Intradaily patterns in the Korean index futures market

Copeland, Laurence Sidney and Jones, Sally Anne 2002. Intradaily patterns in the Korean index futures market. Asian economic journal 16 (2) , pp. 153-174. 10.1111/1467-8381.00146

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Abstract

This paper extends the research on intraday patterns in stock and futures exchanges into the Korean market. Similar patterns to those found previously in the heavily investigated Western markets are observed, despite the differing microstructures, institutional framework and time zones between East and West. In addition, we investigate the effect of the Asian financial crisis on intraday variables. In the Korean market, both volume and volatility were found to be consistently higher at the start of the trading day during the crisis, presumably due to a rapid reaction to overnight news.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Uncontrolled Keywords:	East Asian financial crisis ; Index futures ; Intraday patterns ; Market microstructure.
Publisher:	East Asian Economic Association and Blackwell Publishing Ltd
ISSN:	14678381
Last Modified:	04 Jun 2017 01:48
URI:	https://orca.cardiff.ac.uk/id/eprint/2783

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