This thesis investigate adequacy of transferring the management of KOSPI 200 index futures from Korea Stock Exchange to Korea Future Exchange. Analyzing customers’ requirement, global trend and the relationship between cash index and futures market in currently integrated market, it seems that transferring KOSPI 200 index futures to Korea Future Exchange do more harm than good. This study can be summarized as follows;
First, Additional IT investment and settlement fee will increase securities company’s expanses and lower their revenue and finally result in high transaction cost for securities company’s customers.
Second, In Asia and Europe where competition of capital market is high, There is an effort to integrate cash index and futures market in order to deliver one stop service, lower redundant IT investment, and increase customers’ conveniences.
Third, In order to find out relationship between cash index and futures, and economic function of futures, Empirical test was done using the 5-minute price data and daily data for the period of 2001.01.04 ~ 2002.12.28. Result shows that cash index and futures markets are closely related and futures market lead cash index by about 25 and 15 minute in 2001 and 2002 respectively. Also it seems that there is no abnormal price movement in futures maturity.
In conclusion, it seems that there is no rational basis of transferring the control of KOSPI 200 index futures. It is necessary to manage cash index and futures market as an integrated market for the benefit of customers, to enhance competitiveness of capital market and economic function of futures market.
