KOSPI200 선물시장의 투자자 유형별 거래와 KOSPI200 주가지수 시장과의 관계에 관한 연구

초록

In this paper, we researched how the trade volumes by types of traders in the KOSPI200 futures market might influence returns and volatilities of KOSPI200. Daily transaction and price data sets in both the KOSPI200 futures market by types of traders and the spot market, from May 1997 to December 2005, were used. Types of traders are individuals, institutions, and foreigners. Trade volumes were factored into expected and unexpected ones. Unexpected net long futures positions of individual and institutional investors cause decreased spot returns, whereas those of foreign investors causes increased spot returns. Unexpected spot volumes have a positive effect on spot returns. Both expected and unexpected net long futures positions of foreign investors have no effect on spot volatilities. While unexpected net long futures positions of institutional investors have a negative effect on spot volatilities, those of individual investors have a large positive effect on spot volatilities. Individual investors’ unexpected net long position in KOSPI200 futures have a negative effect on spot volatilities. It turned out that individual investors’ trade volumes in KOSPI200 futures have most largest effects on spot volatilities than any other types of traders.

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