This paper investigates the efficiency of KOSPI200 Index futures market using cost of carry model and the put-call-futures parity. To examine the existence of the arbitrage opportunities in the futures market, this paper analyzes the intraday minute data of five-near-month contracts since July 1997, of which Index futures and Index options had the same expiration dates.
This study finds that the violation frequencies of nonarbitrage pricing conditions between put-call-futures parity and cost of carry model are different because of the degree of easiness of the arbitrage in the real market. It is also found that if the bid-ask spreads in the Index options of the synthetic futures are included, the frequency and degree of mispricing between the synthetic futures prices and market futures prices are not different with respect to the strike prices of the Index options.
