Phase-transition behavior in the emerging market: Evidence from the KOSPI200 futures market
AbstractThis study examines the phase-transition behavior of the KOSPI200 futures market and discusses empirical findings in the context of the unique characteristics of that market. We study the two qualitatively different phases of the market based on two related measures: the volume-imbalance measure proposed by Plerou et al. (2003) and the return-related measure. The empirical simulations carried out in this study suggest that a peculiar distribution of trading volume--which possibly reflects dominant individual trading, the nature of informed trading, and/or investor behavior in the KOSPI200 futures market--plays a critical role in generating the two-phase phenomenon. The simulation results also imply that neither the serial correlation of trade indicator variable nor that of (signed) trade volume causes the bifurcation of the conditional probability density of the volume-imbalance measure, which otherwise typically implies a phase transition.
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Bibliographic InfoArticle provided by Elsevier in its journal International Review of Financial Analysis.
Volume (Year): 19 (2010)
Issue (Month): 1 (January)
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Web page: http://www.elsevier.com/locate/inca/620166
Econophysics KOSPI200 futures market Phase-transition behavior Two-phase phenomenon;
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- Eco - Macroeconomics and Monetary Economics - - - - -
- KOS - Law and Economics - - - - -
- fut - - - - - -
- mar - - - - - -
- Pha - Economic Systems - - - - -
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- Two - - - - - -
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