A Study on the Market Efficiency between KOPSI200 Futures and KTB Futures Markets

주가지수선물시장과 국채선물시장간의 시장효율성에 대한 연구

The purpose of this study is to examine the relationship between KOSPI200 Futures and KTB Futures in inter market and intra market. We are focusing on which market would be lead. The empirical results have indicated that there are no lead or lag effect between KOSPI200 Futures and KTB Futures market. But some positive correlation appeared, we used to know negative correlation between stock and bond market, which is a new finding. As a conclusion, the market still have an efficiency with co-movement.