주식선물 투자요인에 대한 연구

Despite the growth in single-stock futures (SSF) market, research concerning the market is not sufficient. This study aims to identify factors affecting investment in the SSF by empirically figuring out statistically significant factors, thereby clarifying features of trading activities in Korean SSF market. This study contributes to the literature in that it investigates the SSF market based on a dataset obtained by matching short selling with SSF trading. Daily data is obtained from KRX during the period from January 2014 to November 2018 and the number of items used in the analysis is 122. Trading volume of SSF relative to relevant spot (F/S) is used as a proxy for trading activity in the SSF market and we examine the relationship between F/S and various factors pertaining to the aspects of risk hedge, arbitrage transaction, market friction and speculation. The results from the cross-sectional analysis reveal that F/S is positively related to beta, portion of foreign investors, correlation between daily volume of long and short position of individual investor and correlation between daily volume of long and short position of foreign investors, whereas F/S is negatively related to the absolute value of the basis relative to the futures price and correlation between trading volume of foreign investors and individual investors. Results from time-series analysis imply that the absolute value of the basis relative to the futures price, short-sale ratio, historical volatility, disparity, and return relative to the market can be regarded as factors explaining the change in F/S.