• Title/Summary/Keyword: Return on Bond Futures

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An empirical study on the relationship between return, volatility and trading volume in the KTB futures market by the trader type (KTB국채선물시장의 투자자유형별 거래량과 수익률 및 변동성에 관한 실증연구)

  • Kim, Sung-Tak
    • Korean Business Review
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    • v.21 no.2
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    • pp.1-16
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    • 2008
  • This paper investigate the volume-volatility and volume-return relationship in the Korean Treasury Bond futures market using daily price and volume data categorized by three trader type i.e. individual investor, institutional investor and foreign investor over the period of October 1999 through December 2005. Major results are summarized as follows: (i) The effect of volume on return was not different across the trader type. (ii) The effect of volume on volatility was not unidirectional across the type of investor. While unexpected sell of individual investor has positive effects on volatility, negative effects in the case of institutional investor. (iii) We cannot find the evidence of asymmetric response of volatility to shock in trading volume or net position. This result differs from that of Korean Stock Price Index 200 futures market which showed strong positive asymmetry. Finally, some limitations of this paper and direction for further research were suggested.

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A Study on the Effect on Net Income of the Shipbuilding Industry through Exchange Hedge - Focused on the Global Top 5 Shipbuilders - (환헤지가 조선업체의 당기순이익에 미치는 영향에 관한 연구)

  • Cho, In karp;Kim, Jong keun
    • Asia-Pacific Journal of Business Venturing and Entrepreneurship
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    • v.10 no.3
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    • pp.133-146
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    • 2015
  • This study is to investigate the causal relationship between exchange hedge and the net income of the shipbuilder through the unit root test and co-integration and vector autoregressive model(Vector Autoregressive Model: VAR). First, quarter net income of shipbuilders to order a unit root tests from 2000 to 2013 was used as a value after the Johnson transformation. In the same period, the return on bond futures(KTBF), three years bond yield(KTB3Y), America-Korea exchange differences are weekly data for each quarterly difference in value was converted by utilization, shipbuilding shares after log transformation which it was used. Also, structural change point investigation analysis to verify that looked to take advantage of the structural changes occur in the exchange hedge strategies affecting net income in the shipbuilding industry. Between the exchange hedge and net income of shipbuilders in structural change points detection and analysis showed that structural changes occur starting in 2004. In other words, strategy of shipbuilders about exchange hedge has occurred from "passive exchange hedge" to "active exchange hedge". The exchange hedge of the Korea shipbuilders through the estimation of the VAR was able to grasp that affect the profitability of mutual shipbuilders. Macroeconomic variables and stock prices could also check to see that affected the net income of the shipbuilding industry.

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