Asian Review of Financial Research Vol.19 No.2 pp.73-103
Trading Strategy and Performance by Investor Types inKorean Treasury Bond Futures Market
Key Words : 국채선물,매매방향 집중도,추세추종 매매,역추세 매매,거래량가중평균가격
This paper investigates trading performance and strategy of each investor type in Korean Treasury Bond(KTB) futures market. The empirical results are as follows. First, foreign investors and banks take the top two ranks in cumulative profits. Investment trust companies and securities companies are the worst two performers. Second, from the point of daily trading, futures companies, individual investors and foreign investors are counter-trend traders while banks, investment trust companies and securities companies are trend followers. But from the point of intraday trading, individual investors and foreign investors are trend followers while futures companies, banks, investment trust companies and securities companies are counter-trend traders. Third, futures companies, individual investors and foreign investors have advantage in forecasting next day's volume weighted average price(VWAP) compared to other investor types. But this relative advantage is exploited only by foreign investors in real trading situation. Based on the empirical results, we can infer trading patterns of each investor type as follows. First, banks, futures companies and individual investors have accumulated profits by intraday short term trading. Second, although foreign investors take position at unfavorable prices during intraday level, they make profit by daily position trading based on counter-trend strategy. Third, insurance companies incur cumulative loss due to forecasting error in VWAP. These findings suggest that futures companies and banks have a short-lived informational advantage and foreign investors are better at long-term position trading in KTB futures market. What the results of this study imply is consistent with Dvorak(2005).