The purpose of this thesis is to investigate the phenomenon and sources of negative autocorrelation in the KOSPI 200 index basis changes using the cash and futures prices for the period of 1998.1.3 - 2001.6.29.
Primary results of these analyses are as follows:
First, the existence of the negative autocorrelation in the basis changes was found and the magnitude of the negative autocorrelation became strong coming to the present. Second, the positive autocorrelation of the cash index changes due to the non-trading effect was mostly eliminated using the modified AR(1) model. In five-minute data, the autocorrelation was decreased to 0.051 to 0.136 over the whole period. Third, the impacts of the arbitrage trade, non-trading effect and index aggregation on the negative autocorrelation of the basis changes were analyzed. The autocorrelation decreased after removing the arbitrage trade and non-trading effect while it increased after eliminating the effect of the index aggregation.
