KOSPI200 옵션과 상장지수펀드 간의 일중 차익거래 수익성

목차 (Table of Contents)

• 요약
• Ⅰ. 서론
• Ⅱ. 데이터 및 거래비용
• Ⅲ. KOSPI200 옵션과 ETF 간의 차익거래모형
• Ⅳ. 실증분석 결과
• Ⅴ. 결론
• 참고문헌
• Abstract

참고문헌 (Reference)

1 이재하, "상장지수펀드(ETF)차익거래전략" 33 : 49-92, 2004

2 이재하, "국채선물을 이용한 차익거래전략" 32 : 59-103, 2003

3 Sarno, L, "The cost of carry model and regime shifts in stock index futures markets: An empirical investigation" 20 : 603-624, 2000

4 Day, T. E., "The behavior of the volatility implicit in the prices of stock index options" 22 : 103-122, 1988

5 Shleifer A, "The Limits of Arbitrage" 52 : 35-55, 1997

6 Klemkosky, R, "The Intraday Ex Post and Ex Ante Profitability of Index Arbitrage" 11 : 291-311, 1991

7 Rendlemen, R, "The Efficiency of the Treasury Bill Futures Market" 34 : 895-914, 1979

8 Vignola, A.J, "The Efficiency of The Treasury Bill Futures Market: An Analysis of Alternative Specifications" 3 : 169-188, 1980

9 Ronn, A, "The Box Spread Arbitrage Conditions: Theory, Tests, and Investment Strategies" 2 : 91-108, 1989

10 Figlewski,S., "Options Arbitrage in Imperfect Markets" 44 : 1289-1311, 1989

11 Liu, J, "Losing Money on Arbitrage:Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities" 17 : 611-641, 2004

12 Ofek, E, "Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets" 74 : 305-342, 2004

13 정문경, "KOSPI200 지수선물가격의 일중괴리율형태와 위탁자의 차익기회분석" 24 : 169-201, 1999

14 이재하, "KOSPI200 옵션시장에서의 박스스프레드 차익거래 수익성" 14 : 109-137, 2006

15 배기홍, "KOSPI200 선물과 옵션시장 간 차익거래의 수익성에 관한 실증연구" 12 : 45-71, 2004

16 Kumar, P, "Information and Index Arbitrage" 67 : 481-509, 1994

17 Evine, J, "Index Options:The Early Evidence" 40 : 743-758, 1985

18 Fung, J. K. W, "Index Options-Futres Arbitrage:A Comparative Study with Bid/Ask and Transaction Data" 36 : 71-94, 2001

19 Ackert., L, "Efficiency in Index Options Markets and Trading in Stock Baskets" 25 : 1607-1634, 2001

20 Neal,R, "Direct Tests of Index Arbitrage Models" 31 : 541-562, 1996

21 Kawaller, I, "Cash-and-Carry Trading and the Pricing of Treasury Bill Futures" 4 : 115-123, 1984

22 Benzion, U, "Box Spread Strategies and Arbitrage Opportunities" 12 : 47-62, 2005

23 Hemler, M, "Box Spread Arbitrage Profits Following the 1987 Market Crash: Real or Illusory?" 32 : 71-90, 1997

24 Kolb, R, "Are There Arbitrage Opportunities in the Treasury-Bond Futures Market?" 2 : 217-229, 1982

25 Hegde, S, "An Empirical Analysis of Arbitrage Opportunities in the Treasury Bill Futures Market" 5 : 407-424, 1985

26 Klemkosky, R, "An Efficiency Analysis of the T-bond Futures Market" 5 : 607-620, 1985

27 Chung,Y.P, "A transactions data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability" 46 : 1791-1809, 1991

28 Lee, J, "A Transactions Data Analysis of Arbitrage between Index Options and Index Futures" 13 : 889-902, 1993

29 Draper, P, "A Study of Arbitrage Efficiency Between the FTSE-100 Index Futures and Options Contracts" 22 : 31-58, 2002