Tick size reduction, execution costs, and informational efficiency in the regular and E-mini Nasdaq-100 index futures markets

2008 ◽  
Vol 28 (9) ◽  
pp. 871-888 ◽  
Author(s):  
Alexander Kurov
Keyword(s):  
Futures Markets ◽  
Size Reduction ◽  
Informational Efficiency ◽  
Tick Size ◽  
Index Futures ◽  
Execution Costs

A Comparative Analysis of Informational Efficiency of KOSDAQ50 and KOSPI200 Index Futures

2003 ◽  
Vol 11 (2) ◽  
pp. 27-49
Author(s):  
Bae Gi Hong ◽  
Su Jae Jang
Keyword(s):  
Futures Markets ◽  
Market Price ◽  
Futures Market ◽  
Spot Price ◽  
Informational Efficiency ◽  
Information Efficiency ◽  
Index Futures ◽  
Volume Relationship ◽  
Futures Price ◽  
Volume Relation

This paper examines the information efficiency of KOSDAQ50 and KOSPI200 index futures markets. The study analyzes and compares both markets in three respects : 1) price discovery (lead-lag relationship between spot and futures markets.), 2) volatility-volume relationship, and 3) mispricings between spot and futures prices. The first, analysis shows the in the KOSPI200 market, futures price leads spot price. While spot price leads futures price in the KOSDAQ50 market. The second analysis shows that the volatility-volume relation is positive in the KOSPI200 futures market, supporting the hypothesis of mixture of distribution. In contrast, there is little relation between volume and volatility in the KOSDAQ50 futures market. This result casts doubt that the futures market price reflects information. The last analysis shows that the magnitude of mispricing becomes smaller with more volume in the KOSPI200 futures market, while it becomes larger with more volume in the KOSDAQ50 futures market. The overall results imply that the KOSDAQ50 futures market is less informationally efficient that the KOSPI200 market. The inefficiency appears due to the lack of institutional investor participation, especially securities firms, in making up the market.

scholarly journals Assessing the Profitability of Timely Opening Range Breakout on Index Futures Markets

IEEE Access ◽  
2019 ◽  
Vol 7 ◽  
pp. 32061-32071 ◽  
Author(s):  
Yi-Cheng Tsai ◽  
Mu-En Wu ◽  
Jia-Hao Syu ◽  
Chin-Laung Lei ◽  
Chung-Shu Wu ◽  
...  
Keyword(s):  
Futures Markets ◽  
Index Futures
Sign in / Sign up

Export Citation Format

Share Document