KOSPI200선물 글로벌 야간시장에서 주문집계장의 가격발견
Price Discovery in the Limit Order Book of KOSPI 200 Futures on CME Globex
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초록
2009년 11월부터 CME의 Globex와 연계하여 오후 6시부터 다음날 오전 5시까지운영되는 KOSPI200선물 글로벌 야간시장은 주문집계장의 역할이 필수적인 전자 거래파생상품시장이다. 본 연구는 KOSPI200글로벌 야간시장에서 주문집계장을 통해관찰되는 장중 유동성의 공급 패턴과 가격발견(price discovery)에 대한 정보내용을2011년 1월부터 2011년 11월까지 225거래일 동안 KOSPI200선물의 최근월물을대상으로 실증적으로 검증했다. Hasbrouck(1995)의 방법론에 기초한 가격발견의정보량을 추정한 결과 최우선단계의 계약수를 반영한 호가의 정보량은 2~5단계의호가의 정보량보다 높고, 2~5단계에서도 주문의 공격성이 높은 단계일수록 가격발견에대한 공헌도가 높았다. 또한 KOSPI선물 야간 시장에서 최우선호가의 시간대별가격발견의 정보량은 ʻUʼ자를 보이는 반면, 2~3단계와 4~5단계의 가격발견의 정보량은이와 대조적으로 ʻ역U자ʼ 패턴을 보인다. 이같은 결과는 거래자가 장중에 최우선호가와2단계 이하의 지정가 주문 제출 전략을 차별적으로 활용한다고 보고한 선행연구의결과를 뒷받침한다.
Abstract
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.
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