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dc.contributor.author배경훈-
dc.date.accessioned2019-12-05T14:10:35Z-
dc.date.available2019-12-05T14:10:35Z-
dc.date.issued2018-02-
dc.identifier.citationJOURNAL OF FUTURES MARKETS, v. 38, no. 2, page. 175-198en_US
dc.identifier.issn0270-7314-
dc.identifier.issn1096-9934-
dc.identifier.urihttps://onlinelibrary.wiley.com/doi/abs/10.1002/fut.21863-
dc.identifier.urihttps://repository.hanyang.ac.kr/handle/20.500.11754/117564-
dc.description.abstractOption prices are sensitive to changes in volatility whereas futures prices are not. We investigate this distinction empirically and test the hypothesis that investors with information about future returns (volatilities) will prefer to trade in futures (options) because futures (options) protect the investor from the risk that their bet will go against them due to unforeseen changes in volatility (returns). Consistent with this hypothesis we find that order imbalances between institutional and retail investors in Korean KOSPI 200 index futures (options) robustly predict short-term returns (volatilities) on the KOSPI 200 index whereas options (futures) imbalances do not.en_US
dc.description.sponsorshipThis work was supported by the research fund of Hanyang University (HY-2017).en_US
dc.language.isoen_USen_US
dc.publisherWILEYen_US
dc.subjectINSTITUTIONAL INVESTORSen_US
dc.subjectDOMESTIC INVESTORSen_US
dc.subjectMARKET VOLATILITYen_US
dc.subjectPRICESen_US
dc.subjectVOLUMEen_US
dc.subjectSOPHISTICATIONen_US
dc.subjectEFFICIENCYen_US
dc.subjectOWNERSHIPen_US
dc.subjectPATTERNSen_US
dc.subjectBEHAVIORen_US
dc.titleDo investors use options and futures to trade on different types of information? Evidence from an aggregate stock indexen_US
dc.typeArticleen_US
dc.relation.no22-
dc.relation.volume28-
dc.identifier.doi10.1002/fut.21863-
dc.relation.page175-198-
dc.relation.journalJournal of Futures Markets-
dc.contributor.googleauthorBae, Kyoung-Hun-
dc.contributor.googleauthorDixon, Peter-
dc.relation.code2018032913-
dc.sector.campusS-
dc.sector.daehakSCHOOL OF BUSINESS[S]-
dc.sector.departmentDEPARTMENT OF FINANCE-
dc.identifier.pidkhbae-
dc.identifier.orcidhttps://orcid.org/0000-0002-9979-9398-
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