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How investors actually behave in futures markets, what effects their
tra띠ng characteristic have been questions of interest financial area. In
the same vein, this study adds to the literature by providing evidence
on behavior of various type of traders on KOSPI200 futures markets.
In the first section, the paper explores nonlinearities in the response
of speculators and hedgers ’ tra며ng activity to price changes and
price volatilities in KOSPI200 futures markets. Analyzing daily data from January 4, 1999 through January 4, 2013, the empirical results
reject linearity in KOSPI200 futures markets. Using smooth transition
auto-regressive models, I found a different behavior during price
expansions and contractions or volatility expansions and contractions.
Specifically, the effect of price change on speculator trading activity
is positive and much larger in expansions than in the regime with
failing prices. These empirical findings are indicative of herding and
positive-feedback trading during price booms. Also, our results are
supported in intraday data.
In the second section, the study examines whether the trader''s
order imbalance for KOSPI200 futures can explain their
informativeness. I use daily positions of various types of futures
market participants such as foreign investors, institution investors, and
individual investors to identify informed traders. The positions of
foreign investors, institution investors and individual investors are
correlated with returns in KOSPI200 futures markets, but there is
some debate as the interpretation of such a relationship. I find that
the foreign investors‘ position is informative to investors, supporting
the private information view. In terms of trader''s behavior, foreign
traders follow contrarian strategies and trade with higher information
than individual and institutional traders, who trade as momentum. Also,
I considering regime switching effects in this frameworks. In threshold
regression models, I found a different behavior during futures return
expansions and contractions or volatility expansions and contractions. In the last section, This study presents an empirical analysis
investigating the nonlinear relationship between the arbitrage
opportunities and changes of arbitrage opportunity. Such non-linearity
can be interpreted by the existence of cliff erent trading cost or
through the interaction between noise and informed traders. Analyzing
high frequency intraday data(l, 2, 5, 10, 30minutes) from July 3, 2009
through March 31, 2014, the empirical results reject linear relation
between arbitrage opportunity and changes of arbitrage opportunity.
For the captures nonlinear relation, I use several re밍me-switching
models, such as threshold regression and smooth transition regression.
In summary of the results presented in detail below, this paper
reports the presence of nonlinear adjustment to equilibrium in
KOSPI200 index and index futures. These results suggest that
deviations from equilibrium and its persistence are mainly the result
of noise traders who engage in trend--chasing(momentum) behavior
and exhibit greater overconfidence when the futures market is rising
such that market prices are more loosely connected to market
fundamental values. In contrast, when futures prices are falling,
fundamental traders take the lead in a futures markets and drive
prices back to equilibrium more quickly. Also, these results are
supported after considering traφng costs. These results are important
as it helps to better understand the traders actual behaviors on KOSPI
200 futures markets.
tra띠ng characteristic have been questions of interest financial area. In
the same vein, this study adds to the literature by providing evidence
on behavior of various type of traders on KOSPI200 futures markets.
In the first section, the paper explores nonlinearities in the response
of speculators and hedgers ’ tra며ng activity to price changes and
price volatilities in KOSPI200 futures markets. Analyzing daily data from January 4, 1999 through January 4, 2013, the empirical results
reject linearity in KOSPI200 futures markets. Using smooth transition
auto-regressive models, I found a different behavior during price
expansions and contractions or volatility expansions and contractions.
Specifically, the effect of price change on speculator trading activity
is positive and much larger in expansions than in the regime with
failing prices. These empirical findings are indicative of herding and
positive-feedback trading during price booms. Also, our results are
supported in intraday data.
In the second section, the study examines whether the trader''s
order imbalance for KOSPI200 futures can explain their
informativeness. I use daily positions of various types of futures
market participants such as foreign investors, institution investors, and
individual investors to identify informed traders. The positions of
foreign investors, institution investors and individual investors are
correlated with returns in KOSPI200 futures markets, but there is
some debate as the interpretation of such a relationship. I find that
the foreign investors‘ position is informative to investors, supporting
the private information view. In terms of trader''s behavior, foreign
traders follow contrarian strategies and trade with higher information
than individual and institutional traders, who trade as momentum. Also,
I considering regime switching effects in this frameworks. In threshold
regression models, I found a different behavior during futures return
expansions and contractions or volatility expansions and contractions. In the last section, This study presents an empirical analysis
investigating the nonlinear relationship between the arbitrage
opportunities and changes of arbitrage opportunity. Such non-linearity
can be interpreted by the existence of cliff erent trading cost or
through the interaction between noise and informed traders. Analyzing
high frequency intraday data(l, 2, 5, 10, 30minutes) from July 3, 2009
through March 31, 2014, the empirical results reject linear relation
between arbitrage opportunity and changes of arbitrage opportunity.
For the captures nonlinear relation, I use several re밍me-switching
models, such as threshold regression and smooth transition regression.
In summary of the results presented in detail below, this paper
reports the presence of nonlinear adjustment to equilibrium in
KOSPI200 index and index futures. These results suggest that
deviations from equilibrium and its persistence are mainly the result
of noise traders who engage in trend--chasing(momentum) behavior
and exhibit greater overconfidence when the futures market is rising
such that market prices are more loosely connected to market
fundamental values. In contrast, when futures prices are falling,
fundamental traders take the lead in a futures markets and drive
prices back to equilibrium more quickly. Also, these results are
supported after considering traφng costs. These results are important
as it helps to better understand the traders actual behaviors on KOSPI
200 futures markets.
목차
- I. 서 론 11. 선물 투자자 행태 이슈 31.1. 투기자, 헤져, 차익거래자의 성과와 정보성 41.2. 투자주체별 행태와 정보성 71.3. 선물 시장과 행동재무학 9II. 선물 시장 정보와 투자자 행태 121. 연구 자료 172. 연구 방법론 223. 실증 분석 결과 273.1. 사전 분석 283.2. 선물 거래 활동과 선물 수익률 303.3. 선물 거래 활동과 선물 가격 변동성 383.4. 모형의 적합도 424. 소결론 43III. 투자주체별 행태와 정보우위성 검증 441. 연구 자료 492. 연구 방법론 및 가설 533. 실증분석 결과 요약 573.1 국면 전환 분석 644. 소결론 76IV. 차익거래 기회와 투자자 행태; 행동재무학적 논의 791. 연구 방법론 및 자료 851.1. 차익거래와 보유-비용 모형 861.2. 실증분석 모형 871.3. 연구 자료 922. 실증분석 결과 952.1. 거래 비용 1043 소결론 117V. 결 론 1181. 연구 결과 요약 1182. 연구의 공헌 120< 참고문헌 > 122<부록 Ⅱ> 136<부록 Ⅲ> 155<부록 Ⅳ> 156Abstract 168
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