Abstract The German 10‐year Bund futures contract traded on the Eurex futures and options exchange in Frankfurt became the world's most actively traded derivative product by the end of 1999. In this article, we provide a detailed exploration of the interday and intraday return volatility in the Bund futures contract using a sample of five‐min returns from 1997 to 1998. The evolution of interday volatility is described best by a MA(1)‐fractionally integrated process that allows for the long‐memor

본 연구는 남북관계 관련 뉴스가 주식시장에 어떠한 영향을 미치는가를 실증적으로 고찰하고 있다. 구체적으로, 남북관계가 급진적으로 발전한 김대중 정부시절부터 최근의 이명박 정부까지 약 12년 기간(1998년~2009년) 동안 발생한 남북관계 관련 뉴스를 Good News와 Bad News로 나누어 주식시장전체가 어떻게 반응하는가와, 남북경협주와 방위산업주의 주가가 어떤 반응을 나타내는지를 단변량 분석과 회귀분석을 사용하여 고찰한다. 본 연구의 주요 발견점은 다음과 같다. 첫째, 시장지수는 KOSPI와 KOSDAQ 지수 모두 남북관련 뉴스에 유의하게 반응하며, Good News 발생 시에는 지수상승이 Bad News 발생 시에는 지수하락이 관찰된다. 개별주식 분석의 경우, 남북경협주는 Good News에 강한 양(+)의 주가반응을 보이고, Bad News의 경우에는 음의 반응을 보인다. Bad News 시의 남북경협주의 음의 반응은 회귀분석에서 통제변수의 효과를 고려하였을 경우에는 사라