An Empirical Investigation of the Lead-Lag Relations of Returns and Volatilities among the KOSPI200 Spot, Futures and Options Markets and their Explanations

Journal of Emerging Market Finance

Volumn 5, Issue 3, 2006, Pages 235-261

  Kang, Jangkoo ^a   Lee, Chang Joo ^b   Lee, Soonhee ^c  

^a Korea Advanced Institute of Science and Technology (KAIST)   (South Korea)

^b UNIVERSITY OF ILLINOIS AT URBANA CHAMPAIGN   (United States)

^c Soonhee Lee is at the Korea Bond Pricing Rating Co   (South Korea)

Author keywords

Information Transmission; JEL Classification: G13; JEL Classification: G14; Lead Lag Relations; Market Efficiency

Indexed keywords

EID: 84993710005     PISSN: 09726527     EISSN: None     Source Type: Journal    
DOI: 10.1177/097265270600500303     Document Type: Article

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