Programs trades and trade regulation: An evidence of the Korean securities market

被引：1

作者：

Eom, Cheoljun ^{[1
]}

Jordan, Steven J. ^{[2
]}

Lee, Woo-Baik ^{[3
]}

Park, Jong Won ^{[4
]}

机构：

[1] Pusan Natl Univ, Sch Business, Busan, South Korea

[2] Econometr Solut, Tampa, FL USA

[3] Korea Natl Open Univ, Dept Business Adm, Seoul, South Korea

[4] Univ Seoul, Coll Business Adm, Seoulsiripdae Ro 163, Seoul 02504, South Korea

来源：

JOURNAL OF FUTURES MARKETS | 2020年 / 40卷 / 01期

关键词：

KOSPI; 200; program trade halts; program trades; sidecar; trade imbalance; ORDER IMBALANCE; CIRCUIT-BREAKERS; PRICE LIMITS; VOLATILITY; PERFORMANCE; LIQUIDITY; VOLUME; HALTS; INFORMATION; IMPACT;

D O I：

10.1002/fut.22056

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study addresses the effects of program trade regulation during large market moves. To address this issue, we analyze the effect of sidecars (halts that only affect program trades) on trade imbalance using Korean intraday data. We find that sidecars, as currently designed to halt all program trades, are not effective at controlling trade imbalance around volatile markets. Resolution of trade imbalance is more effective when program trade is unrestricted. Program trade, at least a subset, provides liquidity when it is at a premium. We conclude that current sidecars should be more carefully crafted as some program trades are market stabilizing.

引用

页码：44 / 66

页数：23

共 37 条

[1]

Ackert L. F., 1997, ATLANTIC ECON J, V25, P117

[2]

AMIHUD Y, 1987, J FINANC, V42, P533

[3] Trading imbalances, predictable reversals, and cross-stock price pressure [J].