earticle

영어

This paper examines the pricing efficiency and productivity of the KOSPI 200 options and KOSPI 200 futures markets in Korea. This study analyzes the lower boundary conditions for KOSPI 200 options derived from KOSPI 200 futures prices, and examines arbitrage opportunities in the KOSPI 200 options and KOSPI 200 futures markets. Lower boundary conditions tests are performed for both KOSPI 200 call and put options, and ex－post and exante arbitrage profits are examined. This study's results reveal that there were some violations of lower boundary conditions for KOSPI 200 options, and arbitrage opportunities existed not only for securities companies which are members of KRX(Korea Exchange) but also for non－member investors in the KOSPI 200 options and KOSPI 200 futures markets. The results of this study suggest that KOSPI 200 options and KOSPI 200 futures markets were inefficient to some degree in terms of relative pricing during the period under study.