Search Results - subject:"KOSPI200 futures"

Transactions of the National Pension Service of Korea in the KOSPI200 futures market

Kim, Meong Ae; Woo, Mincheol - In: Journal of derivatives and quantitative studies : … 29 (2021) 2, pp. 156-170

KOSPI200 futures market. We find that the NPS’s net investment flow (NIF) in KOSPI200 futures is negatively associated with … the past returns of KOSPI200 futures and the KOPI200 index. However, we also find that the NPS’s NIF of KOSPI200 futures … derivatives market, the result suggests that the NPS uses KOSPI200 futures to deviate the problems related to non …

Persistent link: https://www.econbiz.de/10012592917

The market impact of futures trading by the National Pension Service (NPS) of Korea

Woo, Mincheol; Kim, Meong Ae - In: Journal of derivatives and quantitative studies : … 29 (2021) 3, pp. 115-233

the NPS on the futures market. We investigated the effect of the NPS’s trading KOSPI200 futures on the returns, the …, the NPS’s net investment flow (NIF) in the KOSPI200 futures market shows the predictability about the returns of both … KOSPI200 futures and KOSPI200 spot index. Second, the NPS’s NIF in the KOSPI200 futures market improves the liquidity of the …

Persistent link: https://www.econbiz.de/10012658729

Difference in the intraday return-volume relationships of spots and futures: A quantile regression approach

Lee, Jaeram; Lee, Geul; Ryu, Doojin - 2018

This study examines the difference in the intraday return-volume relationships of spot and index futures. Quantile regression analyses show that the widening effect of the stock trading volume on the distribution of spot returns disappears within a short period of time, whereas that of the...

Persistent link: https://www.econbiz.de/10011902719

Difference in the intraday return-volume relationships of spots and futures : a quantile regression approach

Lee, Jaeram; Lee, Geul; Ryu, Doojin - 2018

Persistent link: https://www.econbiz.de/10011901877