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

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 tra...

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Veröffentlicht in:	The journal of futures markets 2020-01, Vol.40 (1), p.44-66
Hauptverfasser:	Eom, Cheoljun, Jordan, Steven J., Lee, Woo‐Baik, Park, Jong Won
Format:	Artikel
Sprache:	eng
Schlagworte:	Imbalance KOSPI 200 Markets program trade halts program trades Program trading Securities markets sidecar trade imbalance Trade regulation
Online-Zugang:	Volltext
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