This study examines and compares the information content of futures and options trades by
analyzing the transaction dataset of derivatives underlying the KOSPI 200 index. This …

This study examines whether the demand for options, as measured by the net buying
pressure of index options, explains the implied volatility structure created by options prices …

This study examines whether pre-announcement insider trading significantly resolves or
intensifies information asymmetry in the Korean emerging stock market. Local institutions …

This study examines stock market reactions to public announcements (corporate bond rating
changes), including changes in stock prices and investor behavior in terms of trading …

We examine the responses of intraday option‐implied volatilities to scheduled
announcements of macroeconomic indicators. The increase in implied volatility around …

This study reexamines whether option price monotonicity properties hold in a liquid market
with little market friction and considers the validity of the monotonicity properties in light of …

This study shows the relationship between the price impact of a trade and the duration
between trades by extending a trade indicator microstructure model. Using the intraday …

This study uses an endogenous Markov-switching framework to examine the
interrelatedness of the volatility dynamics of the US and Korean markets. Previous literature …

This study examines the time‐series momentum in China's commodity futures market. We
find that a time‐series momentum strategy outperforms classical passive long and cross …

This study examines the directional information content realized by trades in a highly liquid
options market by constructing put–call volume ratios and decoupled options‐to‐spot …