Abstract
By considering various market microstructure effects, this letter proposes a comprehensive trade indicator model incorporating trade duration, order sizes, bid–ask spreads, and market depth into a unified framework. Examining the intraday price behavior of the KOSPI200 futures market, we find that (i) fast trading indicates informed trading, (ii) stealth trading does not prevail, (iii) order-processing costs reach economies of scale, and (iv) liquidity significantly affects investors’ order submission decisions in the highly liquid market.
| Original language | English |
|---|---|
| Pages (from-to) | 107-110 |
| Number of pages | 4 |
| Journal | Economics Letters |
| Volume | 146 |
| DOIs | |
| State | Published - 1 Sep 2016 |
Keywords
- Futures market
- Market microstructure
- Trade indicator model
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