This thesis investigates the intraday lead-lag relationship and price discovery relationship between returns of KOSPI200 cash index and returns of its derivatives(futures & options) market index using the 5-minute price date for the period of 19981.01.03 ~ 2001.10.31. Using the cointegration test and error correction model, lead from the futures market to the options and cash market has been confirmed. And the price discovery relationship among these markets, only the futures market leads options and cash market. Also the price discovery take place at futures market. This study can be summarized as follows;
First, KOSPI200 futures market seems to lead cash index and options market by about 20 and 10 minutes, respectively. But options market doesn't seem to lead cash index. This trend sustained during the subperiod.
Second, futures market shows that it has a price discovery relationship to the cash index. However, options market doesn't have such relationship to the cash index.. The reason is that trading costs of the futures market appear to be the lowest of the three and those of the options market to be the highest. Using common trend model, the result shows that the price discovery take most place at futures market.
Third, according to the subperiod analysis using ARMA filtered return, the magnitude of the coefficient doesn't change much. Also the lead-lag and the price discovery relationship don't change either. This means that KOSPI200 cash index, futures, options markets have sufficient trading volume to offset infrequent trading effect.
