@article{ART002599853},
author={Mincheol Woo},
title={Which market is more informative},
journal={Asset Management Review},
issn={2288-6672},
year={2020},
volume={8},
number={1},
pages={51-65},
doi={10.23007/amr.2020.8.1.51}
TY - JOUR
AU - Mincheol Woo
TI - Which market is more informative
JO - Asset Management Review
PY - 2020
VL - 8
IS - 1
PB - Institute of Management Research, SungKyunKwan University
SP - 51
EP - 65
SN - 2288-6672
AB - The purpose of this research is to analyze which market is more informative and whether information transfer between stock market and several derivative market occur.
To this end, I analyzed for transactions in the ELW market, single stock option market, single stock future market, short sale of the korea stock market between 2016 and 2019.
According to the results, informed traders prefer single stock future to short sale, and information transfer between stock market and single stock future occur efficiently These results are meaningful in that this is the first research of market choices for informed traders, and single stock future have higher predictive returns on stock market and information transfer between stock market and single stock future have been identified. In terms of the regulative government, temporary restrictions or bans on the short sale may not be much concern about the information efficiency and price mechanism
KW - short sale;derivative market;information efficiency;information transfer
DO - 10.23007/amr.2020.8.1.51
ER -
Mincheol Woo. (2020). Which market is more informative. Asset Management Review, 8(1), 51-65.
Mincheol Woo. 2020, "Which market is more informative", Asset Management Review, vol.8, no.1 pp.51-65. Available from: doi:10.23007/amr.2020.8.1.51
Mincheol Woo "Which market is more informative" Asset Management Review 8.1 pp.51-65 (2020) : 51.
Mincheol Woo. Which market is more informative. 2020; 8(1), 51-65. Available from: doi:10.23007/amr.2020.8.1.51
Mincheol Woo. "Which market is more informative" Asset Management Review 8, no.1 (2020) : 51-65.doi: 10.23007/amr.2020.8.1.51
Mincheol Woo. Which market is more informative. Asset Management Review, 8(1), 51-65. doi: 10.23007/amr.2020.8.1.51
Mincheol Woo. Which market is more informative. Asset Management Review. 2020; 8(1) 51-65. doi: 10.23007/amr.2020.8.1.51
Mincheol Woo. Which market is more informative. 2020; 8(1), 51-65. Available from: doi:10.23007/amr.2020.8.1.51
Mincheol Woo. "Which market is more informative" Asset Management Review 8, no.1 (2020) : 51-65.doi: 10.23007/amr.2020.8.1.51
