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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

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.

Suggested Citation

  • Hwang, Keunho & Kang, Jangkoo & Ryu, Doojin, 2010. "Phase-transition behavior in the emerging market: Evidence from the KOSPI200 futures market," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 35-46, January.
    • Handle: RePEc:eee:finana:v:19:y:2010:i:1:p:35-46
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    Cited by:

    1. Kang, Bo Soo & Park, Chanhi & Ryu, Doojin & Song, Wonho, 2015. "Phase transition phenomenon: A compound measure analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 383-395.
    2. Doojin RYU & Hyein SHIM, 2017. "Intraday Dynamics of Asset Returns, Trading Activities, and Implied Volatilities: A Trivariate GARCH Framework," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 45-61, June.
    3. Ryu, Doojin, 2013. "What types of investors generate the two-phase phenomenon?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5939-5946.
    4. Doojin Ryu, 2011. "Intraday price formation and bid–ask spread components: A new approach using a cross‐market model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(12), pages 1142-1169, December.
    5. Kang, Bo Soo & Ryu, Doojin & Ryu, Doowon, 2014. "Phase-shifting behaviour revisited: An alternative measure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 167-173.
    6. Sun, Ye & Chen, Yu, 2018. "On the mechanism of phase transitions in a minimal agent-based macroeconomic model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 613-624.

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