Article ID Journal Published Year Pages File Type
5058004 Economics Letters 2016 4 Pages PDF
Abstract

•We propose a microstructure model considering trade durations, sizes, spreads, and depth.•Fast and large trades indicate informed trading in a highly liquid futures market.•Higher liquidity decreases (increases) the permanent (temporary) spread component.

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.

Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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