(A) new approach to persistent mispricing in the stock index futures market = 주식인덱스 선물시장에서의 지속적 가격오차에 관한 새로운 접근

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The purpose of this study is to examine the intraday dynamics of the KOSPI200 index futures mispricing and to analyze the cause of persistent mispricing. The mispricing, which is defined as the difference of the futures market price and the theoretical futures price by cost-carry model, has properties of nonlinearity and mean-reversion caused by transaction costs, regulatory restrictions such as short selling shares, and arbitrage activities, lead-lag relationship, respectively. They, however, are limited to explain the persistent mispricing phenomenon. Thus we suggests a new factor, the perception gap in the fundamental (common factor) between futures investors and spot investors, on the basis of the fact that there exists a common factor which results from the cointegration relationship between spot and futures processes, and futures investors and spot investors are not the exactly same. Finally the suggested factor is statistically significant in explaining the persistent mispricing by the empirical test using TAR models with Instrument Variables.
Advisors
Jun, Duk-Binresearcher전덕빈researcher
Description
한국과학기술원 : 경영공학과,
Publisher
한국과학기술원
Issue Date
2010
Identifier
454804/325007  / 020083346
Language
eng
Description

학위논문(석사) - 한국과학기술원 : 경영공학과, 2010.2, [ v, 50 p. ]

Keywords

VECM; index futures; persistent mispricing; mispricing; TAR; 스레숄드 자기회귀; 벡터오차수정모형; 인덱스 선물; 지속적 가격오차; 가격오차

URI
http://hdl.handle.net/10203/52839
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=454804&flag=dissertation
Appears in Collection
KGSM-Theses_Master(석사논문)
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