Flow toxicity of high-frequency trading and its impact on price volatility: Evidence from the KOSPI 200 futures market

Cited 0 time in webofscience Cited 0 time in scopus
  • Hit : 187
  • Download : 0
Abstrast We examine the relation between high-frequency trading, flow toxicity, and short-term volatility during both normal and stressful periods. Using transaction data for the Korea Composite Stock Price Index 200 (KOSPI 200) futures, we find the Volume-Synchronized Probability of Informed Trading (VPIN) useful in measuring flow toxicity as it predicts short-term volatility effectively. We further show that high-frequency trading is negatively related to VPIN and short-term volatility during normal times but has a positive association during stressful periods. Finally, we advocate the use of bulk-volume classification (BVC) by presenting evidence that the initiator identified by BVC trades at more favorable prices than the true trade initiator.
Publisher
WILEY
Issue Date
2020-02
Language
English
Article Type
Article; Proceedings Paper
Citation

JOURNAL OF FUTURES MARKETS, v.40, no.2, pp.164 - 191

ISSN
0270-7314
DOI
10.1002/fut.22062
URI
http://hdl.handle.net/10203/271615
Appears in Collection
MT-Journal Papers(저널논문)
Files in This Item
There are no files associated with this item.

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0