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Phase-shifting behaviour revisited: An alternative measure

Bo Soo Kang, Doojin Ryu and Doowon Ryu

Physica A: Statistical Mechanics and its Applications, 2014, vol. 401, issue C, pages 167-173

Abstract: This study re-examines the recently documented phase-shifting behaviour of financial markets using an alternative measure, an intraday return-based measure. While most previous studies on phase-shifting behaviour adopt the volume-imbalance measure proposed by Plerou et al. (2003), we find that our return-based measure successfully captures phase-shifting behaviour, and moreover exhibits a unique pattern of phase-shifting that is not detected when the classical volume imbalance measure is used. By analysing a high-frequency dataset of KOSPI200 futures, we also find that large trades reveal phase-shifting behaviour more clearly and significantly than smaller trades.

Keywords: Phase-shifting behaviour; Econophysics; Intraday returns; KOSPI200 futures (search for similar items in EconPapers)
Date: 2014
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