Research

PUBLICATIONS IN REFEREED JOURNALS
“Information Asymmetry, Speculation and Foreign Trading Activity: Emerging Market Evidence”, with Cetin Ciner, forthcoming in the Special Issue titled “Hedging, Speculating and Risk Diversification in International Markets” of the International Review of Financial Analysis.

"What is so special about KOSPI 200 Index Futures Contract? An Analysis of Trading Volume and Liquidity," with with Cetin Ciner and Wi Saeng Kim. The Review of Futures Markets, Winter 2005-2006, v.14, n.3, pp. 327-348.

"Relative Performance of Bid-Ask Spread Estimators: Futures Markets Evidence," with Amber Anand. Journal of International Financial Markets, Institutions & Money, July 2006, v.16, n.3, pp. 231-245.

"The Split of the S&P 500 Futures Contract: Effects on Liquidity and Market Dynamics," with Terrence F. Martell and George H. K. Wang. Review of Quantitative Finance and Accounting, December 2003, v.21, n.4, pp. 323-348.

"Pricing Interest Rate Options using BDT Term Structure Model: The Effect of Yield Curve Smoothing," with Turan Bali. The Journal of Futures Markets, March 2000, v. 20, n. 3, pp. 293-306.

"Changing the Size of a Futures Contract: Liquidity and Microstructure Effects," with Terrence F. Martell. The Financial Review, November 1999, v. 34, n. 4, pp. 75-94.

"Implementation of the BDT Model with Different Volatility Estimators: Applications to Eurodollar Futures Options," with Turan Bali, The Journal of Fixed Income, March 1999, v.8, n.4, pp. 24-34.

"Explicit versus Implicit Contracts: The Case of DIFF and CROSS Futures," The Financial Review, February 1999, v.34, n.1, pp. 101-118.

OTHER PUBLICATIONS
“Financial Derivatives in Emerging Markets: Experience of Korea and Turkey", Hofstra Horizons, Spring 2006.

WORKING PAPERS
“Predicting the Resolution of Financial Distress and Its Duration”, with Michael Jacobs, Jr., and Dina Naples Layish.

“Delegated Monitoring Role of Auditors in Financial Markets: (Non)Issuance of ‘Going Concern Warnings'”, with Dina Naples Layish.

“Introduction of Derivatives Exchanges in Emerging Markets”, with Hatice Pinar Ersen.

“Microstructure Model of Futures Markets: Theory and Evidence for Optimal Hedging Strategies”

WORK IN-PROGRESS

“Price Discovery in Korean Options, Futures and KOSPI 200 Stock Index Markets”, with Cetin Ciner and Wi Saeng Kim.

“Term Structure of Implied Volatilities in LIBOR Futures Options: Pricing Performance of Black-Derman-Toy and Heath-Jarrow-Morton Models”, with Dimosthenis Kostopoulos .