주가지수와 주가지수선물 관계의 일중 거래 자료 분석

목차

1. 서 론

2. 분석자료와 거래제도변경

3. 분석방법

4. 실증분석결과

5. 결 론

본문내용

522063.15
536195.52
535900.80
525510.94
530508.81
536753.29
582529.55
650205.98
724904.34
809444.51
73558.15
500558.73
400389.21
427971.97
410378.91
422383.94
385960.34
386568.97
346788.83
317695.59
275867.92
256249.40
332402.48
318778.20
288513.68
276902.49
308303.41
261654.11
318881.48
334080.56
397091.84
386026.53
53435.33
1804067.19
1588283.93
1425731.56
1370631.65
1290518.38
1285523.90
1269712.87
1291922.79
1218863.09
1184454.78
893090.81
1288254.95
1127773.77
1034658.05
1020313.94
1089749.32
1169186.15
1200662.81
1343187.47
1489665.70
1557359.55
70598.33
1690809.38
1328289.81
1050776.61
1105852.68
918862.10
960626.76
946533.75
979521.18
890635.96
788280.04
774231.45
1073835.15
803154.42
677237.16
631081.85
667191.08
739308.04
701290.20
796450.26
890980.08
806065.88
100045.57
* 시간대별로 거래량의 평균이 같은가를 귀무가설로 하는 ANOVA Test를 한 결과 전기의 경우에는 F=40.17(p-value=0.0001), 후기의 경우에는 F=29.02(p-value=0.0001)이었음
<부록 표4> KOSPI 200 선물지수의 시간대별 평균거래량
시간대
전기(96.5.3-97.7.5)
후기(97.7.7-98.6.10)
평균수익률
표준편차
평균수익률
표준편차
09:40-09:50
09:50-10:00
10:00-10:10
10:10-10:20
10:20-10:30
10:30-10:40
10:40-10:50
10:50-11:00
11:00-11:10
11:10-11:20
11:20-11:30
13:10-13:20
13:20-13:30
13:30-13:40
13:40-13:50
13:50-14:00
14:00-14:10
14:10-14:20
14:20-14:30
14:30-14:40
14:40-14:50
14:50-15:00
189.864
189.129
194.990
198.350
193.682
195.238
186.231
182.234
176.388
165.913
158.395
158.664
171.105
170.916
176.629
177.157
182.434
197.154
225.304
252.500
248.101
143.857
115.305
114.367
107.864
115.153
133.656
127.739
116.655
114.711
117.917
106.446
97.426
98.856
103.963
98.414
100.932
103.723
106.622
116.095
131.053
158.766
129.532
97.743
1234.35
1242.44
1214.17
1167.67
1049.15
1110.36
1046.53
1117.80
1047.14
1054.30
1017.63
988.18
951.14
926.84
930.01
995.85
1012.44
1073.68
1185.50
1255.88
1195.97
882.38
720.508
743.305
740.174
771.502
770.601
787.296
707.580
777.652
708.894
723.131
783.318
691.931
684.182
670.283
723.899
742.024
789.128
829.056
896.766
942.105
932.350
750.149
* 시간대별로 수익률의 평균이 같은가를 귀무가설로 하는 ANOVA Test를 한 결과 전기의 경우에는 F=15.13(p-value=0.0001), 후기의 경우에는 F=5.03(p-value=0.0001)이었음
ABSTRACT
An Analysis of Transactions Data for the Relationship Between Index and Index Futures
Suhkyong Kim
Kwangsoo Ko
This paper emprically examines the intraday price and volume relationship between KOSPI200 index and the KOSPI 200 futures using minute-to-minute data. Changes in intraday patterns of both return and trading volume, and lead-lag relationship between index and index futures are investigated by dividing the data set into two periods : pre-option listing and post-option listing. Evidence indicates that relationship between the KOSPI200 index and futures are strengthened in terms of return and trading volume as time passes and results from the analysis of lead-lag relationship are consistent with the hypothesis of market wide information vs. firm specific information.

키워드

분석자료,   거래제도,   실증분석,   분석자료와 거래제도변경,   분석방법,   실증분석결과