This paper explores index arbitrage strategies using the Korea Stock Price Index
(KOSPI) 200 futures and the KOSPI 200 cash. I examine the ex post arbitrage
profitability where arbitrage positions are taken at the moment that the mispricing
between the futures and cash prices occurs. I also examine the ex ante arbitrage
profitability where arbitrage positions are formed as suggested by the initial
mispricing, but at the following sets of prices. My results suggest that the KOSPI
200 futures market is extremely inefficient. Arbitrage profits and opportunities
persist over time, contrary to previous experiences in other countries. The
underpricing phenomenon was particularly strong. The ex ante arbitrage still
yielded profits, implying that the market is economically inefficient. I also find
the time-to-expiration and day-of-the-week effects in arbitrage opportunities. I
insist that the inactive reverse cash-and-carry arbitrage due to short sale
restrictions causes the KOSPI 200 futures to remain underpriced.
학술대회/행사
학술대회안내
[2002년 제 1차] Index Arbitrage with the KOSPI 200 Futures
작성자 : 관리자
조회수 : 1185
게시일 :
2003-07-12
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