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• W1972193379 abstract "In this paper, Korean financial markets are investigated in two ways, time series and cross-sectional data analysis for the study of market microstructure of price discovery and pricing bias associated with stock index, futures and options. First, the lead–lag relationships among the KOSPI 200 stock index, the index futures, and the index options markets are explored based on minute-to-minute price data. The results explain that the KOSPI 200 stock index futures lead the index, as reported in the previous studies, and the at-the-money options lead the stock index. A symmetric lead–lag relationship is found between futures and options, except for out-of-the-money options. This paper also investigates the consistency of lead–lag relationships among the results from the different time intervals of price data. Second, the causes of the pricing bias in the index options market are analyzed. The pricing bias between the observed KOSPI stock index and implied stock index from at-the-money options are affected by market inefficiency, moneyness, and implied volatility. Time to maturity and trading volumes of call options also affect the pricing bias, while those of put options are not significant." @default.
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• W1972193379 date "2006-01-01" @default.
• W1972193379 modified "2023-09-24" @default.
• W1972193379 title "An empirical analysis of the price discovery and the pricing bias in the KOSPI 200 stock index derivatives markets" @default.
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• W1972193379 doi "https://doi.org/10.1016/j.irfa.2006.02.003" @default.
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