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 rest omitted)
파생금융상품시장의 경제적 기능에 대한 실증연구I (Empirical investigation on economic roles of derivative markets I)
선물시장 가격형성기능의 효율성에 대한 분석(Analysis on the efficiency of price formation in the KOPSI 200 futures market)
|Series Title; No||정책연구시리즈|
|Subject Country||South Korea(Asia and Pacific)|
|Subject||Economy < Financial Policy|
|Holding||KDI; KDI School|