株價指數先物去來의 導入에 關한 考察 = (A) Study on Stock Index Futures Tuansaction in Korea

다국어 초록 (Multilingual Abstract)

Recently, the open pressure of the capital market has intensified by the black in the balance of international payment and uncertainty has more increased by the fluctuation of exchange rate and interest rate owing to the appreciation of the own currency.
The trading in future with a kind of insurance for avoiding and con-nesting this series of uncertainty is gradually being spreaded at the start of America. The security business circle and the authorities concerned in Korea are exert their effort the foster the stable growth of stock market.
But it will be seen that the existing management policy come to the limit in view of the recent stock market. Accordingly, the introduction and upbring of Stock Index Futures are in a urgent demand for activation of stock market.
Therefore, this paper made a short statement to the general theory for the purpose of the correct compuegansion about the Stock Index Futures and illustrated several hedging strategies as means of the risk hedging. This paper also presented the necessarity of Stock Index Futures in Korea and examined the problems attendant upon the domestic introduction after making a short examination of the present conlition of Stock Index Futures in America and Japan.
The problems attendant upon the domestic introduction of Stock Index Futures are as follows:
(1) the scale of the stock market is amall and narrow, and the weight of the institutional investor is low.
(2) The effort for the increase of efficiency of stock market call the spot market is requested.
(3) It Is required that stock price should be make up by the market power.
On the ground of these problems, the propriety of the domestic market introduction was examined at the side of the long-term capital accumulation and the user.
In conclusion Stock Index Futures should be used as a effective maans of avoiding the loss that can be suffered by the flutuations of stock prices and utilized as a means of escaping from the risk occurred in the change of stock market due to the large stock trading.
The earlistic introduction of Stock Index Futures is also being call for at the side of the stabilization of stock market and the protection of investment. But it must always be borne in mind that the Introduction under the unprepared situation of the fundamental condition in futures market dose not do harm to spot market but also loses the fuction of trading in futures.

목차 (Table of Contents)

• 目次 = ⅰ
• 序論 = 1
• 第1節 硏究의 目的 = 1
• 第2節 硏究의 範圍 및 方法 = 2
• 第1章 株價指數先物의 意義 및 去來類型 = 4
• 第1節 株價指數先物의 意義 = 4
• 第2節 株價指數 先物去來의 類型 = 5
• 1. "헤징" (Hedging) = 5
• 2. "스프레드" (Spread) = 10
• 3. 裁定去來 = 12
• 第2章 株價指數先物을 利用한 "헤징"戰略과 效果分析 = 17
• 第1節 傳統的 "헤징"戰略 = 17
• 1. 理論 = 17
• 2. 傳統的 "헤징"戰略의 例示 = 17
• 3. 結果에 따른 效果分析 = 18
• 第2節 워킹(Working)의 "헤징"戰略中 期待收益 極大化理論 = 18
• 1. 理論 = 18
• 2. 워킹(Working)외 "헤징"戰略 例示 = 19
• 3. 結果에 따른 效果分析 = 20
• 第3節 존슨(Johnson)의 最少分散 "헤징"戰略 = 21
• 1. 理論 = 21
• 2. 존슨(Johnson)의 最少分散 "헤징"戰略의 例示 = 23
• 3. 結果에 따른 效果分析 = 24
• 第4節 루틀리지(Rutledge)의 "헤징"戰略 = 24
• 1. 理論 = 24
• 2. 루틀리지(Rutledge)의 "헤징"戰略외 例示 = 25
• 3. 結果에 따른 效果分析 = 26
• 第3章 海外 株價指數先物去來의 現況 = 27
• 第1節 美國 = 27
• 1. 株價指數先物去來의 導入背景 = 27
• 2. 株價指數先物의 種類 및 特徵 = 29
• 第2節 日本 = 32
• 1. 株價指數先物去來의 開始 = 32
• 2. 株價指數先物의 種類 및 特徵 = 32
• 3. 株價指數先物의 構造 = 34
• 第4章 우리나라 株價指數先物去來 導入에 따른 問題点 및 展望 = 36
• 第1節 株價指數先物去來의 必要性 = 36
• 第2節 株價指數先物 國內導入의 妥當性 檢討 = 38
• 1. 長期資本形成외 側面 = 38
• 2. 利用者의 側面 = 39
• 第3節 우리나라 株價指數先物 導入에 따른 問題点 및 展望 = 40
• 1. 證券市場의 기틀확립 = 40
• 2. 企業公開와 效率性의 增大 = 43
• 3. 需給에 의한 株價의 決定 = 46
• 4. 資本自由化에 따른 市場安定性의 確立 =47
• 結論 = 49
• 參考文獻 = 51
• ABSTRACT = 56
• 附錄 = 59