Considering all microstructure effects: The extension of a trade indicator model

Doojin Ryu

Economics Letters, 2016, vol. 146, issue C, 107-110

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.

Keywords: Market microstructure; Trade indicator model; Futures market (search for similar items in EconPapers)
JEL-codes: G15 G19 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:146:y:2016:i:c:p:107-110

DOI: 10.1016/j.econlet.2016.07.025

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