Earticle

초록

영어

In Japan many economists think that the 1990's main reason of a slump in stock in Japan is Stock Price Index Futures that introduced at 1988. This paper analyzes the effect of Stock Price Index Futures on Spot Market in Japan.
The result of this study is as follow; First, There is expect usually that a slump in stock price occurs because of a large quantity of sell at spot. But according to this study average stock price was sustainable because that large amount of sell and buy at spot in clearing day
simultaneously.
Secondly, the fluctuation of stock price at spot market was nothing less than 13.8% per day by arbitrage transaction. It seems explain that the fluctuation of stock price at spot market is less relation with arbitrage transaction.
According to these result we can explain what 1990's main reason of a slump in stock in Japan is not stock price index futures but the system of weakness of Japan's spot stock market.
Finally, we have to study about restructuring of spot stock market for find reason of instability at stock market.

목차

 Ⅰ. 序論
 Ⅱ. 裁定取引と価格変動
  1. 裁定取引の解消と株価変動
  2. 決濟日の株価変動
  3. 裁定取引による現物株の賣買と株価変動
 Ⅲ. 先物取引の現物市場への影響
  1. 先物取引の価格調整機能
  2. 裁定取引による現物市場のボラティリティ
  3. 先物市場の規制と現物市場の変化
 Ⅳ. 結論
 <參考文獻>

키워드

저자

• 朴泰珍 [ 박태진 | 東義大學校商経大學助敎授 ]
• 韓東佑 [ 한동우 | 韓東佑 ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  일본근대학연구 [ILBON KUNDAEHAK YUNGU ; The Journal of Korean Association of Modern Japanology]

• 간기

  계간

• pISSN

  1229-9456

• 수록기간

  2000~2019

• 십진분류

  KDC 830 DDC 895