Park, Cyn-Young; Mercado, Rogelio V. <Jr.>; Choi, Jaehun; … - 2015
This paper examines the impact of foreign participation in Korean Treasury Bond (KTB) futures and its role in price discovery for KTBs, using daily transactions data from the over-the-counter market for KTBs and from the Korea Exchange for the futures. Our analysis suggests that foreign trading...