본 논문은 개별 파생상품시장 간 상호 가격발견 기능과 결정요인을 KOSPI200 옵션시장과 선물시장을 대상으로 실증적으로 검증했다. 실증 분석에는 KOSPI200 옵션과 선물의 패리티로부터 유도한 합성선물가격과 실제선물가격으로 구성된 오차수정모형을 활용했다. 양 변수 간 선도ㆍ후행 관계를 측정한 결과 합성선물이 실제선물을 일방적으로 선도하는 표본일의 비율은 전체표본의 57%로 합성선물이 실제선물의 가격발견을 지배적으로 주도하는 것으로 분석되었다. 반면실제선물은 합성선물에 독자적으로 선행하기보다 양방향적 관계에서 환류하는 경향이 강했다. 선도ㆍ후행 관계의 대안적인 지표로 Hasbrouck(1995)의 정보량을 도입하여 측정한 결과에서도 합성선물의 정보량은 66%로 실제선물의 값을 현저히 초과하여 역시 가격발견에서 우위에 있음이 확인되었다. 이와 같은 실증분석 결과를 볼 때 양 시장 간의 선도.후행관계는 결국 합성선물을 구성하는 옵션시장의 정보가 선물시장으로 유입되는 구조이며, 선물시장의 가격발견을 옵션시장이 주도하고 있음을 제시한다. 또한 선물시장에 대한 옵션의 가격발견 주도권을 머니니스와 유동성에 따른 표본으로 구분한 결과에서 선물시장의 가격발견의 대부분을 강하게 주도하는 옵션은 등가격옵션이지만, 외가격과 내가격으로 구성된 비등가격 옵션이 가격발견에 공헌하는 정도는 상대적으로 약한 것으로 파악되었다. 이 같은 연구 결과는 거래비용이 저렴하고 위험을 선호하는 투자자들이 집중하는 외가격 옵션에서 가격발견이 관찰된다는 일부 선행연구들의 실증 결과와는 대립된다. 이는 국내 옵션시장에서 외가격을 집중적으로 거래하는 투자주체는 개인투자자이며 이들은 외국인이나 국내 기관투자자에 비해 정보 수준에서 열위에 있으므로 투자손실을 입는다는 선행연구와 관련지어 생각해 볼 수 있다. 거래활동 측면에서도 유동성이 높은 옵션일수록, 가격발견을 주도하는 유동성 외부 효과가 존재하는 것으로 분석되었다.

We examine price discovery the KOSPI 200 futures and options markets using the intra day data from Feb. 10, 2012 to June 13, 2001, There are many studies on price discovery among the individual derivatives products, however very few studies on the relationship between derivatives markets. There are many differential aspects in individual derivatives products and derivatives markets in trading strategy such as index arbitrage, informations types such as individual or market-wide, regulation such as program trading halts, and investor types. These motivate our study. KOSPI 200 futures and options markets are highest ranked markets among all index derivatives markets in the world in terms of trading volume. These markets provide a good opportunity to study price discovery and determinants between derivatives markets. Using the intraday data, we construct a Vector Error Correction Model (VECM) of KOSPI 200 actual futures prices and synthetic futures prices which are induced from option-futures parity. And the lead-lag relationship and ‘information share’ of Hasbrouck (1995) are analyzed. We can replicate a synthetic futures position or option position from the put-call-futures parity, and this methodology is model free and is analyzed easily based on market prices. Key empirical results are summarized as follows: The result of the lead-lag relationship between synthetic futures and actual futures from VECM shows that synthetic futures price leads dominantly actual futures price, the sample which synthetic futures price lead actual futures price is 57% of total sample, but actual futures price shows an interactive feedback relationship rather than one way leading relationship to synthetic futures price. As an alternative measure we estimate ‘information share’ of Hasbrouck (1995), the estimated value of synthetic futures is 66% which is markedly greater than that of actual futures. These results mean that price information generated in the options markets dominate the futures markets and price discovery in the futures market is lagged by the options market. These are very interesting, because that KOSPI 200 futures and options markets have a close market linkage via arbitrage mechanism and have developed a similar growth process. We can think that investors use a forecasting strategy of market directionality using market-wide information in futures market, however investors use a volatility forecasting strategy which include two-way directionality in options market and provide an information for futures price. Consequently options market can have superior to futures market in price discovery. Also investors can synthesize various cash flow positions using options products, these synthetic positions will be helpful for exploring the futures price. We analyze the initiative of options market in price discovery for the subsamples classified by option moneyness. The results show that the lead effect of options market strongly arise from at-the-money (ATM) options, but the contributions of out-of-the-money (OTM) and in-the-money options are weak. These results are contrary to existing studies on other countries, especially U.S.. Some studies report that price discovery effect of OTM options are significant, however in the KOSPI 200 options market many studies report that individual investors are noise traders who are inferior to foreign and institutional investors in information and have a speculative behaviour and loss from trading of low-cost OTM options. This means that the function of price discovery is activated in ATM options because of the trade participation of informed traders, however the price discovery is inferior in OTM options because of the trading behaviour of noise traders. And these imply that the efficacy of price discovery of options markets will be determined by information ability of investors and trading strategy. Finally, we analyze the initiative of options market in price discovery for the subsamples classified by option liquidity. The result shows that there are liquidity externalities which liquid options are more informative in price discovery. This means that in liquid markets, investors participate more actively in trading and this raises the market quality and so raise the price discovery.