KOSPI200 시장베이시스의 결정요인에 관한 연구

This paper investigates the determinants of KOSPI200 market basis which is the difference between KOSPI200 spot index and KOSPI200 futures. The database consists of daily observations on spot index, the nearest and the second nearest futures contracts from January 2004 to December 2017. Arbitrage factor, Psychological factors, short sale ban, futures and spot trading volumes are considered as potential determinants of market basis. Arbitrage factor which is derived from the cost of carry model is the difference between risk-free rate and dividend yield times the days to maturity. The arbitrage factor is derived by taking natural log to both sides of the cost of carry model in which the actual futures price is substituted into the theoretical futures price. The subsequent result, which is ln(futures price) minus ln(spot price), is defined to be futures/cash basis and is entered into the regression model as the dependent variable. Empirical evidence indicates that the arbitrage factor exerts the most significantly positive effect on the market basis. Among psychological factors, anchoring bias, disposition effect and momentum effect enter the regression equation as explanatory variables in explaining the market basis. Empirical results show that anchoring bias has a significant and positive effect on the futures/cash basis, implying that the anchoring bias persists, and that past 60 days cumulative return's momentum effect exerts a significant and negative effect on the market basis, implying that the past 60 days cumulative return's momentum effect over-weighs the disposition effect. Empirical results for the effect of short sale bans on the market basis are mixed. The first short sale ban's effect on the market basis is significant and positive whereas the second short sale ban's effect is significant and negative. Following the global financial crisis in August, 2008 triggered by subprime mortgage crisis in U.S., KRX banned short sale for the entire stocks traded in KRX in an attempt to stop stock prices to decline. The first short sale ban was activated in the first day of October, 2008 and lasted for 8 months, and the second short sale ban was activated in the 10th of August, 2011. Dummy variables are used to captures the effect of short sale ban on the market basis. In the regression model, both the nearest futures and the second nearest futures are analyzed separately and the results are similar each other. GMM(generalized method of moments) is adopted to circumvent the problem of measurement error in explanatory variables. In addition, using Newey-West, heteroskedasticity and autocorrelation are adjusted for calculating standard error.