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Trading of KOSPI 200 futures on CME Globex platform, which was launched in November 2009, starts at 18:00 and closes at 05:00 in the next morning. This paper examines how price of KOSPI200 Global futures is discovered during nighttime trading session by using tick data.

The overall results of this study can be summarized as follows; First, we find that the weighted price contribution (WPC) exhibits asymmetric ‘W’-shaped curve during session. This finding is interpreted as that information is consequently transmitted from Globex and NYSE with ‘U’-shaped curve of intradaily price discovery to KOSPI 200 Global futures. Meanwhile, the weighted volume contribution (WVC) also shows ‘W’-shaped curve but weighted price contribution per volume contribution (WPCV) indicates asymmetric ‘U’-shaped curve. This finding that a trade is more (less) informative when trading intensity is higher (lower) provides evidence of partially supporting the “Event Uncertainty Hypothesis” over “Hot Potato Hypothesis”. Second, the price change of closing to opening time significantly contributes to price change during the close-to-close time span. This result explains information during regular daytime trading of KOSPI200 futures is efficiently incorporated in opening price of nighttime session. Third, nighttime traders of KOSPI200 futures recognize volatility of US stock market as more valuable information than the price of futures on CME Globex.

This paper assesses the informational contents of open electronic limit order book in KOSPI 200 index futures market spanning sample period from December 2004 to November 2005 with a particular focus on the incremental information contained in the limit orders behind the best bid and offer. Using Vector Error Correction Method to estimate ‘Information share’ of quotes as suggested by Hasbrouck (1995), we find that the order book is significantly informative–its contribution to price discovery is approximately above 70%, while remaining is from cash price. Furthermore, we find the limit orders from step 2 to 5 is more informative than the best bid and offer in price discovery process, based on the estimation of information share. This empirical finding sharply contradicts the evidence suggested by previous literature that the best quotes contribute the most to price discovery and the contribution of order book the beyond the best bid and offer is marginally additional in cash market. Summarizing overall empirical evidence, limit order book in KOSPI 200 index futures market plays a differential role in contrast with stock markets.

Commodity ETF, Cumulative Return, Tracking Error, Information Ratio, Inverse ETF

This paper estimates the contribution of KOSPI200 futures to spot price discovery based on methodology of ‘information share’, which is suggested by Hasbrouck (1995). Using the intraday data covering sample period from year 1997 to 2003, I estimate information share with specification of Vector Error Correction Model. Main empirical findings are summarized as followings; First. estimate of information share is above 60 percent on average through-out the entire sample period. Second. the contribution of KOSPI200 futures to error correction increased during the recent year of sample period. showing that futures price have strong tendency to lead the spot price. Third. price discovery of KOSPI200 futures have significantly positive relationship with program trading volume and seems to increase under contango. These empirical findings explain the ‘market maturity effect’ that role of futures in spot price discovery enhances as cointegration between futures and spot prices strengthens and futures market countervails the arbitrage opportunity. In general. this paper presents that mature futures market Significantly contributes to spot market efficiency and price discovery process.

This paper examines the price dynamics in the single stocks futures and spot markets. In order to enhance the liquidity of the stock futures market, Korea Exchange introduced the liquidity provider in 2014, and exempted the securities transaction taxes on stocks sold for hedging purposes of liquidity provider from 2015. This study performed a vector error correction model (VECM) based on spot-futures market linkage to evaluate the effectiveness of the liquidity policy by examining the difference in the price discovery around the event. The main empirical analysis results are summarized as follows. First, a statistically significant sample of price discovery over the entire period was evident in the interrelationship between spot and futures. This implies that stock futures have information effect equivalent to spot price, which is different from the previous studies in which futures lead the spot price discovery significantly as in the case of KOSPI200 futures market. Second, the tendency of feedback between spot and futures is consistent in price discovery even after introduction of liquidity provider and exemption of securities transaction tax. Overall, empirical results suggest that the effectiveness of the stock futures market policy is limited during the sample period and the additional measures to enhance the long term activation are needed.

Trading of KOSPI200 options on Eurex launched in 2010 starts at 17:00 after market and closes at 05:00 in the next morning. This paper attempts to examine the role of put-call ratio of KOSPI200 nighttime options in price discovery process of spot market. The main findings of this paper are summarized as followings; The information content of put-call ratio of nighttime options is significantly incorporated in opening price of spot market next trading day but not delayed to the daytime spot market. Specifically, all put-call ratios measured in terms of total volume, total value, and cleared volume of nighttime options has strongly positive correlation with returns of KOSPI200 next trading day but put-call ratio of daytime option market has no predictive power of next daily return during sample period. This implies that the nighttime options market shows more leading role than daytime options in opening price discovery. This relationship between put-call ration and spot market return remains statistically significant during the period of the multiplier for KOSPI200 options increased. However, the change in put-call ratio of nighttime options is significantly explained by precedent put-call ratio of daytime market. This Overall empirical evidence indicates that traders of KOSPI200 options have tendency to implement strategy of linkage between price movement of daytime and nighttime market.

The KOSPI200 mini option introduced in July 2015 is the derivative of which trading multiplier is reduced to one-fifth of the regular options. This study explored the pairs trading opportunities arising from the price spread between the KOSPI200 regular options and the mini options during the sample period from August 2015 to March 2016 and measured the profits of pairs trading. The main results are summarized as follows. First, the most frequency of pairs trading with high profit was observed for in-the-money options. On the other hands, the frequency of pairs trading opportunities is low and the profit is relatively small for out-of (at)-the money options. Second, for in-the-money options, arbitrage opportunities were captured every three minutes on an average, but the elapsed time between arbitrage opportunity opportunities on out-of-the money options exceeded 10 minutes on average. Third, pairs trading opportunities occur uniformly throughout the day, but profit tends to increase in the afternoon than in the morning. This indicates that price efficiency in options market deteriorates and profit of arbitrage trading with price disparity is higher in the afternoon than that of the morning trading. In addition, the profitability of pairs trading with low liquidity was cross-sectionally higher than those with high liquidity.

Trading of KOSPI 200 futures on CME Globex platform, which was launched in November 2009, starts at 18:00 and closes at 05:00 in the next morning. This paper investigates the information transmission between daytime trading of KOSPI 200 futures on KRX and nighttime trading of KOSPI 200 futures on CME Globex by using GARCH (1, 1).

The main findings of this paper are summarized as followings; Firstly, the statistically significant spillover effect from open-to-close returns of KOSPI 200 Futures on Globex to the overnight returns of KOSPI 200 futures on KRX is found but not to the daytime returns. Moreover, I find the spillover effects from daytime returns of KOSPI 200 futures on KRX to close-to-open return and open-to-close return of KOSPI 200 Futures on Globex. Meanwhile, this information transmission between two markets of common underlying asset shows more strongly statistical significance during highly liquid period. Secondly, daytime traders of KOSPI 200 futures on KRX recognize the price of KOSPI 200 futures on CME Globex as more valuable information than volatility of US stock market. Overall empirical evidence suggests that KOSPI 200 futures on CME Globex has leading role in price discovery process of daytime trading of KOSPI 200 futures on KRX despite of immaturity and low liquidity.

The KOSPI200 mini options market, introduced in July 2015, is a market where the trading multiplier is reduced to one-fifth of the regular options. This study shows that the price discovery effect of the original options and the mini options estimated by the vector error correction model (VECM) and Hasbrouck's information share (1995, 2003), based on the regular options-mini options arbitrage and the options-spot arbitrage. The results of the empirical analysis are summarized as follows. First, in the price discovery between the regular options and the mini options, regular options dominate mini options at a statistically significant level. Second, mini options tend to lead the spot, which is stronger than the regular options. Therefore, the regular options and the mini options show asymmetrical behavior in the price discovery process of the spot, opposite to each other and are interpreted as alternative derivatives in terms of investment strategy. Considering the immaturity of mini options market established during the sample period, the price discovery is efficient even though the trading activity in the mini options is lower than that of the regular options.

This paper investigates a retrospective on the Journal of Derivatives and Quantitative Studies (JDQS) on its 30th anniversary based on bibliometric. JDQSs yearly publications, citations, impact factors, and centrality indices grew up in early 2010s, and diminished in 2020. Keyword network analysis reveals the JDQS's main keywords including behavioral finance, implied volatility, information asymmetry, price discovery, KOSPI200 futures, volatility, and KOSPI200 options. Citations of JDQS articles are mainly driven by article age, demeaned age squared, conference, nonacademic authors and language. In comparison between number of views and downloads for JDQS articles, we find that recent changes in publisher and editorial and publishing policies have increased visibility of JDQS.