Economics at your fingertips  

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, 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
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Series data maintained by Dana Niculescu ().

Page updated 2017-09-29
Handle: RePEc:eee:phsmap:v:401:y:2014:i:c:p:167-173