단순추종매매를 이용한 현물, 선물, 옵션시장 간의 선도-지연관계 분석

This paper investigates the intraday lead-lag relationships between the KOSPI200 stock index and its related futures and options contracts, and also the interrelations between the derivatives markets. We use signal following trading strategy as a new methodology to explore the lead-lad relationship among three markets in a sense that we regard the increase of a call price above a certain level in every one-minute interval as a signal that some directional information flows into the options market, and so we enter into a long position in a futures contract or buy stock, and vice verse. Index futures contract is found to strongly lead both the stock and index option market. However, the option market does not lead the futures market, and stock index seems to marginally lead option market. Also empirical results show that the option market strongly lead stock market and even the stock weakly lead option market, which confirms previous researches. Another finding is that ATM option more information about the market direction than OTM and ITM options do. It also turns out that the lead-lag relationships among three markets disappear within two or four minutes, and the arbitrage is no more profitable when considering trading costs, which implies that the KOSPI200 stock index market and its related derivatives markets are highly efficient.