The role of arbitrage risk in the MAX effect: evidence from the Korean stock market

Jihoon Goh and Donghoon Kim

Journal of Derivatives and Quantitative Studies: 선물연구, 2024, vol. 32, issue 2, 159-180

Abstract: Keywords: Arbitrage risk, Lottery preference, MAX effect, Individual investor, Abnormal trading volume, South Korea, G11, G12

Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jdqspp:jdqs-09-2023-0031

DOI: 10.1108/JDQS-09-2023-0031

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