Question
On 2020/04/10, KOSPI 200 Futures with the June expiry (2020-06-11) is trading at 247.10, while the underlying KOSPI 200 Index is trading at 248.00. This
On 2020/04/10, KOSPI 200 Futures with the June expiry (2020-06-11) is trading at 247.10, while the underlying KOSPI 200 Index is trading at 248.00.
This situation where the spot price is higher than the futures price is termed backwardation.
On 2020/04/10, the risk-free rate (i.e., 3 months CD rate in Korea) is 1.10% per annum.
If no arbitrage opportunity exists, what is the implied dividend yield of the KOSPI 200 Index? Is it too high or too low? Discuss.
Also discuss any related market conditions that help explain the observed backwardation phenomenon.
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Auditing Cases An Interactive Learning Approach
Authors: Mark S. Beasley, Frank A. Buckless, Steven M. Glover, Douglas F. Prawitt
5th International Edition
0132815591, 9780132815598
