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Korean J Financ Stud > Volume 47(6); 2018 > Article
Korean Journal of Financial Studies 2018;47(6):925-945.
DOI: https://doi.org/10.26845/KJFS.2018.    Published online December 31, 2018.
KOSPI200 Past Return, Volatility, Skewness and Mispricing of KOSPI200 Futures : Using KOSPI200 Index Implied by KOSPI200 Futures
Suhkyong Kim
KOSPI200 선물과 KOSPI200 현물의 관계에 대한 KOSPI200 과거수익률 적률의 영향력 분석
This paper investigates the determinants of KOSPI200 futures mispricing by calculating implied spot price. The analysis was centered on the effect of KOSPI200 past return, volatility and skewness on the mispricing. The sample period spans the beginning of 2004 to the ending of 2017.
Evidence indicates that KOSPI200 futures-implied spot prices were underpriced, relatively to KOSPI200 spot prices, during the sample period, and the 60 day cumulative past return, volatility and skewness are consistently and statistically significant determinants of KOSPI200 futures mispricing for the nearest and second nearest futures contracts. The results are robust after dividing the sample into two sub-periods.
Empirical results lend support to the hypothesis that the past returns’ moments exert effect on the relationship between spot and futures prices, rejecting the joint hypothesis that two markets are weak-form efficient and are integrated.
Key Words: 내재현물지수,괴리율,과거수익률 적률,변동성,왜도,Index Futures-Implied Spot Price,Mispricing,Past Return’s Moments,Volatility,Skewness
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