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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국데이터전략학회 Journal of Information Technology Applications & Management Journal of Information Technology Applications & Management Vol.21 No.4
- 발행연도
- 2014.12
- 수록면
- 97 - 125 (29page)
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초록· 키워드
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This study investigates the relationship between stock index and its associated nearby futures markets based on the cost-of-carry model. The purpose of this study is to explore the existence of mispriced futures contracts, and to test whether traders can earn trading profits in real financial market using the information about the mispriced futures contracts. This study suggests the concordance correlation coefficient to investigate the existence of mispriced futures contracts. The concordance correlation coefficient gives a desirable result for trading profits that results from a comparative analysis among profits from trading at the time to indicate trading opportunities determined by the degree of the difference between the observed market price and the theoretical price of a futures contract. In addition, this study also explains that the concordance correlation coefficient developed from the mean square error (MSE) has a statistically theoretical meaning. In conclusion, this study shows that the concordance correlation coefficient is appropriate for analyzing the relationship between the observed stock index futures market price and the theoretical stock index futures price derived from the cost-of-carry model.
목차
Abstract
1. 서론
2. 분석자료
4. 실증분석 결과
5. 요약 및 결론
참고문헌
참고문헌 (16)
참고문헌 신청
1. [학술지(정기간행물)] - Bialkowski, J. / 2008 / Stock index futures arbitrage in emerging markets : Polish evidence / International Review of Financial Analysis 17 (2) : 363 ~ 381
2. [학술지(정기간행물)] - Bühler, W. / 1995 / DAX index futures : Mispricing and arbitrage in German markets / The Journal of Futures Markets 15 (7) : 833 ~ 859
3. [학술지(정기간행물)] - Cornell, B. / 1983 / Taxes and the pricing of stock index futures / Journal of Finance 38 (3) : 675 ~ 694
4. [학술지(정기간행물)] - Draper, P. / 2002 / A study of arbitrage efficiency between the FTSE-100 index futures and options contracts / The Journal of Futures Markets 22 (1) : 31 ~ 58
5. [학술지(정기간행물)] - Fleming, J. / 1996 / Trading costs and the relative rate of price discovery in stock, futures and option markets / The Journal of Futures Markets 16 (4) : 353 ~ 387
2. [학술지(정기간행물)] - Bühler, W. / 1995 / DAX index futures : Mispricing and arbitrage in German markets / The Journal of Futures Markets 15 (7) : 833 ~ 859
3. [학술지(정기간행물)] - Cornell, B. / 1983 / Taxes and the pricing of stock index futures / Journal of Finance 38 (3) : 675 ~ 694
4. [학술지(정기간행물)] - Draper, P. / 2002 / A study of arbitrage efficiency between the FTSE-100 index futures and options contracts / The Journal of Futures Markets 22 (1) : 31 ~ 58
5. [학술지(정기간행물)] - Fleming, J. / 1996 / Trading costs and the relative rate of price discovery in stock, futures and option markets / The Journal of Futures Markets 16 (4) : 353 ~ 387
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UCI(KEPA) : I410-ECN-0101-2016-005-001048146