• Journal of Information Technology Applications and Management
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• 제21권4호
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• pp.97-125
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• 2014

This study investigates the relationship between stock index and its associated nearby futures markets based on the cost-of-carry model. The purpose of this study is to explore the existence of mispriced futures contracts, and to test whether traders can earn trading profits in real financial market using the information about the mispriced futures contracts. This study suggests the concordance correlation coefficient to investigate the existence of mispriced futures contracts. The concordance correlation coefficient gives a desirable result for trading profits that results from a comparative analysis among profits from trading at the time to indicate trading opportunities determined by the degree of the difference between the observed market price and the theoretical price of a futures contract. In addition, this study also explains that the concordance correlation coefficient developed from the mean square error (MSE) has a statistically theoretical meaning. In conclusion, this study shows that the concordance correlation coefficient is appropriate for analyzing the relationship between the observed stock index futures market price and the theoretical stock index futures price derived from the cost-of-carry model.