시장상황에 따른 베이시스와 현물/선물간의 관계

Basis is defined the difference between futures and spot. The characteristics of the basis could be defined two ways. Whether the basis is positive or negative according to the sign of the basis, and when the absolute value of basis increase, this is referred to as strengthen of basis. Conversely the absolute value of basis decrease, this is referred to as weakened of basis. The basis plays a role for the short-run pricing adjustment between the spot and futures before the expiration of futures contracts. Also, the basis characteristics can be important information to investor that consider investing strategy and affect the relationship between the basis and spot/futures. In this paper, we define market state as normal marker when the basis is positive and inverted market when the basis is negative. This paper examines the relationship between the basis and spot/futures depending on the market state in the KOSPI200 spot/futures market. We used 5 minute KOSPI200 spot/futures price data. Our findings are as follows. First, the leading role of price discovery in the KOSPI200 futures market to the KOSPI200 spot is confirmed. Second, the regression analysis shows that a negative relationship exists between the strengthen of basis and KOSPI200 spot/futures under the inverted market. Third, a positive relationship exists between prior negative shocks followed by the strengthen of basis and KOSPI200 spot/futures under the inverted market. This means that the prior negative shocks strengthen price discovery of the spot in the case of the strengthening of basis in the inverted market.