Futures Market Information and Trading Behavior

Kim, Taewoo Daniel; Ohk, Ki Yool

Korean Journal of Financial Studies 2014;43(2):385-414.
Published online April 30, 2014.

Taewoo Daniel Kim, Ki Yool Ohk

선물 시장 정보와 투자자 행태

김태우, 옥기율

Abstract

This study explores nonlinearities in the response of speculators and hedgers` trading 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 (hereafter, STAR) models, we 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 falling prices. These empirical findings are indicative of herding and positive-feedback trading during price booms. Also, our results are supported in intraday data.

Key Words: 선물 시장 정보,코스피200 선물,투기 거래,헤지 거래,Futures Market Information,Hedgers,KOSPI200 Futures,Speculators,STAR,STAR 모형