Effects of Futures Trading Activities on Spot Market Volatilities: Using Smooth Transition Regression

Ohk, Ki Yool; Kim, Taewoo Daniel; Ko, Kwang Soo

Korean Journal of Financial Studies 2012;41(4):617-646.
Published online September 30, 2012.

Ki Yool Ohk, Taewoo Daniel Kim, Kwang Soo Ko

투자 유형별 선물 거래 활동이 현물 시장 변동성에 미치는 비선형적 영향 연구

옥기율, 김태우, 고광수

Abstract

Using smooth transition regression (STR) model, this study examines the futures trading activity effects on spot market volatility. We have divided the type of futures trading activities in the sense of previous studies(total futures trading activity, hedge trading activity, speculative trading activity). The results are as follows: First, preliminary analysis using the Taylor expansion, we find the non-linear relationship between spot market volatility and explanatory variables which is consistent with the STR used in this study. Second, the increase of spot market volatility is causes the futures speculative trading activities. Hedge trading activities, however, have negative or favorable effects on market volatilities, which shows that they contribute to market stabilization. Finally, according to the market regime, futures trading activities have different effects on spot market volatilities.

Key Words: 헤지 거래 활동,Hedge Trading Activity,KOSPI200 Futures,국면 전환,Regime Switching,Smooth Transition Regression(STR),Speculative Trading Activity,코스피200 선물,투기 거래 활동,평활 전이 회귀