Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/109509
Authors: 
Park, Cyn-Young
Mercado, Rogelio
Choi, Jaehun
Lim, Hosung
Year of Publication: 
2015
Series/Report no.: 
ADB Economics Working Paper Series 427
Abstract: 
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 in the KTB futures market leads the price discovery process for the underlying bonds. Empirical results show that foreigners' daily net long positions in the futures market exert significant influence in KTB and KTB futures prices. We also find that it is the unexpected component of foreign investors' net long futures positions that explains a significant share of the pricing effects, suggesting that how foreign trading responds to news carries additional information content.
Subjects: 
price discovery
emerging market bonds
foreign participation
JEL: 
G10
G13
G14
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by-nc-nd/3.0/igo/
Document Type: 
Working Paper

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