We investigate the trading behavior of high frequency trading (HFT), the impact of HFT on market quality, the role of HFT in the price discovery process, and the profitability of HFT, using a very detailed data set of the KOSPI 200 index futures market. We find that high frequency traders (HFTs) do not provide liquidity in the futures market, nor does HFT have any role in enhancing market quality. Indeed, HFT is detrimental to the price discovery process. This is contrary to the findings in the existing literature on HFT in equity markets. We further find that profitable opportunities of HFTs rarely exist after considering transaction costs, with the notable exception being that foreign HFTs do earn a profit in the index futures market.