{"id":"https://openalex.org/W1972193379","doi":"https://doi.org/10.1016/j.irfa.2006.02.003","title":"An empirical analysis of the price discovery and the pricing bias in the KOSPI 200 stock index derivatives markets","display_name":"An empirical analysis of the price discovery and the pricing bias in the KOSPI 200 stock index derivatives markets","publication_year":2006,"publication_date":"2006-01-01","ids":{"openalex":"https://openalex.org/W1972193379","doi":"https://doi.org/10.1016/j.irfa.2006.02.003","mag":"1972193379"},"language":"en","primary_location":{"id":"doi:10.1016/j.irfa.2006.02.003","doi":"https://doi.org/10.1016/j.irfa.2006.02.003","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.irfa.2006.02.003","pdf_url":null,"source":{"id":"https://openalex.org/S145572626","display_name":"International Review of Financial Analysis","issn_l":"1057-5219","issn":["1057-5219","1873-8079"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Review of Financial Analysis","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5039395123","display_name":"Seung Oh Nam","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I157485424","display_name":"Korea Advanced Institute of Science and Technology","ror":"https://ror.org/05apxxy63","country_code":"KR","type":"education","lineage":["https://openalex.org/I157485424"]}],"countries":["KR"],"is_corresponding":false,"raw_author_name":"Seung Oh Nam","raw_affiliation_strings":["Graduate School of Management, Korea Advanced Institute of Science and Technology, 207-43 Cheongryangri2-dong, Dongdaemoon-gu, Seoul, 130-722 South Korea"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Graduate School of Management, Korea Advanced Institute of Science and Technology, 207-43 Cheongryangri2-dong, Dongdaemoon-gu, Seoul, 130-722 South Korea","institution_ids":["https://openalex.org/I157485424"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5041053694","display_name":"SeungYoung Oh","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I2250650973","display_name":"Samsung (South Korea)","ror":"https://ror.org/04w3jy968","country_code":"KR","type":"company","lineage":["https://openalex.org/I2250650973"]}],"countries":["KR"],"is_corresponding":true,"raw_author_name":"SeungYoung Oh","raw_affiliation_strings":["Samsung Research Institute of Finance, 310 Taepyongro2-ga, Jung-gu, Seoul, 100-767 South Korea"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Samsung Research Institute of Finance, 310 Taepyongro2-ga, Jung-gu, Seoul, 100-767 South Korea","institution_ids":["https://openalex.org/I2250650973"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100728803","display_name":"Hyun\u2010Kyung Kim","orcid":"https://orcid.org/0000-0002-7897-5065","observed_orcids":["https://orcid.org/0000-0002-7897-5065"]},"institutions":[{"id":"https://openalex.org/I157485424","display_name":"Korea Advanced Institute of Science and Technology","ror":"https://ror.org/05apxxy63","country_code":"KR","type":"education","lineage":["https://openalex.org/I157485424"]}],"countries":["KR"],"is_corresponding":false,"raw_author_name":"Hyun Kyung Kim","raw_affiliation_strings":["Graduate School of Management, Korea Advanced Institute of Science and Technology, 207-43 Cheongryangri2-dong, Dongdaemoon-gu, Seoul, 130-722 South Korea"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Graduate School of Management, Korea Advanced Institute of Science and Technology, 207-43 Cheongryangri2-dong, Dongdaemoon-gu, Seoul, 130-722 South Korea","institution_ids":["https://openalex.org/I157485424"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5101705210","display_name":"Byung Chun Kim","orcid":"https://orcid.org/0000-0002-3895-3021","observed_orcids":["https://orcid.org/0000-0002-3895-3021"]},"institutions":[{"id":"https://openalex.org/I157485424","display_name":"Korea Advanced Institute of Science and Technology","ror":"https://ror.org/05apxxy63","country_code":"KR","type":"education","lineage":["https://openalex.org/I157485424"]}],"countries":["KR"],"is_corresponding":false,"raw_author_name":"Byung Chun Kim","raw_affiliation_strings":["Graduate School of Management, Korea Advanced Institute of Science and Technology, 207-43 Cheongryangri2-dong, Dongdaemoon-gu, Seoul, 130-722 South Korea"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Graduate School of Management, Korea Advanced Institute of Science and Technology, 207-43 Cheongryangri2-dong, Dongdaemoon-gu, Seoul, 130-722 South Korea","institution_ids":["https://openalex.org/I157485424"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5041053694"],"corresponding_institution_ids":["https://openalex.org/I2250650973"],"apc_list":{"value":3770,"currency":"USD","value_usd":3770},"apc_paid":null,"fwci":2.8357,"has_fulltext":false,"cited_by_count":24,"citation_normalized_percentile":{"value":0.91639124,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":98},"biblio":{"volume":"15","issue":"4-5","first_page":"398","last_page":"414"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9740999937057495,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9740999937057495,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.01850000023841858,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.003599999938160181,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/price-discovery","display_name":"price discovery","score":0.996999979019165},{"id":"https://openalex.org/keywords/pricing-bias","display_name":"pricing bias","score":0.9909999966621399},{"id":"https://openalex.org/keywords/kospi-200","display_name":"KOSPI 200","score":0.8920000195503235},{"id":"https://openalex.org/keywords/stock-index-futures","display_name":"stock index futures","score":0.9100000262260437},{"id":"https://openalex.org/keywords/index-options","display_name":"index options","score":0.8220000267028809},{"id":"https://openalex.org/keywords/lead-lag-relationship","display_name":"lead-lag relationship","score":0.8169999718666077},{"id":"https://openalex.org/keywords/market-microstructure","display_name":"market microstructure","score":0.8840000033378601},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"implied volatility","score":0.9129999876022339},{"id":"https://openalex.org/keywords/moneyness","display_name":"moneyness","score":0.8339999914169312},{"id":"https://openalex.org/keywords/market-inefficiency","display_name":"market inefficiency","score":0.7480000257492065},{"id":"https://openalex.org/keywords/time-to-maturity","display_name":"time to maturity","score":0.6119999885559082},{"id":"https://openalex.org/keywords/trading-volume","display_name":"trading volume","score":0.8820000290870667},{"id":"https://openalex.org/keywords/korean-stock-market","display_name":"Korean stock market","score":0.40799999237060547}],"concepts":[{"id":"https://openalex.org/C192737826","wikidata":"https://www.wikidata.org/wiki/Q5035802","display_name":"Capitalization-weighted index","level":5,"score":0.672559380531311},{"id":"https://openalex.org/C39658296","wikidata":"https://www.wikidata.org/wiki/Q7242611","display_name":"Price discovery","level":3,"score":0.6707895994186401},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6697587370872498},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.6533783674240112},{"id":"https://openalex.org/C88389905","wikidata":"https://www.wikidata.org/wiki/Q223371","display_name":"Stock market index","level":4,"score":0.5783174633979797},{"id":"https://openalex.org/C173921975","wikidata":"https://www.wikidata.org/wiki/Q1806850","display_name":"Moneyness","level":2,"score":0.5762227177619934},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5675572156906128},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.48048582673072815},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.4647611379623413},{"id":"https://openalex.org/C2778869765","wikidata":"https://www.wikidata.org/wiki/Q6028363","display_name":"Inefficiency","level":2,"score":0.4605310261249542},{"id":"https://openalex.org/C2993390347","wikidata":"https://www.wikidata.org/wiki/Q905615","display_name":"Stock index futures","level":5,"score":0.457881361246109},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.385280042886734},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.06897014379501343},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/j.irfa.2006.02.003","doi":"https://doi.org/10.1016/j.irfa.2006.02.003","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.irfa.2006.02.003","pdf_url":null,"source":{"id":"https://openalex.org/S145572626","display_name":"International Review of Financial Analysis","issn_l":"1057-5219","issn":["1057-5219","1873-8079"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Review of Financial Analysis","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:finana:v:15:y:2006:i:4-5:p:398-414","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S1057-5219(06)00026-3","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":18,"referenced_works":["https://openalex.org/W1976777669","https://openalex.org/W1988359375","https://openalex.org/W2003268269","https://openalex.org/W2032207494","https://openalex.org/W2075194507","https://openalex.org/W2076632931","https://openalex.org/W2092723532","https://openalex.org/W2096808000","https://openalex.org/W2098388069","https://openalex.org/W2108122190","https://openalex.org/W2110603299","https://openalex.org/W2118777200","https://openalex.org/W2127162046","https://openalex.org/W2144380346","https://openalex.org/W2149749798","https://openalex.org/W2151389795","https://openalex.org/W2151743685","https://openalex.org/W2165633507"],"related_works":["https://openalex.org/W7110783932","https://openalex.org/W3196661779","https://openalex.org/W2497602134","https://openalex.org/W2955912281","https://openalex.org/W2109625735","https://openalex.org/W2479767434","https://openalex.org/W1536501861","https://openalex.org/W2755413497","https://openalex.org/W2247388414","https://openalex.org/W2796852185"],"abstract_inverted_index":null,"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":2},{"year":2015,"cited_by_count":2},{"year":2013,"cited_by_count":4},{"year":2012,"cited_by_count":2}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2016-06-24T00:00:00"}