The purpose of this thesis is to analyze the expiration day effects of the KOSPI 200 futures and options on return, conditional volatility, and trading volume of the underlying asset. Our results show that abnormal patterns in return, conditional volatility, and trading volume of the underlying asset were observed on the expiration day and on the previous day of KOSPI 200 futures and options. But, this expiration day effects of derivatives on the underlying asset market were mainly observed in the case of joint expiration of KOSPI 200 futures and options.
