Predicting closing call auction return in the korean treasury bond futures market

Abstract

Conducting an empirical analysis to assess the predictability of closing call auction movements in the Korean treasury bond futures market for 3-year and 10-year treasury futures. The market movements from 15:00 to just before the closing call auction at 15:35 in the treasury futures market are identified as contributing factors to predicting the closing auction movements. Positions that are not executed from the regular trading hours before 15:00, near the market close, concentrate between 15:00 and 15:35, persisting through to the closing call auction. This concentration is attributed to the absence of noise traders, assumed to be individual investors, leading to the accumulation of unfulfilled orders toward the closing auction. The study infers that such occurrences in the treasury futures market are primarily driven by the behavior of institutional investors executing large trades.