Program Trading Effects on KOSPI and KOSPI200 Futures Market

Program Trading Effects on KOSPI and KOSPI200 Futures Market

This study examines whether program trading has an impact on the Korean stock market. We evaluate the dynamic interrelations between net program trading, net arbitrage trading, daily KOSPI return, volatility of KOSPI prices and daily KOSPI200 futures return. The relations are tested by performing Ve...

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Veröffentlicht in:Asia Pacific Management Review 2011-09, Vol.16 (3), p.225-238
Hauptverfasser: Kim, Hee Seong, Park, Sang-bum
Format: Artikel
Sprache:chi ; eng
Schlagworte:
Arbitrage
Capital costs
Derivatives
Futures market
Futures trading
KOSPI return
KOSPI200 futures return
net arbitrage trading
Net program trading
Prices
Profits
Program trading
Scopus
Securities markets
Stock exchanges
stock market volatility
Stock prices
Studies
Trends
TSSCI
Volatility
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Beschreibung
Zusammenfassung:This study examines whether program trading has an impact on the Korean stock market. We evaluate the dynamic interrelations between net program trading, net arbitrage trading, daily KOSPI return, volatility of KOSPI prices and daily KOSPI200 futures return. The relations are tested by performing Vector Autoregressive Models, Granger Causality Test, Impulse Response Function, and Forecast Error Variance Decomposition. We find that changes in the spot market return (or the futures return) lead to changes in net program trading and net arbitrage trading. However, changes in net program trading (or net arbitrage trading) do not cause changes in spot return (or futures return). Our results do not support the widely-held claim that program trading tends to increase the stock market volatility.
ISSN:1029-3132
2589-8213