... market. We investigated the effect of the NPS’s trading KOSPI200 futures on the returns, the liquidity and the volatility of the market using the recent ten years’ transaction data. The main findings are as follows. First, the NPS’s net investment flow (NIF) in the KOSPI200 futures market shows...

... derivatives market, the NPS’s trading in the derivatives market is rarely studied. Using the NPS’s trading data for the period from January 2010 to March, 2020, the authors examine the transactions of the NPS in the KOSPI200 futures market. We find that the NPS’s net investment flow (NIF) in KOSPI200 futures...

...Byeongmon Cho; Sangbin Lee; Junghoon Seo This study tests empirically the impacts that the issue and redemption of index-typed ELS has on KOSPI200 & KOSPI200 Future Index and the performance of ELS redemption by using daily stock market data of year 2010-2015. The first one of research results...

... occurs once for KOSPI200 futures, twice for 3-year KTB futures, and 7 times for USD futures during the sample period. This result suggests that active margin requirement policy is necessary to prepare for financial market turbulence. In addition, we find that the margin changes do not have a significant...

... of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode ELS Equity Linked Security Equity Linked Note KOSPI200 KOSPI200...

...Taewoo Daniel Kim; Kiyool Ohk 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...

...Doojin Ryu; Jin-Young Yang This study examines the bid/ask spread and its components in the KOSPI200 options market under the framework of the cross-market model, which utilizes the order flow information of both KOSPI200 futures and options markets. We also compare the results by the single-market...

..., KOSPI200 futures, and KODEX200 are cointegrated. The empirical results are summarized as follows: First, VECM estimation results indicate that when the cointegrating relationship is perturbed by the arrival of ntis, the KODEX200(ETF) does not adjusted to restore equilibrium. This is the task...

... prices and futures prices of the 10 day. 22 day. 44 day. and 59 day prior to maturity. Second. futures prices of backward the 10 day. 22 day. 44 day from maturity provide unbiased forecasts of the realized spot prices. The KOSPI200 futures price is likely to predict accurately future KOSPI200 spot prices...

... and applied to measure the efficiency of Korean futures market and the won/dollar exchange rate market. Efficient market hypothesis Duration analysis technique Conditional hazard model KOSPI200 futures Won/dollar exchange rate Trading strategy simulation Definition of states © 2003 Emerald...