Asymmetric Mispricing and Regime-dependent Dynamics in Futures and Options Markets
Jaeram Lee and
Asian Economic Journal, 2016, vol. 30, issue 1, 47-65
type="main"> We examine regime-dependent price dynamics and mispricing adjustments within the KOSPI200 spot, futures and options markets through an analysis of data from January 2000 to December 2014. Investors exploit mispricing between derivatives and spot markets only if mispricing is sufficiently large. The futures traders take long, rather than short, positions to adjust for mispricing. Mispricing between spot and options markets is adjusted by trading options and not by trading spots. We find the bidirectional information flows between spot and futures markets when the futures-implied index is sufficiently larger than the spot index. In contrast, no significant lead–lag relationship between spot and options markets exists. Significant asymmetric transaction costs exist in the spot market and this asymmetry has decreased over time.
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bla:asiaec:v:30:y:2016:i:1:p:47-65
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1351-3958
Access Statistics for this article
Asian Economic Journal is currently edited by Sung Yun-Wing and Shigeyuki Abe
More articles in Asian Economic Journal from East Asian Economic Association Contact information at EDIRC.
Series data maintained by Wiley-Blackwell Digital Licensing ().