Intradaily Patterns in the Korean Index Futures Market

Asian Economic Journal Asian Economic Journal, Vol. 16, No. 2, pp. 153-74, 2002

Posted: 9 Nov 2008

See all articles by Laurence Copeland

Laurence Copeland

Cardiff University - Cardiff Business School

Sally Anne Jones

Cardiff University - Cardiff Business School

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 more rapid reaction to overnight news.

Keywords: index futures, Korean stock market, intraday volatility

JEL Classification: G12, G13, G14

Suggested Citation

Copeland, Laurence S. and Jones, Sally Anne, Intradaily Patterns in the Korean Index Futures Market. Asian Economic Journal Asian Economic Journal, Vol. 16, No. 2, pp. 153-74, 2002, Available at SSRN: https://ssrn.com/abstract=631121

Laurence S. Copeland (Contact Author)

Cardiff University - Cardiff Business School ( email )

Aberconway Building
Colum Drive
Cardiff, CF10 3EU
United Kingdom
+44 29 20875740 (Phone)
+44 29 20874419 (Fax)

Sally Anne Jones

Cardiff University - Cardiff Business School ( email )

Aberconway Building
Colum Drive
Cardiff, CF10 3EU
United Kingdom

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