Equity index futures trading and stock price crash risk : evidence from Korean markets = 주가 지수 선물 거래와 주가급락위험 : 한국시장을 중심으로evidence from Korean markets

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The purpose of this study is to analyze how the exchange of equity index futures affects the crash risk of individual stock. First, the main outcome of this study is the relationship between equity futures transaction and the crash risk is positive in the Korean market. The reason for this is that equity futures trading in the Korean market accounts for a large portion of the transactions made by individual investors. This is because equity futures transaction by individual investors that do not have information reduce the efficiency of information in the spot market and therefore do not prevent the components that make up the stock index from firm’s specific return falling substantially. Second, more opinions about stock prices by analysts decrease the impact of equity futures trading on crash risks. Information efficiency previously degraded by individual investors appears to be offset by the role of analysts to deliver information.
Advisors
Hyun, Jung-Soonresearcher현정순researcher
Description
한국과학기술원 :금융공학프로그램,
Publisher
한국과학기술원
Issue Date
2019
Identifier
325007
Language
eng
Description

학위논문(석사) - 한국과학기술원 : 금융공학프로그램, 2019.2,[ii, 42 p. :]

Keywords

equity index futures▼astock price crash risk▼ainformation efficiency; 지수선물▼a주가급락위험▼a정보 효율성

URI
http://hdl.handle.net/10203/265795
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=844750&flag=dissertation
Appears in Collection
KGSF-Theses_Master(석사논문)
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