DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kang, Jongho | ko |
dc.contributor.author | Kang, Jangkoo | ko |
dc.contributor.author | Kwon, Kyung Yoon | ko |
dc.date.accessioned | 2022-11-23T02:00:11Z | - |
dc.date.available | 2022-11-23T02:00:11Z | - |
dc.date.created | 2022-11-22 | - |
dc.date.created | 2022-11-22 | - |
dc.date.issued | 2022-12 | - |
dc.identifier.citation | RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, v.63 | - |
dc.identifier.issn | 0275-5319 | - |
dc.identifier.uri | http://hdl.handle.net/10203/300560 | - |
dc.description.abstract | The Korea Composite Stock Price Index (KOSPI) 200 futures market is one of the largest and most liquid index derivatives markets globally. We utilize high-quality intraday data on KOSPI 200 futures and find that high-frequency traders' (HFTs') market orders contribute much more to price discovery than their limit orders, as opposed to the findings of Brogaard, Hendershott, and Riordan (2019) in the Canadian equity market. To explain this phenomenon, we suggest that HFTs in the KOSPI 200 futures market are more speculative traders rather than market makers, which makes market orders more informative. | - |
dc.language | English | - |
dc.publisher | ELSEVIER | - |
dc.title | Market versus limit orders of speculative high-frequency traders and price discovery | - |
dc.type | Article | - |
dc.identifier.wosid | 000879974000011 | - |
dc.identifier.scopusid | 2-s2.0-85140344891 | - |
dc.type.rims | ART | - |
dc.citation.volume | 63 | - |
dc.citation.publicationname | RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | - |
dc.identifier.doi | 10.1016/j.ribaf.2022.101794 | - |
dc.contributor.localauthor | Kang, Jangkoo | - |
dc.contributor.nonIdAuthor | Kang, Jongho | - |
dc.contributor.nonIdAuthor | Kwon, Kyung Yoon | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | High-frequency trading | - |
dc.subject.keywordAuthor | Limit order | - |
dc.subject.keywordAuthor | Price discovery | - |
dc.subject.keywordAuthor | Market order | - |
dc.subject.keywordAuthor | KOSPI 200 futures | - |
dc.subject.keywordPlus | SPEED | - |
dc.subject.keywordPlus | FLOW | - |
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