Abstract
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.
Keywords
Citation
Yeom, M., Baek, J.-S. and Ryu, D. (2013), "Investment Strategies of the KOSPI200 Nighttime Futures", Journal of Derivatives and Quantitative Studies: 선물연구, Vol. 21 No. 3, pp. 307-330. https://doi.org/10.1108/JDQS-03-2013-B0003
Publisher
:Emerald Publishing Limited
Copyright © 2013 Emerald Publishing Limited
License
This article is published under the Creative Commons Attribution (CC BY 4.0) licence. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode