## Abstract We examine the effect of the introduction of index futures trading in the Korean markets on spot price volatility and market efficiency of the underlying KOSPI 200 stocks, relative to the carefully matched nonβKOSPI 200 stocks. Employing both an event study approach and a matchingβsampl
Futures Markets and Spot Price Volatility: A Case Study
β Scribed by C. W. Morgan
- Book ID
- 111223291
- Publisher
- John Wiley and Sons
- Year
- 2008
- Tongue
- English
- Weight
- 715 KB
- Volume
- 50
- Category
- Article
- ISSN
- 0021-857X
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
Another major economic function of the futures market is a price discovery role. Futures price for a commodity represents all the information about the future cash price. So, economic agents make plans and decisions by looking at the futures price. Jisoo Yo0 is an Assistant professor o f Economics
Previous studies have examined causality within and between different spot and futures markets with a motivation to discover market comovements, price leadership effects, and, more recently, volatility spillovers across markets. However, the empirical framework within which this is accomplished tend