Considering all microstructure effects: The extension of a trade indicator model

摘要

By considering various market microstructure effects, this letter proposes a comprehensive trade indicator model incorporating trade duration, order sizes, bid-ask spreads, and market depth into a unified framework. Examining the intraday price behavior of the KOSPI200 futures market, we find that (i) fast trading indicates informed trading, (ii) stealth trading does not prevail, (iii) order-processing costs reach economies of scale, and (iv) liquidity significantly affects investors' order submission decisions in the highly liquid market. (C) 2016 Elsevier B.V. All rights reserved.