The price impact of futures trades and their intraday seasonality

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• 作者：Robert I. Webb^a ; Doojin Ryu^b ; ^{doojin.ryu@gmail.com" class="auth_mail" title="E-mail the corresponding author} ; Doowon Ryu^c ; Joongho Han^d
• 关键词：G10 ; G15
• 刊名：Emerging Markets Review
• 出版年：2016
• 出版时间：March 2016
• 年：2016
• 卷：26
• 期：Complete
• 页码：80-98
• 全文大小：358 K

文摘

This study examines the price impact of futures trades and their intraday seasonality by analyzing the continuous trading session dataset of KOSPI 200 futures, including the opening and closing periods. For this purpose, the study analyzes the futures dataset that contains information on transaction times, trade directions, order sizes, and the types of investors initiating the transactions. The results suggest several novel findings. First, a substantial portion of the price impact of futures trades is persistent, indicating the presence of informed trading in the futures market. Second, informed trading is concentrated in the opening period and liquidity trading is concentrated in the closing period of the continuous trading session. Third, small trades usually have a greater price impact than large ones, supporting the existence of stealth trading by futures traders. Fourth, trades by institutional investors have a greater price impact than those by individuals, suggesting that institutional investors are better informed and/or more sophisticated than individual investors in the futures market.