The Dynamic Relationship between Main Investors' Net Long Position and the Trading Volume of KTB Futures Market

Abstract

An analysis on the dynamic relationship between trade volume in the KTB futures market and the net long position of investment companies, foreign investors and banks was carried out to investigate the relationship among major market participants' net long position and changes in trade volume, and then to use the results in order to derive policy alternatives that would make the market bullish for the cases of low trade volume of KTB futures.

Keywords

JEL Classification: G12 Rate of Return on KTB futures market Vector Autoregressive model Granger Causality Test Impulse Response Function Forecast Error Variance Decomposition

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