DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Kang, Jangkoo | - |
dc.contributor.advisor | 강장구 | - |
dc.contributor.author | Kang, Jongho | - |
dc.date.accessioned | 2022-04-15T01:53:01Z | - |
dc.date.available | 2022-04-15T01:53:01Z | - |
dc.date.issued | 2021 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=956588&flag=dissertation | en_US |
dc.identifier.uri | http://hdl.handle.net/10203/294444 | - |
dc.description.abstract | This dissertation includes three essays on market microstructure and price adjustment processes. The first essay investigates how high frequency traders’ orders contribute to price discovery in the highly liquid KOSPI 200 futures market. Market orders contribute much more to price discovery than limit orders do, and high frequency traders’ contribution is comparable to the other traders’ despite much less message frequency. The second essay proposes a return-based measure to detect investor disagreement in intraday trading and finds that disagreement is positively associated with expected returns, return volatility, and trading volume in the KOSPI 200 futures market, which is highly liquid and free from short-sale constraints. The third essay finds that the first 10-minute options order imbalances significantly predict both the KOSPI 200 index and its futures returns over the remainder of the day and examines what affects and who contributes to this predictability. | - |
dc.language | eng | - |
dc.title | Essays on market microstructure and price adjustment processes | - |
dc.title.alternative | 시장 미시구조와 가격 조정과정에 관한 연구 | - |
dc.identifier.CNRN | 325007 | - |
dc.description.department | 한국과학기술원 :경영공학부, | - |
dc.description.isOpenAccess | 학위논문(박사) - 한국과학기술원 : 경영공학부, 2021.2,[iv, 108 p. :] | - |
dc.publisher.country | 한국과학기술원 | - |
dc.type.journalArticle | Thesis(Ph.D) | - |
dc.contributor.alternativeauthor | 강종호 | - |
dc.subject.keywordAuthor | High frequency trading▼aPrice discovery▼aIndex futures▼aInvestor disagreement▼aReturn predictability▼aOrder imbalance▼aIndex options | - |
dc.subject.keywordAuthor | 고빈도거래▼a가격발견▼a지수 선물▼a투자자 의견 불일치▼a수익률 예측력▼a주문불균형▼a지수 옵션 | - |
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