The Impact of Trading Volumes by Trader Types in the KOSPI200 Futures Market
2003 ◽
Vol 11
(2)
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pp. 1-26
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In this study we examine the relationships between trader-type-specific trading volumes and the price volatility of the KOSPI200 stock index futures over the period of July 1997 through December 2001. The principal findings of this study are that the changes in trading volumes by foreign investors are positively associated with the return and the volatility of the index futures market. When trading volumes are decomposed into expected and unexpected components, unexpected shocks have more persistent effect on the volatility of the market than expected component. Meanwhile, individuals and domestic commercial investor seem to follow the lead made by foreign investors.
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2019 ◽
Vol 18
(2)
◽
pp. 85-117
2001 ◽
Vol 11
(6)
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pp. 651-658
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2011 ◽
Vol 22
(11)
◽
pp. 1269-1279
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2010 ◽
Vol 20
(23)
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pp. 1761-1768
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2011 ◽
Vol 10
(1)
◽
pp. 73-91
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2019 ◽
Vol 32
(1)
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pp. 3733-3753
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