Outputs (2)

Market overreaction and investment strategies (2015)
Journal Article
Han, C., Hwang, S., & Ryu, D. (2016). Market overreaction and investment strategies. Applied Economics, 47(54), 5868-5885. https://doi.org/10.1080/00036846.2015.1058913

We investigated the overreaction of the Korean market in response to shocks in the US stock market, and analysed the dynamic relationship between these two markets since 1996. We found that the KOSPI 200 index futures overreacted to the S&P 500 index... Read More about Market overreaction and investment strategies.

Impacts of derivative markets on spot market volatility and their persistence (2015)
Journal Article
Fong, L., & Han, C. (2015). Impacts of derivative markets on spot market volatility and their persistence. Applied Economics, 47(22), 2250-2258. https://doi.org/10.1080/00036846.2015.1005813

In this article, we investigate the impacts of futures and options markets on the volatility of the underlying market. Unlike earlier studies, the focus is on their persistence over time. Tests on the Hang Seng index yield several interesting results... Read More about Impacts of derivative markets on spot market volatility and their persistence.