This study tried to evaluate the efficiency of KOSPI200 futures and option price using the data from the starting of trade in 1996 and 1997 to 2005. Compared to the theoretical price, the futures price is under priced by 1.35%. The gap, however, narrowed to 0.5% from 2003. Consequently, if we consider the margin cost, the transactions cost and the transactions risk, the realized futures price is evaluated to satisfy the no arbitrage condition at least from 2003.
Compared to the theoretical price, the options are over priced by 11～12% during entire period. Also the gaps are staying to 9% even from 2003. The degree of over valuation was prominent for the out of the money (OTM) options or for the options which have the long remaining expiration date. There are no big difference between the theoretical price and realized price of options which are in the money (ITM) or have short remaining maturities. Of the all possible futures and options arbitrage strategies, only less than 10% of the whole transactions generate meaningful profit. Further, non arbitrage transaction, like straddle strategy, generate little profit. These empirical results tell the option price is determined efficiently in the sense that there is little chance to get profit from arbitrage transactions.
The KOSPI200 futures and option price is determined efficiently as the trading volume increase. The improved efficiency of the price are also attributed to the accumulated market experience of traders, well organized program trading and the introduction of the exchange traded fund (ETF). Thus, futures and option market in Korea are evaluated to get success in hedging investment risk and expanding investment opportunity both in quantitative and in qualitative. This study, however, found two irregularities, which need to be explained. Why, first, are futures over priced as the longer maturity remains? Why, second, are the low priced options over priced persistently?
주가지수 선물 및 옵션가격의 효율성에 대한 연구(A study on the efficiency of the KOSPI200 futures and option price)
서울 : 한국금융연구원
|Series Title; No||금융조사보고서 / 2006-07|
|Subject Country||South Korea(Asia and Pacific)|
|Subject||Economy < Financial Policy|
|Holding||한국금융연구원; KDI 국제정책대학원|