The Dynamic Relationship between Main Investors' Net Long Position and the Trading Volume of KTB Futures Market

Hee Seong Kim and Sang-Bum Park
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Hee Seong Kim: Hee Seong Kim is Senior Manager, Stock Market Division, The Korea Exchange Co., 33 Yoido-dong, Youngdeungpo-gu, Seoul, 150-977, Korea.
Sang-Bum Park: Sang-Bum Park is Professor, Dept. of Business Administration, Hankuk Aviation University, 200-1, Hwajeon-dong, Deogyang-Gu, Goyang-City, Gyeonggi-Do, 412-791, Korea.

Journal of Emerging Market Finance, 2006, vol. 5, issue 3, 217-233

Abstract: An analysis on the dynamic relationship between trade volume in the KTB futures market and the net long position of investment companies, foreign investors and banks was carried out to investigate the relationship among major market participants' net long position and changes in trade volume, and then to use the results in order to derive policy alternatives that would make the market bullish for the cases of low trade volume of KTB futures.

Keywords: JEL Classification: G12; Rate of Return on KTB futures market; Vector Autoregressive model; Granger Causality Test; Impulse Response Function; Forecast Error Variance Decomposition (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:5:y:2006:i:3:p:217-233

DOI: 10.1177/097265270600500302

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