IS VOLATILITY RISK PRICED IN THE KOSPI 200 INDEX OPTIONS MARKET?

被引：5

作者：

Yoon, Sun-Joong ^{[1
]}

Byun, Suk Joon ^{[2
]}

机构：

[1] Hallym Univ, Dept Finance, Chunchon 200702, Gangwon Do, South Korea

[2] Korea Adv Inst Sci & Technol, Sch Business, Taejon, South Korea

来源：

JOURNAL OF FUTURES MARKETS | 2009年 / 29卷 / 09期

关键词：

STOCK RETURNS; IMPLICIT; CRASH; JUMPS;

D O I：

10.1002/fut.20386

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The negative volatility risk premium is understood as a result for a hedging demand against market declines. Although this negative volatility risk premium is observed in most index options markets, there are some doubts about its presence in the KOSPI 200 index options market. The majority of KOSPI 200 index option holders do not possess any position in the underlying market; the composition of trading groups of the KOSPI 200 index options significantly differs from that of its underlying index; in this circumstance, the presence of a hedging demand is questionable. This study shows that volatility risk does not require a premium in the KOSPI 200 index options market. Rather, jump fears influence KOSPI 200 options. (C) 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:797-825, 2009

引用

页码：797 / 825

页数：29

共 50 条

[1] Derivation and analysis of volatility index in the KOSPI200 options market
Lee, JH
Chung, JR
[J]. ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, 2006, 35 (02): : 109 - 138
[2] COMPARISON OF STOCHASTIC VOLATILITY MODELS: EMPIRICAL STUDY ON KOSPI 200 INDEX OPTIONS
Moon, Kyoung-Sook
Seon, Jung-Yon
Wee, In-Suk
Yoon, Choongseok
[J]. BULLETIN OF THE KOREAN MATHEMATICAL SOCIETY, 2009, 46 (02) : 209 - 227
[3] INFORMED TRADING IN THE INDEX OPTION MARKET: THE CASE OF KOSPI 200 OPTIONS
Ann, Hee-Joon
Kang, Jangkoo
Ryu, Doojin
[J]. JOURNAL OF FUTURES MARKETS, 2008, 28 (12) : 1118 - 1146
[4] Option Implied Tail Index and Volatility Based on Heavy-tailed Distributions: Evidence from KOSPI 200 Index Options Market
Kim, Joocheol
Kim, Hyun-Oh
[J]. GLOBAL ECONOMIC REVIEW, 2014, 43 (03) : 269 - 284
[5] The Function of Intraday Implied Volatility in the KOSPI200 Options
Kwon, Sang Soo
Lee, Jae Ha
[J]. ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, 2008, 37 (05) : 913 - 948
[6] Is volatility risk priced in the securities market? Evidence from S&P 500 index options
Arisoy, Yakup Eser
Salih, Aslihan
Akdeniz, Levent
[J]. JOURNAL OF FUTURES MARKETS, 2007, 27 (07) : 617 - 642
[7] No-arbitrage implied volatility functions: Empirical evidence from KOSPI 200 index options
Kim, Namhyoung
Lee, Jaewook
[J]. JOURNAL OF EMPIRICAL FINANCE, 2013, 21 : 36 - 53
[8] Market Reform and Efficiency: The Case of KOSPI200 Options
Yang, Heejin
Ryu, Doojin
Ryu, Doowon
[J]. EMERGING MARKETS FINANCE AND TRADE, 2018, 54 (12) : 2687 - 2697
[9] Stock market volatility and trading activities in the KOSPI 200 derivatives markets
Kim, MH
Kim, GR
Kim, M
[J]. APPLIED ECONOMICS LETTERS, 2004, 11 (01) : 49 - 53
[10] The KOSPI200 implied volatility index: Evidence of regime switches in volatility expectations
Maghrebi, Nabil
Kim, Moo-Sung
Nishina, Kazuhiko
[J]. ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, 2007, 36 (02) : 163 - 187

← 1 2 3 4 5 →