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The dynamic relationship of volatility, volume, and market depth in currency futures markets

โœ Scribed by Hung-Gay Fung; Gary A. Patterson

Book ID
117699607
Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
274 KB
Volume
9
Category
Article
ISSN
1042-4431

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## 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 nonโ€KOSPI 200 stocks. Employing both an event study approach and a matchingโ€sampl