A further look at transaction costs, short sale restrictions, and futures market efficiency The case of Korean stock index futures
Gay and Jung
The Journal of Futures Markets, Vol. 19, No. 2, 153–174 (1999)
gay和jung进一步发展了cost of carry模型，更好地计算了股指期货的理论价格和套利边界。研究股指期货不可不看之著作。
Persistent underpricing in the Korean stock index futures market is
documented and alternative explanations are examined. No-arbitrage
pricing bands are computed using alternative sets of transaction costs
and short sale restrictions faced by different investor groups.We find
that a substantial portion of the mispricing can be explained by these
factors, though a high incidence of mispricing remains after accounting
for costs faced by the marginal trader group—the KSE exchange
members. We also observe frequent underpricing of futures during
periods of downward market trends. This is attributed in part because
of unique restrictions on short sales and accounting conventions in
the Korean market. In addition, tests of alternative futures pricing
models are conducted that provide mixed results. Though we do not
reject the standard cost-of-carry model, an equilibrium pricing model
provides reasonable explanatory power. Further, use of the cost-ofcarry
model does not appear to be driving the findings of persistent
underpricing.