This thesis examines the daily dynamic relation among open interest, mis-pricing, KOSPI 200 index volatility and trading volume in the KOSPI 200 index futures markets in order to test the theoretical model which was proposed by Nai-Fu Chen, Charles J. Cuny and Robert A.Haugen. The data are received from Korean Stock Exchange through 1997.12~2002.9. Two kinds of volatility are examined , historical and implied ones. The result done by implied volatility supports the hypothesis on open interest and mis pricing, while the result done by historical volatility do not proves the theory. But the levels of dynamic interaction with mis pricing of both cases is low. The strength of dynamic relation applied with implied volatility is not too big enough to use the relationship. There is possibility they finish most part of dynamic relation within a day, therefore the study at intra-day basis will be additionally needed.
