“…According to the studies that show that underlying market dynamics such as return and volatility dynamics significantly shape market liquidity (Bessembinder & Seguin, 1992;Gulen & Mayhew, 2000;Morris & Shin, 2004), we control for the KOSPI 200 market index returns (MktRet t ), the square root of the aggregate equity trading volume (MktVolSq t ), the return of options-implied volatility (ImpVol t ). Considering the effect of international commonality among futures markets and macroeconomic fluctuations on futures market liquidity (Banerjee et al, 2020;Elder et al, 2012;Frino, Mollica, & Zhou, 2014), we also control for the USD/KRW exchange rate returns (Exch t ), the credit spread (CredSpr t ), the term spread (TermSpr t ). Lastly, to account for the regulatory or policy-relevant shocks (Chou et al, 2015), we incorporate the economic policy uncertainty index returns (EPU t ) into the model.…”