주식/선물 거래행태와 베이시스 스프레드의 관계

Basis spread is the difference between market basis and theoretical basis in a futures market. In Korean stock index(KOSPI200) futures market, it is not unusual to observe relatively large basis spread which lasts for several days. Under the situation of large basis spread, there could be systematic pattern between the trading behavior of a group of investors and the basis spread because the large basis spread implies market inefficiency and informational asymmetry. This paper examines the relationship between the basis spread and the trading behavior in the KOSPI200 futures market. The regression and VAR analysis show that the foreign investors tend to purchase more stocks after the basis spread or the intensity of buying stock in institutional investors are increased. That means the major trading strategies of foreign investors in Korean stock market are index futures arbitrage and following the institutional investors. The decrease in BS+ which is the positive part of the basis spread is tend to be preceded by the increase in the intensity of buying stock in securities companies. According to the results, it is confirmed that there are systematic patterns between the trading behavior of some groups of investors and the basis spread. The patterns show the process of information dissemination in Korean stock and futures markets.