TY - JOUR
T1 - The price impact of futures trades and their intraday seasonality
AU - Webb, Robert I.
AU - Ryu, Doojin
AU - Ryu, Doowon
AU - Han, Joongho
N1 - Publisher Copyright:
© 2016 Elsevier B.V.
PY - 2016/3/1
Y1 - 2016/3/1
N2 - This study examines the price impact of futures trades and their intraday seasonality by analyzing the continuous trading session dataset of KOSPI 200 futures, including the opening and closing periods. For this purpose, the study analyzes the futures dataset that contains information on transaction times, trade directions, order sizes, and the types of investors initiating the transactions. The results suggest several novel findings. First, a substantial portion of the price impact of futures trades is persistent, indicating the presence of informed trading in the futures market. Second, informed trading is concentrated in the opening period and liquidity trading is concentrated in the closing period of the continuous trading session. Third, small trades usually have a greater price impact than large ones, supporting the existence of stealth trading by futures traders. Fourth, trades by institutional investors have a greater price impact than those by individuals, suggesting that institutional investors are better informed and/or more sophisticated than individual investors in the futures market.
AB - This study examines the price impact of futures trades and their intraday seasonality by analyzing the continuous trading session dataset of KOSPI 200 futures, including the opening and closing periods. For this purpose, the study analyzes the futures dataset that contains information on transaction times, trade directions, order sizes, and the types of investors initiating the transactions. The results suggest several novel findings. First, a substantial portion of the price impact of futures trades is persistent, indicating the presence of informed trading in the futures market. Second, informed trading is concentrated in the opening period and liquidity trading is concentrated in the closing period of the continuous trading session. Third, small trades usually have a greater price impact than large ones, supporting the existence of stealth trading by futures traders. Fourth, trades by institutional investors have a greater price impact than those by individuals, suggesting that institutional investors are better informed and/or more sophisticated than individual investors in the futures market.
KW - Informed trading
KW - Intraday analysis
KW - KOSPI 200 futures
KW - Market opening and closing
KW - Price impact
UR - https://www.scopus.com/pages/publications/84958554677
U2 - 10.1016/j.ememar.2016.01.002
DO - 10.1016/j.ememar.2016.01.002
M3 - Article
AN - SCOPUS:84958554677
SN - 1566-0141
VL - 26
SP - 80
EP - 98
JO - Emerging Markets Review
JF - Emerging Markets Review
ER -