DC Field | Value | Language |
---|---|---|
dc.contributor.author | 강장구 | ko |
dc.contributor.author | 박형진 | ko |
dc.contributor.author | 이순희 | ko |
dc.date.accessioned | 2009-07-28T08:31:10Z | - |
dc.date.available | 2009-07-28T08:31:10Z | - |
dc.date.created | 2012-02-06 | - |
dc.date.created | 2012-02-06 | - |
dc.date.issued | 2008-12 | - |
dc.identifier.citation | 재무관리연구, v.25, no.4, pp.117 - 144 | - |
dc.identifier.issn | 1225-0759 | - |
dc.identifier.uri | http://hdl.handle.net/10203/10378 | - |
dc.description.abstract | This article examines the information transmission process between the KOSPI 200 futures market and its underlying stock market, using the 10-second quote and trade data. The VAR analysis reveals that quote revisions through limit orders in general lead trades through market orders. In addition, the VAR analysis shows that the futures market tends to lead the stock market in terms of quote revisions and trades, even though the other direction is also observable. Even when we focus on the events causing large movements in quote revisions and trades, those lead and lag relations between those markets and between quote revisions and order imbalances are confirmed. | - |
dc.language | English | - |
dc.language.iso | en_US | en |
dc.publisher | 한국재무관리학회 | - |
dc.title | Information Transmission between Cash and Futures Markets through Quote Revisions and Order Imbalances | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.citation.volume | 25 | - |
dc.citation.issue | 4 | - |
dc.citation.beginningpage | 117 | - |
dc.citation.endingpage | 144 | - |
dc.citation.publicationname | 재무관리연구 | - |
dc.embargo.liftdate | 9999-12-31 | - |
dc.embargo.terms | 9999-12-31 | - |
dc.identifier.kciid | ART001311948 | - |
dc.contributor.localauthor | 강장구 | - |
dc.contributor.nonIdAuthor | 박형진 | - |
dc.contributor.nonIdAuthor | 이순희 | - |
dc.subject.keywordAuthor | KOSPI 200 Index | - |
dc.subject.keywordAuthor | Futures | - |
dc.subject.keywordAuthor | Information Transmission | - |
dc.subject.keywordAuthor | Lead-lag Relations | - |
dc.subject.keywordAuthor | VAR | - |
dc.subject.keywordAuthor | KOSPI 200 Index | - |
dc.subject.keywordAuthor | Futures | - |
dc.subject.keywordAuthor | Information Transmission | - |
dc.subject.keywordAuthor | Lead-lag Relations | - |
dc.subject.keywordAuthor | VAR | - |
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