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@article{ART001773868},
author={Woo-baik Lee and Min Cheol Woo},
title={Price Discovery in the Limit Order Book of KOSPI 200 Futures on CME Globex},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2013},
volume={24},
number={2},
pages={99-139}

TY - JOUR
AU - Woo-baik Lee
AU - Min Cheol Woo
TI - Price Discovery in the Limit Order Book of KOSPI 200 Futures on CME Globex
JO - Journal of Insurance and Finance
PY - 2013
VL - 24
IS - 2
PB - Korea Insurance Research Institute
SP - 99
EP - 139
SN - 2384-3209
AB - The trading of KOSPI 200 futures, the limit order book plays a significant role in providing liquidity on this electronic derivatives market. This paper presents the informational content of price discovery and the pattern of liquidity provision in the limit order book of KOSPI 200 futures listed on the CME Globex spanning a sample period from January 2011 to November 2011. Trading of KOSPI 200 futures on the CME Globex platform, which was launched in November 2009, starts at 18:00 and closes at 05:00 the next morning. Using the Vector Error Correction Method to estimate the “information share” of quotes as suggested by Hasbrouk (1995), we find the best quotes contribute more to price discovery than limit orders from 2 to 5. Furthermore, we find that aggressive limit orders are more informative than best quotes in the price discovery process. The information share of best quotes is concentrated at the opening and closing of trading, which resembles a “U-shaped“pattern. In contrast, contributions of the remaining quotes from the limit order book to the price discovery process show a “reversed U-shaped” pattern during the trading session. Our results suggest that informed traders seem to submit limit orders strategically,discriminating between best quotes and other remaining quotes in the limit order book within the trading day.
KW - Globex;limit order book;liquidity;nighttime market;price discovery
DO -
UR -
ER -

Woo-baik Lee and Min Cheol Woo. (2013). Price Discovery in the Limit Order Book of KOSPI 200 Futures on CME Globex. Journal of Insurance and Finance, 24(2), 99-139.

Woo-baik Lee and Min Cheol Woo. 2013, "Price Discovery in the Limit Order Book of KOSPI 200 Futures on CME Globex", Journal of Insurance and Finance, vol.24, no.2 pp.99-139.

Woo-baik Lee, Min Cheol Woo "Price Discovery in the Limit Order Book of KOSPI 200 Futures on CME Globex" Journal of Insurance and Finance 24.2 pp.99-139 (2013) : 99.

Woo-baik Lee, Min Cheol Woo. Price Discovery in the Limit Order Book of KOSPI 200 Futures on CME Globex. 2013; 24(2), 99-139.

Woo-baik Lee and Min Cheol Woo. "Price Discovery in the Limit Order Book of KOSPI 200 Futures on CME Globex" Journal of Insurance and Finance 24, no.2 (2013) : 99-139.

Woo-baik Lee; Min Cheol Woo. Price Discovery in the Limit Order Book of KOSPI 200 Futures on CME Globex. Journal of Insurance and Finance, 24(2), 99-139.

Woo-baik Lee; Min Cheol Woo. Price Discovery in the Limit Order Book of KOSPI 200 Futures on CME Globex. Journal of Insurance and Finance. 2013; 24(2) 99-139.

Woo-baik Lee, Min Cheol Woo. Price Discovery in the Limit Order Book of KOSPI 200 Futures on CME Globex. 2013; 24(2), 99-139.

Woo-baik Lee and Min Cheol Woo. "Price Discovery in the Limit Order Book of KOSPI 200 Futures on CME Globex" Journal of Insurance and Finance 24, no.2 (2013) : 99-139.