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Phase-shifting behaviour revisited: An alternative measure

  • Kang, Bo Soo
  • Ryu, Doojin
  • Ryu, Doowon
Registered author(s):

    This study re-examines the recently documented phase-shifting behaviour of financial markets using an alternative measure, an intraday return-based measure. While most previous studies on phase-shifting behaviour adopt the volume-imbalance measure proposed by Plerou et al. (2003), we find that our return-based measure successfully captures phase-shifting behaviour, and moreover exhibits a unique pattern of phase-shifting that is not detected when the classical volume imbalance measure is used. By analysing a high-frequency dataset of KOSPI200 futures, we also find that large trades reveal phase-shifting behaviour more clearly and significantly than smaller trades.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0378437114000077
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    Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

    Volume (Year): 401 (2014)
    Issue (Month): C ()
    Pages: 167-173

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    Handle: RePEc:eee:phsmap:v:401:y:2014:i:c:p:167-173
    Contact details of provider: Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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