파생시장 규제와 시장기능의 변화

This study investigates the changes of price discovery and hedge efficiency in Korea derivatives markets after Financial Services Commission(FSC) implemented regulations several times. For this empirical study, the data sample was taken from the period of January 5, 2009, through June 7, 2017. I used the daily quotes of KOSPI200 spot and futures indices obtained from Bloomberg. The empirical findings are as follows. First, the study proved that KOSPI200 spot market had co-integration relationship with futures market. According to Gonzalo Granger(GG) and Hasbrouck's price discovery measures using the coefficient of co-integration equation in VECM, both information ratios showed that after the regulations spot market dominated futures market in price discovery. Thus, I argue that excessive regulations make derivative markets inefficient. This study also examined the beta hedge ratios of Kroner, Sultan (1993) in order to minimize the risk of this KOSPI200 portfolio(spot and futures). These hedge ratios were generally low except the crisis period, indicating that the average hedge ratios in the crisis period were higher than those in the stable period. In comparison with before and after regulation, the hedge ratio of the pair of spot-futures relatively showed a higher average hedge ratio(high hedging cost) after regulation(the tranquil period) than before regulation(the crisis period). Therefore, it is evident that after regulation the hedge efficiency of derivatives market got weaker than before.