Asia-Pacific Journal of Business (아태비즈니스연구)

KNU The Institute of Management & Economy Research (강원대학교 경영경제연구소)
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A Study on a Decrease in Trading Values in KOSPI 200 Financial Derivatives Market

KOSPI 200 파생상품시장의 거래대금 변동에 관한 연구

  • Sohn, Kyoung-Woo (Department of Commerce and Trade, Korea National Open University) ;
  • Chung, Ji-Yeong (Investment Policy Division, National Pension Research Institute)
  • 손경우 (한국방송통신대학교 무역학과) ;
  • 정지영 (국민연금연구원 기금정책분석실)
  • Received : 2018.11.30
  • Accepted : 2018.12.26
  • Published : 2018.12.30
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Abstract

This paper investigates factors underlying a decrease in trading values in KOSPI 200 futures/options market on the basis of the current state of the markets. Among the factors that could affect trading values in KOSPI 200 derivatives market, we focus on the market activity of underlying assets as it has an impact on the trading of financial derivatives. Trading value and volatility are designated as market activity and the empirical results confirm that the market activity of the underlying assets is significant in explaining the decrease in trading values in KOSPI 200 futures/options market. To figure out fundamental reasons of the decrease in trading values in this market, we examine mitigation of home bias and decrease in leverage incentives as they are presumed to have influence on KOSPI 200 index market. As the global and local financial environment is time-varying, the degree of home bias and the leverage demand also changes. It implies that institutional change and/or policy effort to promote the trading of KOSPI 200 financial derivatives should be made taking into account the fact that considerable portion of the change in trading values in financial derivatives market depends on the state of the market.

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