Investment Strategies of the KOSPI200 Nighttime Futures

This paper investigates investment and hedging strategies using the KOSPI200 nighttime futures product which was launched at November 16th, 2009. To examine the performance of the investment strategies, we analyze one-minute transaction data of KOSPI200 daytime and nighttime futures from November 17...

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Bibliographic Details
Published in:Seonmul yeongu (Online) 2013-08, Vol.21 (3), p.307-330
Main Authors: Yeom, Myeonghoon, Baek, Jae-Seung, Ryu, Doojin
Format: Article
Language:English
Subjects:
Derivatives
Futures
Hedging
Online Access:Get full text
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Summary:This paper investigates investment and hedging strategies using the KOSPI200 nighttime futures product which was launched at November 16th, 2009. To examine the performance of the investment strategies, we analyze one-minute transaction data of KOSPI200 daytime and nighttime futures from November 17th, 2009 to December 6th, 2012. Our empirical results are as follows: First, the investment strategies using the nighttime futures significantly outperform the investment strategies based only on the daytime futures. Second, the investment and hedging strategies using the KOSPI200 nighttime futures are quite effective when investors have positions in the ETFs. Third, the empirical performance of the investment strategies using the nighttime futures is significantly related to volatility shocks. The strategies are more effective when the market is volatile.
ISSN:2713-6647
1229-988X
2713-6647
DOI:10.1108/JDQS-03-2013-B0003