Estimation of VWAP in the Korean Stock Market and its Implications

Soo-Hyun Kim (Soongsil University)

Journal of Derivatives and Quantitative Studies: 선물연구

ISSN: 1229-988X

Article publication date: 30 November 2014

Abstract

This paper conducts an empirical analysis for the estimations of volume-weighted price of the Korean stock market and provides the implications of the estimation errors regarding the characteristics of the market and the corresponding securities. We employ fast Fourier transformation strategy and traditional simple average strategy and compare the performances of the two methods using five minute interval intra-day data of KOSPI50 stocks. Estimations errors of the two methods from Ex Post real VWAP are computed and the relationships between the errors and other market variables are examined. We find that larger market value leads to smaller error whereas average trading in dollar has negative relationship with the estimation error. We also look at the behavior of institutional traders and the order execution mechanism to explain our statistical findings.

Keywords

Citation

Kim, S.-H. (2014), "Estimation of VWAP in the Korean Stock Market and its Implications", Journal of Derivatives and Quantitative Studies: 선물연구, Vol. 22 No. 4, pp. 597-609. https://doi.org/10.1108/JDQS-04-2014-B0001

Publisher

:

Emerald Publishing Limited

Copyright © 2014 Emerald Publishing Limited

License

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