Kim, Meong Ae; Woo, Mincheol - In: Journal of derivatives and quantitative studies 29 (2021) 2, pp. 156-170
KOSPI200 futures market. We find that the NPS’s net investment flow (NIF) in KOSPI200 futures is negatively associated with … the past returns of KOSPI200 futures and the KOPI200 index. However, we also find that the NPS’s NIF of KOSPI200 futures … is positively associated with its NIF in KOSPI200 stocks. Along with the legal restriction on the NPS’s trading in the …