Acknowledgments: We are grateful to Kee Chung (the editor) and two anonymous referees for many constructive comments and suggestions. We also thank Hyuntak Lee, Doojin Ryu, and other seminar participants at the Conference of Asia-Pacific Association of Derivatives (2010) and the Conference on Asia-Pacific Financial Markets (2010) for helpful discussions. All remaining errors are ours. This work was supported by Hankuk University of Foreign Studies Research Fund of 2011.
Effects of Macroeconomic News Announcements on Risk-neutral Distribution: Evidence from KOSPI200 Intraday Options Data*
Article first published online: 13 JUN 2011
© 2011 Korean Securities Association
Asia-Pacific Journal of Financial Studies
Volume 40, Issue 3, pages 403–432, June 2011
How to Cite
Kim, S. and Lee, G. (2011), Effects of Macroeconomic News Announcements on Risk-neutral Distribution: Evidence from KOSPI200 Intraday Options Data. Asia-Pacific Journal of Financial Studies, 40: 403–432. doi: 10.1111/j.2041-6156.2011.01044.x
- Issue published online: 13 JUN 2011
- Article first published online: 13 JUN 2011
- Received 23 November 2010; Accepted 28 January 2011
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