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Phase-transition behavior in the emerging market: Evidence from the KOSPI200 futures market

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  • Hwang, Keunho
  • Kang, Jangkoo
  • Ryu, Doojin
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    Abstract

    This 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 Info

    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 19 (2010)
    Issue (Month): 1 (January)
    Pages: 35-46

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    Handle: RePEc:eee:finana:v:19:y:2010:i:1:p:35-46

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    Web page: http://www.elsevier.com/locate/inca/620166

    Related research

    Keywords: Econophysics KOSPI200 futures market Phase-transition behavior Two-phase phenomenon;

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    Cited by:
    1. Ryu, Doojin, 2013. "What types of investors generate the two-phase phenomenon?," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 392(23), pages 5939-5946.
    2. Kang, Bo Soo & Ryu, Doojin & Ryu, Doowon, 2014. "Phase-shifting behaviour revisited: An alternative measure," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 401(C), pages 167-173.

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