파생상품 거래와 주식수익률 변화에 대한 연구: 투자자 유형별 분석을 중심으로

This study investigates the relationship between the trading intensity of each investor group in derivatives markets and the underlying index returns. We first define the trading intensity of each investor group as the ratio of daily positive volume (long position in futures and calls, short position in puts) and daily negative volume (long position in puts, short position in futures and calls) and then examine whether the trading intensity has the informativeness on future index returns. According to the results, individual investors and investment trust companies intensify the positive derivatives trades after the rise in the stock returns, while foreign investors intensify the positive trades after the rise in the stock returns. Except for securities firms, the trading intensities of other groups have an explanatory power for the future index returns. More specifically, the negative trades of individual investors along with the positive trades of investment trust firms and foreign investors indicate the increase in future index returns. In addition, we conduct the analysis on changes in before- and after-period returns of the intensively positive and negative derivatives trades of each investor group. The result that the derivatives trade of a specific investor group has a predictability on future index returns implies the inferiority of the stock index market to the derivatives markets.