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NTIS 바로가기The Journal of futures markets, v.42 no.3, 2022년, pp.338 - 364
Kang, Jongho (College of Business, Korea Advanced Institute of Science and Technology (KAIST), Seoul, Republic of Korea) , Kang, Jangkoo (College of Business, Korea Advanced Institute of Science and Technology (KAIST), Seoul, Republic of Korea) , Lee, Jaeram (College of Business, Gachon University, Seongnam‐)
AbstractThis study examines what affects the return predictability of option order imbalances immediately after the market opening and who contributes to this predictability. Although intraday momentum is insignificant, option order imbalances in the first 10 min of trading significantly predict the...
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