Phase-shifting behaviour revisited: An alternative measure

• The KOSPI200 futures market exhibits phase-shifting behaviour.
• The return-based measure captures the unique pattern of phase-shifting behaviour.
• Large trades demonstrate the phase-shifting phenomenon more clearly than smaller trades.

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.