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

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.

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.

Key Words: JEL Classification: G12 • Rate of Return on KTB futures market • Vector Autoregressive model • Granger Causality Test • Impulse Response Function • Forecast Error Variance Decomposition

Journal of Emerging Market Finance, Vol. 5, No. 3, 217-233 (2006)
DOI: 10.1177/097265270600500302
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S. Basu and B. Mukhopadhyay
Derivatives in Asia-Pacific Markets
Journal of Emerging Market Finance, December 1, 2006; 5(3): 207 - 215.
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