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In this paper, we examine whether fund market reactions are affected by the characteristics of categorized features of fund. To investigate the goal of the paper, we consider macroeconomic factors as well as financial characters. We classify fund flow into four groups depending upon type of fund and fund characters to determine which category is better to increase fund flow for capital market after these financial occurrence. In this regard, our research suggests important evidence about the effect of financial factor on fund flow with a case of an detailed situation in Emerging market. In order to test the hypothesis, we use seemingly unrelated regression (SUR) model to choose significant factors among various types of fund market-related changes. Our sample consisted of fund flows from 2006 to 2016 collected by Korean Financial Association and Bank of Korea. The empirical results are summarized as follows : First, we find that capital market index, exchange rate affect fund flows with time-lagged value changes. Second, the stock index fund and banking sector fund sales show strong positive relations with the fund flow changes. Third, values of the fund flow are significantly related with fund sales by asset management’s affiliated financial institution. These results are consistent with the hypotheses that the increase and decrease in the fund flows due to capital market situation are more pronounced as the financial factors fit. Our results suggest that it is necessary to consider the fundamental characteristics of fund flow changes as well as the external economic environment to get a more efficient market performance and supervision.

This study focused on the Korea ETF which is listed and traded in NYSE (New York stock exchange) and analyzed empirically the price discovery effect of NYSE Korea ETF on the Korean stock market. There was almost no related research even though the Korea ETF listed in NYSE did not only show high correlation with the Korean stock market but also was often used as a predictive tool of the Korean stock market by investors.

The significance of this study is in conducting a price discovery analysis on the Korea ETF traded in NYSE by using sample data of ‘iShares MSCI South Korea Capped (symbol: EWY)' of the most abundant liquidity among Korea ETF traded in NYSE. Also, the Korea ETF traded at in Korean nighttime is the spot trading, but since the KOSPI200 nighttime futures are the derivatives trading, there is an implication that the price discovery effect between spot market and derivatives market can be compared by comparing each price discovery effect.

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.