스타지수선물의 상장실패요인에 관한 연구
An Analysis of the Failure of the KOSTAR Futures Contract
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본 연구는 2005년 11월 한국거래소에 상장된 스타지수 주가지수선물의 상장실패 요인을 분석한다. 신규 상장되는 선물상품이 성공적으로 거래되기 위해서는 헤징효과성, 기초자산의 높은 가격변동성, 큰 규모의 현물시장과 활발한 거래, 다수의 매수자와 매도자, 시장의 투명성과 같은 요건이 갖춰져야 한다. 분석 결과, 스타지수선물은 헤징효과성 면에서 코스피200 지수선물을 이용한 교차헤지보다 통계적으로 우월하였으며, 기초자산인 스타지수도 높은 가격변동성을 지닌 것으로 나타났다. 그러나 스타지수 현물시장의 규모는 다른 주가지수에 비해 매우 작았으며, 시장참여자들의 대부분은 헤지거래에 소극적인 개인투자자들로 이루어져 있었다. 특히, 스타지수는 경쟁지수인 코스피200 지수에 비해 수익성은 낮은 대신 리스크는 높았으며, 빈번한 종목교체로 인해 지수의 안정성이 크게 떨어지고 시장의 투명성 또한 상대적으로 낮은 것으로 나타났다. 이와 같은 요인들로 인해 헤저나 차익거래자로서의 역할을 할 수 있는 기관투자자와 외국인투자자들을 시장으로 유인하는데 실패한 것으로 분석된다.
Abstract
This article investigates the causes of the failure of the KOSTAR equity index futures contract. A successful futures contract requires superior hedging effectiveness, variable spot prices, a sizable and active spot-market, numerous buyers and sellers, transparency in both the spot and futures markets, etc. Results indicate that the KOSTAR futures contract is a more effective hedge than the alternative KOSPI200 futures contract and that its underlying index has sufficiently high price volatility. However, the market size of the underlying asset is not large enough and the majority of the market participants are individual investors who are unlikely to take part in hedging. In particular, the KOSTAR index has lower returns but higher risk than the competitive KOSPI200 index and shows instability due to frequent replacement of its constituents. The KOSTAR spot market also appears to be relatively less transparent. These factors make the KOSTAR index less attractive to institutional investors and foreign investors who play a vital role in hedging or arbitrage.
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