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The Euribor Futures Market: Efficiency and the Impact of ECB Policy Announcements

✍ Scribed by Kerstin Bernoth; Jürgen von Hagen

Book ID
110879933
Publisher
John Wiley and Sons
Year
2004
Tongue
English
Weight
199 KB
Volume
7
Category
Article
ISSN
1367-0271

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✍ Bae, Sung C. (author);Kwon, Taek Ho (author);Park, Jong Won (author) 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 182 KB 👁 2 views

## 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 non‐KOSPI 200 stocks. Employing both an event study approach and a matching‐sampl