This article examines hypothesis about return volatility on the Korea stock index futures markets. The hypothesis suggests that the trading period volatility is equal to non trading period.
This study is interesting not only because Korea in one of the most important emerging Asia markets, but also because it has a different market microstructure from the U.S. market.
Our results show that volatility is higher in trading periods than in non-trading periods in both KOSPI200 and KOSPI200 futures markets
