한국 국채선물시장의 투자유형에 따른 거래행태와 국고채 3년물 채권의 수익률 결정요인 연구

This study is to analyze on trading activities of investors(the foreigner, the institutional, the individual). It is studied through the investment reaction model using GMM estimation method to find out what the investor's transaction behavior to future yen value and oil price change is. Furthermore, it is verified whether treasury 3-year bond is pricing ascribed to investors' trading activities by using 3-factor model. The implication is as belows. Firstly, the foreigner tends to consider non-commercial oil and yen's net position the important investment decision factors in local market compared with that of the institutional and the individual. Secondly, the foreigner is relatively sensitive to adjust transaction amount based on precedent trading activities to meet the goal of investment amount. Thirdly, the foreigner's transaction in Korean treasury bond futures market affects the bond price in spot market in spite of their small transaction amount compared with that of the institutional. The main reason is that the foreigner have a superiority in forecast the futures bond price with mid-term perspectives to bond market and hold the position of market leader. Therefore, the foreigner's transaction in futures market affects the spot market as a pricing factor of treasury 3-year bond.