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[2008]
Information Transmission between Cash and Futures Markets through Quote Revisions and Order Imbalances
- 작성자
- 강장구, 이순희, 박형진
This article examines the information transmission process between the KOSPI 200 futures market and its underlying stock market, using the 10-second quote and trade data. The VAR analysis reveals that quote revisions through limit orders in general lead trades through market orders. In addition, the VAR analysis shows that the futures market tends to lead the stock market in terms of quote revisions and trades, even though the other direction is also observable. Even when we focus on the events causing large movements in quote revisions and trades, those lead and lag relations between those markets and between quote revisions and order imbalances are confirmed.
Keywords : KOSPI 200 Index, Futures, Information Transmission, Lead-lag Relations, VAR
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