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KOSPI200 현·선물, 선물·옵션간의 차익거래 분석
This study executes empirical tests, focusing on opportunities and probabilities of KOSPI 200 index arbitrage, to investigate the efficiency of KOSPI 200 futures pricing. The sample period covers from August 8, 1999 to June 8, 2000. The empirical data for KOSPI 200 stock and futures prices contains about one-minute interval intraday price. This study, differing from other existing studies, considers the difference between KOSPI 200 index stock futures arbitrage and KOSPI 200 index futures options arbitrage. It also considers the cause of mispricing that has been happened in that period. The main results are as follows : First, in KOSPI 200 index stock futures arbitrage, there were fewer arbitrage opportunities than in KOSPI 200 index futures options arbitrage. In KOSPI 200 index stock futures arbitrage, 87% of a total of 21987 observations were underpriced or overpriced. While 96% of them were underpriced or overpriced in KOSPI 200 index futures options arbitrage. Second, in futures buy arbitrage strategies, KOSPI 200 index stock futures arbitrage had less arbitrage opportunities than KOSPI 200 index futures options arbitrage(37%:44%). In KOSPI 200 index stock futures arbitrage, it includes short-selling and tracking error as transaction costs. They make the boundary which makes no arbitrage opportunities broaden. Third, in futures markets, historically futures prices were underpriced, But During the period for empirical tests, there existed both underpriced and overpriced opportunities of futures prices. Markets expectation is an important factor to decide the direction of futures prices. From Nov. 1999 to Mar. 2000 market expectations were increased strongly. So There were more possibilities of overpricing opportunities of futures prices. Forth, according to Lead-Lag analysis between mispricing of futures prices and volitility of options prices, volitility of options prices leaded mispricing of futures prices. It means volitility of options prices as a market expectation factor expects the direction of futures prices. In sum, there still existed lots of arbitrage opportunities. In the period for the empirical tests, nearly 90% of observations were mispriced. So, if we set proper arbitrage strategies using a computerized system, we can get risk-free profits. The efficiency of futures markets has improved quantitatively, however qualitatively it doesn't still reach the efficiency of futures markets.
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