KOSPI 200 지수선물의 이론가격과 실제가격 차이에 관한 연구 = Deviation between Theoretical Prices and Market Prices in the KOSPI 200 Stock Index Futures

다국어 초록 (Multilingual Abstract)

The purpose of this study is to see whether the deviation between the theoretical and market price exists in the KOSPI 200 stock index futures or not. If the deviation is exhibited, its causality will be examined quantitatively. To accomplish this study, it is necessary to get the theoretical futures prices for comparing with the actual futures prices. Although there are several pricing models for stock index futures, the cost-of-carry model which derived futures price by using the arbitrage between spot and futures is most widely used. This model expresses the futures price in terms of the underlying stock index value, the risk free interest rate, and the dividend yield for the index. After actual futures prices are compared with the theoretical prices computed by the perfect market model, the results are as follows. First, actual futures prices are continuously lower than the perfect market prices. Second, the discount of actual futures prices cannot be explained by the timing option hypothesis. Third, the efficiency of the stock futures market have been growing over time. Because both the deviation and the standard error are decreased over time, the coefficient of determination is increased in regression analysis. Therefore the market imperfection theory by Peters was supported by these results. Finally, according to the empirical results, basis shows negative in many days. Actual futures prices are lower - backwardation - than spot prices in many times. Thus, this study makes conclusion that the reason of the backwardation in the KOSPI 200 index futures might be short sale constraints.