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The Pricing Behaviors Of Stock Index Futures: Some Preliminary Evidence In The Korean Market, Jaehoon Min
The Pricing Behaviors Of Stock Index Futures: Some Preliminary Evidence In The Korean Market, Jaehoon Min
Theses and Dissertations in Business Administration
This research examines the pricing behaviors of futures contract in the Korean market in its early inception period. This research is mainly organized into three parts. The first chapter investigates the mispricing of futures contract relative to its theoretical value. Consistent with earlier studies regarding futures markets in other countries, futures have been persistently underpriced in the Korean market. Even after accounting for 10 minute execution lag in the arbitrage trading, arbitrage opportunities have been largely unexploited. Market inertia caused by institutional investors' unfamiliarity is presumed to be largely responsible for underpricing of futures. Unfavorable spot market condition also hinders …