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The market impact of futures trading by the National Pension Service (NPS) of Korea
2021
Journal of Derivatives and Quantitative Studies
The National Pension Service (NPS) of Korea is one of the largest institutional investors in the world and it has been known as the market stabilizer in the Korean stock market. Nevertheless, it is hard to find the research about the impact of the NPS on the futures market. We investigated the effect of the NPS's trading KOSPI200 futures on the returns, the liquidity and the volatility of the market using the recent ten years' transaction data. The main findings are as follows. First, the NPS's
doi:10.1108/jdqs-02-2021-0004
fatcat:cg7bnclizvfexja3u3j5ywdtsm