Expiration Day Effects in Korean Stock Market: Wag the Dog?
Despite the great success of the derivatives market, several concerns were expressed regarding the additional volatilitystemming from program trading during the expiration of derivatives. This paper examines the impact of the expiration of the KOSPI 200 index derivatives on cash market of Korea Stoc...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Korea Development Institute
2003-12-01
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| Series: | KDI Journal of Economic Policy |
| Subjects: | |
| Online Access: | https://doi.org/10.23895/kdijep.2003.25.1.137 |