This article examines how investor sentiment and trading behaviour affect asset returns. By
analysing the unique stock trading dataset of the Korean market, we find that high investor …

This study examines and compares the information content of futures and options trades by
analyzing the transaction dataset of derivatives underlying the KOSPI 200 index. This …

This study examines whether the demand for options, as measured by the net buying
pressure of index options, explains the implied volatility structure created by options prices …

This study examines stock market reactions to public announcements (corporate bond rating
changes), including changes in stock prices and investor behavior in terms of trading …

This study examines the intraday formation process of transaction prices and bid–ask
spreads in the KOSPI 200 futures market. By extending the structural model of Madhavan …

We examine the responses of intraday option‐implied volatilities to scheduled
announcements of macroeconomic indicators. The increase in implied volatility around …

We examine the effect of funding liquidity changes on futures market liquidity, depending on
economic sentiment. Futures market liquidity improves following negative funding liquidity …

This study reexamines whether option price monotonicity properties hold in a liquid market
with little market friction and considers the validity of the monotonicity properties in light of …

This study uses an endogenous Markov-switching framework to examine the
interrelatedness of the volatility dynamics of the US and Korean markets. Previous literature …

This study shows the relationship between the price impact of a trade and the duration
between trades by extending a trade indicator microstructure model. Using the intraday …