This study was conducted with an aim to systematically, comprehensively, and empirically analyze the efficiency of the prices in the futures market of Korea which is over six years old now.

Korea’s futures contract that began by using the KOSPI 200 on May 1996 has grown in size and in terms of trading volume and it is already one of the world’s top markets.

Apart from the growth of its size, now is the time to conduct a systematic and comprehensive review of the development of the economic expectation effect made by the introduction of futures market—including the effective price formation through price discovery, provision of adequate hedging methods, and acceleration of capital formation.

This study attempts to conduct an empirical analysis of the efficiency of price discovery that a futures market implements using the five-minute sample interval and daily samples of the KOSPI 200 futures market.

The analysis of the efficiency of price formation in the futures market through the difference between theoretical and actual prices reveals negative evidence, though indirect.

According to the evidence, the price discrepancy has a strong autocorrelation as well as systematic correlation with variables, such as remaining period, volatility of spot and futures, rate of return, and trading volume.

Even in the case of explicitly considering transaction costs, the proportion of the cases of exceeding price limit of futures prices required by theoretical prices is approximately 53% of the total samples. It is also possible to establish a statistic model that could explain the cases in a systematic manner.  

Another negative result was found regarding the establishment of theoretical relationship which is expected to exist among the three asset prices of spot and futures & options.

In response to the reception of new information affecting the asset prices, evidences show that there is a strong tendency that the futures market leads the spot market and that the information flow between the two markets tends to move more smoothly as the experiences of market operation become accumulated.

The analysis using various statistics instruments showed that futures returns tend to lead spot returns in a consistent pattern.

More active transactions and higher earning rates in the sport market translate to mean higher speed of information transmission between futures market and spot market.

It is also found that the accumulated experiences of operating the futures market resulted in further actions in the information transmission between the futures and spot markets.

The analysis of the time lag of information transmission based on separate samples of 1996 and 2001 revealed that relatively short time lag was found in 2001 samples.

These findings indicate negative implications of the efficiency of price formation in Korea’s futures market, but such result is not only confined to the cases in Korea.

The phenomenon of a certain degree of systematic discrepancy between theoretical and actual prices of futures is observed in advanced countries including the U.S.

The information transmission between futures and spot markets of Korea is operating well enough to be equally comparable with that of other countries with much experience in the operation of the futures market.

Along with this, price discovery and efficiency in the futures market appear to improve over time as the experiences accumulate through operating the markets.

목 차

서 언

요 약

제1장 서 론
　1. 선물시장의 경제적 기능
　2. 연구의 전개방향

제2장 이론가격과 실제가격 간의 차이를 이용한 선물시장 효율성 분석
　1. 선물의 이론가격과 실제가격 간의 괴리에 대한 분석
　　가. 선물의 이론가격 결정론과 가격설정오류(mispricing)
　　나. 실증분석을 위한 표본의 구축과 분석의 절차
　　다. 실증분석의 결과와 해석
　2. 거래비용을 고려한 이론가격과 실제가격 간의 괴리에 대한 분석
　　가. 거래비용을 고려하는 경우 선물의 이론적 상ㆍ하한 가격
　　나. 실증분석을 위한 표본의 구축과 분석의 절차
　　다. 통계적 모형
　3. 선물가격과 옵션가격 간의 이론적 관계를 이용한 분석
　　가. 옵션의 풋-콜 등가관계(put-call parity)와 선물가격
　　나. 실증분석을 위한 표본의 구축과 분석의 절차
　　다. 실증분석의 결과와 해석
　4. 소 결
　<부록 A-1> 거래비용을 고려한 선물가격의 상ㆍ하한 도출
　<부록 A-2> 풋-콜-선물 등가관계
　<부록 A-3> 풋-콜-선물 등가관계에 대한 공적분 분석

제3장 선물과 현물가격의 정보반영 시차를 이용한 선물시장 효율성 분석
　1. 정보반영 시차와 시장의 효율성
　2. 실증분석을 위한 표본의 구축
　3. 실증분석 결과
　　가. 연립방정식 체계를 이용한 정보 반영 시차 분석
　　나. 다변수 자기회귀 모형을 이용한 정보 반영 시차 분석
　　다. Sims의 그랜저인과관계 검정기법을 이용한 정보반영 시차 분석
　　라. 예측오차모형을 이용한 정보 반영 시차 분석
　4. 소 결
　<부록 B-1> ARMA filtering
　<부록 B-2> Filtering을 거친 표본의 분석: 연립방정식 체계를 이용한 분석
　<부록 B-3> Filtering을 거친 표본의 분석: VAR을 이용한 분석
　<부록 B-4> 오차수정모형: 공적분벡터에 제약을 가한 경우

제4장 결 론

참고문헌