An Empirical Study on the Volume and Return in the Korean Stock Index Futures Markets by Trader Types

투자주체별 주가지수선물시장의 거래량과 수익률에 관한 연구

This thesis examines the relationship between the trading volume and price return in the korean stock Index Futures until June 2005. First, the volume of KOSPI200 futures doesn't play a primary role with the clear explanation of return model. Second, an unexpected volume shocks are negatively associated with the return in case of the KOSPI200 futures, but it is a meaningless relation in the KOSDAQ50 futures. In the case of open interest, it's difficult to find any mean in a both futures. Third, The changes in the trading volumes by foreign investors are positively associated with the return and the volatility, but individuals and domestic commercial investors are negatively associated with the return. This empirical result seems that foreign investors are initiatively trading the korean stock index futures, individuals and domestic commercial investors follow the lead made by foreign investors.