This study analyzes the effect of fluctuations caused by foreign investors’ participation in the Korea Treasury Bill (KTB) futures market on the yield to maturity of KTBs. To this end, we develop an auto-regressive distributed-lag model with stochastic volatility that can simultaneously estimate the expected return channel and the volatility channel, which are two channels that the futures market affects on the spot market. A modified model is set up to take into account the asymmetry of the transition effect by time period, and it is estimated using Gibbs-sampling. According to estimation results, foreign net selling of futures raises the spot interest rate and increases the volatility of the spot market. In addition, the asymmetric transfer effect by macro and market conditions was analyzed, and it was found that the increase in the 3-year spot rate due to the net selling of foreign futures was larger during the period of net selling of foreign futures, the period of raising the Bank of Korea base rate, and the period of raising the US policy rate.