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@article{ART001665860},
author={Sang Buhm Hahn},
title={A Competing Risk Analysis on Executions and Cancellations of Limit Orders in KOSPI200 Index Futures Market},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2012},
volume={23},
number={2},
pages={45-77},
doi={}

TY - JOUR
AU - Sang Buhm Hahn
TI - A Competing Risk Analysis on Executions and Cancellations of Limit Orders in KOSPI200 Index Futures Market
JO - Journal of Insurance and Finance
PY - 2012
VL - 23
IS - 2
PB - Korea Insurance Research Institute
SP - 45
EP - 77
SN - 2384-3209
AB - The competing risks duration model is applied to the analysis of the execution and cancellation of limit orders which are submitted to the electronic trading system of KOSPI200 stock index futures market. We find that foreign investors rather than institutional or individual investors less frequently submit limit orders to the market. And more than 74% of the limit orders submitted by foreigners are cancellation orders. The durations of limit orders have very long right tails of the distribution. The limit orders by the individual investors have longer durations than those by foreign investors. In particular, we find that execution durations of foreign investors' limit orders are shorter than their cancellation durations. According to the estimation results of the competing risks model, price aggressiveness has a significant effect on the time-to-execution and time-to-cancellation. In addition, we show that the execution duration is more sensitive to limit order prices and limit order sizes than the cancellation duration. The execution duration of limit orders by all the investors are increasing with the amount of liquidity on the same side of the market. But in the cancellation limit orders, the coefficients have different signs among investors. The execution duration and the cancellation duration of limit orders are decreasing with the amount of liquidity on the opposite side of the market except for the foreign investors in the cancellation limit orders. We also find that the execution duration and the cancellation duration are both decreasing as maturity approaches.
KW - adverse selection;competing risks model;KOSPI200 stock index futures;limit order;survival analysis
DO -
ER -

Sang Buhm Hahn. (2012). A Competing Risk Analysis on Executions and Cancellations of Limit Orders in KOSPI200 Index Futures Market. Journal of Insurance and Finance, 23(2), 45-77.

Sang Buhm Hahn. 2012, "A Competing Risk Analysis on Executions and Cancellations of Limit Orders in KOSPI200 Index Futures Market", Journal of Insurance and Finance, vol.23, no.2 pp.45-77. Available from: doi:

Sang Buhm Hahn "A Competing Risk Analysis on Executions and Cancellations of Limit Orders in KOSPI200 Index Futures Market" Journal of Insurance and Finance 23.2 pp.45-77 (2012) : 45.

Sang Buhm Hahn. A Competing Risk Analysis on Executions and Cancellations of Limit Orders in KOSPI200 Index Futures Market. 2012; 23(2), 45-77. Available from: doi:

Sang Buhm Hahn. "A Competing Risk Analysis on Executions and Cancellations of Limit Orders in KOSPI200 Index Futures Market" Journal of Insurance and Finance 23, no.2 (2012) : 45-77.doi:

Sang Buhm Hahn. A Competing Risk Analysis on Executions and Cancellations of Limit Orders in KOSPI200 Index Futures Market. Journal of Insurance and Finance, 23(2), 45-77. doi:

Sang Buhm Hahn. A Competing Risk Analysis on Executions and Cancellations of Limit Orders in KOSPI200 Index Futures Market. Journal of Insurance and Finance. 2012; 23(2) 45-77. doi:

Sang Buhm Hahn. A Competing Risk Analysis on Executions and Cancellations of Limit Orders in KOSPI200 Index Futures Market. 2012; 23(2), 45-77. Available from: doi:

Sang Buhm Hahn. "A Competing Risk Analysis on Executions and Cancellations of Limit Orders in KOSPI200 Index Futures Market" Journal of Insurance and Finance 23, no.2 (2012) : 45-77.doi: