Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

The Information Content of Trades: An Analysis of KOSPI 200 Index Derivatives

16 references·16 citing·31 second hopsampled

FromToDepth

this work references cited by second hop· second hop is a sample of the most-cited connections

References

1985Continuous Auctions and Insider Trading9,626 cited
1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
1991Inferring Trade Direction from Intraday Data3,150 cited
1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
1987Price, trade size, and information in securities markets2,169 cited
1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
1988Estimating the components of the bid/ask spread1,612 cited
1992Time and the Process of Security Price Adjustment1,225 cited
1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
2000Market microstructure: A survey1,133 cited
1998Option Volume and Stock Prices: Evidence on Where Informed Traders Trade1,089 cited
1996Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE1,009 cited
1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
1993Stealth trading and volatility948 cited
2006The Information in Option Volume for Future Stock Prices847 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1990The Dynamics of Stock Index and Stock Index Futures Returns803 cited

Cited by

2018Firm-specific investor sentiment and daily stock returns94 cited
2017Investor sentiment, asset returns and firm characteristics: Evidence from the Korean Stock Market80 cited
2015Trade Duration, Informed Trading, and Option Moneyness58 cited
2016Option Market Characteristics and Price Monotonicity Violations54 cited
2016The price impact of futures trades and their intraday seasonality52 cited
2018Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach50 cited
2015Overseas market shocks and VKOSPI dynamics: A Markov-switching approach49 cited
2017Information asymmetry and investor trading behavior around bond rating change announcements49 cited
2015Corporate Vulnerability Index as a Fear Gauge?Exploring the Contagion Effect between U.S. and Korean Markets45 cited
2019The impacts of public news announcements on intraday implied volatility dynamics45 cited
2020Economic indicators and stock market volatility in an emerging economy45 cited
2014Are the KOSPI 200 implied volatilities useful in value-at-risk models?44 cited
2015Tests on the Monotonicity Properties of KOSPI 200 Options Prices42 cited
2015Effects of the US Stock Market Return and Volatility on the VKOSPI42 cited
2018The directional information content of options volumes42 cited
2021Does vega-neutral options trading contain information?41 cited