TY - JOUR
T1 - An investigation of the relationship between bond market volatility and trading activities
T2 - Korea treasury bond futures market
AU - Kim, Joocheol
PY - 2005/9/15
Y1 - 2005/9/15
N2 - This study proposes a new proxy variable for the speculative trading activities in the analysis of relationship between volatility and trading activities. With the new variable, the dynamic interaction among underlying bond market volatility, futures trading volume, open interest and speculation ratio in Korea treasury bond and futures markets is examined under the vector autoregressive analysis (VAR) framework. A positive relationship is found between the bond market volatility and the speculation ratio. The result implies that the new variable could be a good candidate, reflecting the speculative trading activities in derivative markets.
AB - This study proposes a new proxy variable for the speculative trading activities in the analysis of relationship between volatility and trading activities. With the new variable, the dynamic interaction among underlying bond market volatility, futures trading volume, open interest and speculation ratio in Korea treasury bond and futures markets is examined under the vector autoregressive analysis (VAR) framework. A positive relationship is found between the bond market volatility and the speculation ratio. The result implies that the new variable could be a good candidate, reflecting the speculative trading activities in derivative markets.
UR - http://www.scopus.com/inward/record.url?scp=25144469761&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=25144469761&partnerID=8YFLogxK
U2 - 10.1080/13504850500142403
DO - 10.1080/13504850500142403
M3 - Article
AN - SCOPUS:25144469761
SN - 1350-4851
VL - 12
SP - 657
EP - 661
JO - Applied Economics Letters
JF - Applied Economics Letters
IS - 11
ER -