The effect of the NPS's NIF on the returns (Ⅱ)
| T | 3 | 5 | 10 | 15 | 20 | 30 |
|---|---|---|---|---|---|---|
| Variable | Coefficient (t-value) | Coefficient (t-value) | Coefficient (t-value) | Coefficient (t-value) | Coefficient (t-value) | Coefficient (t-value) |
| Panel A. Return of KOSPI200 futures | ||||||
| NIF[t–T, t–1] | 0.0480 (1.11) | 0.1114* (1.92) | 0.1960** (2.54) | 0.2236** (2.51) | 0.1910* (1.83*) | 0.2025 (1.61) |
| FutCAR[t–T, t–1] | 34.9250*** (36.02) | 20.4453*** (24.73) | 12.0980*** (17.72) | 8.6297*** (15.13) | 6.8428*** (13.52) | 4.6862*** (10.37) |
| FutVol[t–T, t–1] | 5.5260*** (4.97) | 5.7033*** (6.27) | 6.0412*** (8.50) | 5.6141*** (9.15) | 4.6206*** (8.20) | 4.5267*** (7.70) |
| StkWon[t–T, t–1] | −0.1101 (−1.51) | −0.2041** (−2.43) | −0.2582*** (−2.78) | −0.2726*** (−2.80) | −0.2376** (−2.34) | −0.2932*** (−2.88) |
| FutWon[t–T, t–1] | −0.0137 (−0.29) | −0.0244 (−0.46) | −0.0779 (−1.38) | −0.1011* (−1.74) | −0.0964 (−1.63) | −0.0548 (−0.93) |
| Adjusted R2 | 0.3478 | 0.2029 | 0.1172 | 0.0931 | 0.0750 | 0.0475 |
| Panel B. Basis in the KOSPI200 futures market | ||||||
| NIF[t–T, t–1] | −0.0553 (−1.56) | −0.1392*** (−3.11) | −0.2529*** (−4.25) | −0.2344*** (−3.39) | −0.2830*** (−3.52) | −0.2231** (−2.29) |
| Basis[t–T, t–1] | 0.4832*** (27.27) | 0.3764*** (20.30) | 0.1370*** (7.11) | 0.1214*** (5.96) | 0.1319*** (6.54) | 0.0965*** (4.73) |
| FutVol[t–T, t–1] | −6.0343*** (−6.45) | −6.6395*** (−9.22) | −7.6900*** (−14.61) | −5.7638*** (−12.37) | −4.7961*** (−11.20) | −5.1670*** (−12.16) |
| StkWon[t–T, t–1] | −0.0602 (−1.01) | −0.0649 (−1.00) | −0.0412 (−0.57) | −0.1740** (−2.30) | −0.1953** (−2.51) | −0.1864** (−2.37) |
| FutWon[t–T, t–1] | 0.1744*** (4.45) | 0.2327*** (5.59) | 0.3557*** (8.14) | 0.3995*** (8.70) | 0.3894*** (8.41) | 0.4121*** (8.87) |
| Adjusted R2 | 0.2826 | 0.2193 | 0.1350 | 0.1168 | 0.1127 | 0.1032 |
| Panel C. Return of KOSPI200 spot index | ||||||
| NIF[t–T, t–1] | 0.0464 (1.12) | 0.1086* (1.95) | 0.1745** (2.35) | 0.1979** (2.30) | 0.1714* (1.70) | 0.1757 (1.45) |
| IndCAR[t–T, t–1] | 34.1086*** (36.08) | 19.9081*** (24.51) | 11.5486*** (17.14) | 8.2028*** (14.50) | 6.4085*** (12.79) | 4.1926*** (9.40) |
| FutVol[t–T, t–1] | 3.8751*** (3.63) | 4.2936*** (4.91) | 4.7085*** (6.88) | 4.2562*** (7.17) | 3.2692*** (6.00) | 3.0631*** (5.40) |
| StkWon[t–T, t–1] | −0.0803 (−1.15) | −0.1634** (−2.02) | −0.1912** (−2.14) | −0.2104** (−2.23) | −0.1667* (−1.70) | −0.2126** (−2.16) |
| FutWon[t–T, t–1] | 0.0199 (0.44) | 0.0138 (0.27) | −0.0471 (−0.87) | −0.0577 (−1.03) | −0.0515 (−0.90) | −0.0116 (−0.20) |
| Adjusted R2 | 0.3474 | 0.1981 | 0.1084 | 0.0822 | 0.0638 | 0.0358 |
| 3 | 5 | 10 | 15 | 20 | 30 | |
|---|---|---|---|---|---|---|
| Variable | Coefficient ( | Coefficient ( | Coefficient ( | Coefficient ( | Coefficient ( | Coefficient ( |
| 0.0480 (1.11) | 0.1114* (1.92) | 0.1960** (2.54) | 0.2236** (2.51) | 0.1910* (1.83*) | 0.2025 (1.61) | |
| 34.9250*** (36.02) | 20.4453*** (24.73) | 12.0980*** (17.72) | 8.6297*** (15.13) | 6.8428*** (13.52) | 4.6862*** (10.37) | |
| 5.5260*** (4.97) | 5.7033*** (6.27) | 6.0412*** (8.50) | 5.6141*** (9.15) | 4.6206*** (8.20) | 4.5267*** (7.70) | |
| −0.1101 (−1.51) | −0.2041** (−2.43) | −0.2582*** (−2.78) | −0.2726*** (−2.80) | −0.2376** (−2.34) | −0.2932*** (−2.88) | |
| −0.0137 (−0.29) | −0.0244 (−0.46) | −0.0779 (−1.38) | −0.1011* (−1.74) | −0.0964 (−1.63) | −0.0548 (−0.93) | |
| Adjusted | 0.3478 | 0.2029 | 0.1172 | 0.0931 | 0.0750 | 0.0475 |
| −0.0553 (−1.56) | −0.1392*** (−3.11) | −0.2529*** (−4.25) | −0.2344*** (−3.39) | −0.2830*** (−3.52) | −0.2231** (−2.29) | |
| 0.4832*** (27.27) | 0.3764*** (20.30) | 0.1370*** (7.11) | 0.1214*** (5.96) | 0.1319*** (6.54) | 0.0965*** (4.73) | |
| −6.0343*** (−6.45) | −6.6395*** (−9.22) | −7.6900*** (−14.61) | −5.7638*** (−12.37) | −4.7961*** (−11.20) | −5.1670*** (−12.16) | |
| −0.0602 (−1.01) | −0.0649 (−1.00) | −0.0412 (−0.57) | −0.1740** (−2.30) | −0.1953** (−2.51) | −0.1864** (−2.37) | |
| 0.1744*** (4.45) | 0.2327*** (5.59) | 0.3557*** (8.14) | 0.3995*** (8.70) | 0.3894*** (8.41) | 0.4121*** (8.87) | |
| Adjusted | 0.2826 | 0.2193 | 0.1350 | 0.1168 | 0.1127 | 0.1032 |
| 0.0464 (1.12) | 0.1086* (1.95) | 0.1745** (2.35) | 0.1979** (2.30) | 0.1714* (1.70) | 0.1757 (1.45) | |
| 34.1086*** (36.08) | 19.9081*** (24.51) | 11.5486*** (17.14) | 8.2028*** (14.50) | 6.4085*** (12.79) | 4.1926*** (9.40) | |
| 3.8751*** (3.63) | 4.2936*** (4.91) | 4.7085*** (6.88) | 4.2562*** (7.17) | 3.2692*** (6.00) | 3.0631*** (5.40) | |
| −0.0803 (−1.15) | −0.1634** (−2.02) | −0.1912** (−2.14) | −0.2104** (−2.23) | −0.1667* (−1.70) | −0.2126** (−2.16) | |
| 0.0199 (0.44) | 0.0138 (0.27) | −0.0471 (−0.87) | −0.0577 (−1.03) | −0.0515 (−0.90) | −0.0116 (−0.20) | |
| Adjusted | 0.3474 | 0.1981 | 0.1084 | 0.0822 | 0.0638 | 0.0358 |
Note(s): This table shows the results from regressing the return of KOSPI200 futures, the basis in the KOSPI200 futures market and the return of KOSPI200 on day t on the NPS's net investment flow (NIF) in KOSPI200 futures for the period from day t-T to day t–1 represented as NIF[t–T, t–1]. FutCAR[t–T, t–1] is the cumulative abnormal return of KOSPI200 futures. FutVol[t–T, t–1] is the average daily volatility of KOSPI200 futures for the period from day t-T to t–1. StkWon[t–T, t–1] is the average daily trading amount in the KOSPI market for the period from day t-T to day t–1 and FutWon[t–T, t–1] is the average daily trading amount of KOSPI200 futures contracts for the period from day t-T to day t–1. Basis[t–T, t–1] is the average daily basis in the KOSPI200 futures market for the period from t-T to t–1. IndCAR[t–T, t–1] is the cumulative abnormal return of KOSPI200 for the period from t-T to t–1. *, ** and *** indicate the significance at the levels of 10%, 5% and 1%, respectively
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