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July 26, 2026The Korean Academic Association of Business Administration

The Closing Auction Jump Puzzle in KOSPI200 Futures: Structural Anomaly and Price Discovery

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Authors

SKSoo-Hyun Kim

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Overview

Randomized trial investigates price jumps in KOSPI200 futures, indicating structural anomalies during auctions.

Key Points

  • This research analyzes abnormal price jump phenomena during the closing auction of KOSPI200 futures and seeks to uncover their causes.
  • Utilized tick-level trading data for KOSPI200 futures from 2013.
  • Analyzed extreme price fluctuations during the closing auction from 15:05 to 15:15.
  • Examined the relationship between ETF rebalancing and price movements.
  • Extreme price jumps during the closing auction occur frequently at the tick level but vanish quickly at aggregated intervals.
  • Price jumps predict subsequent price continuation rather than reversal, indicating informed trading behavior.
  • Structural rebalancing of leveraged and inverse ETFs strongly correlates with upward price movements.

Cite This Study

Soo-Hyun Kim (2026) studied this question.

synapsesocial.com/papers/6a65a422d3aea3239cd76edfhttps://doi.org/10.18032/kaaba.2026.39.6.1203
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