Earticle

초록

영어

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
 3.1 거래기회 결정에 대한 방법론
 3.2 거래이익의 측정과 비교
 4. 실증분석 결과
 5. 요약 및 결론
 참고문헌

키워드

저자

• 김현경 [ Hyun Kyung | 통계청 통계개발원 통계사무관 ]
• 남승오 [ Seung Oh Nam | 순천향대학교 글로벌경영대학 금융보험학과 부교수 ] 교신저자

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  JITAM [Journal of Information Technology Applications and Management]

• 간기

  격월간

• pISSN

  1598-6284

• eISSN

  2508-1209

• 수록기간

  1999~2026

• 십진분류

  KDC 005 DDC 005