Weekly Behavior of KOSPI200 Around the Expiration Day of KOSPI200 Derivatives

Korean Journal of Financial Studies 2006;35(5):75-108.
Published online October 31, 2006.

선물 및 옵션 만기일 전·후 주간 KOSPI200의 행태

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Key Words: 만기일 효과,반전성,변동성,프로그램거래,Expiration day effect,Futures on KOSPI200,KOSPI200 선물,Price reversal,Program trading,Volatility

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