Earticle

초록

영어

In this paper, we examine whether greater option-trading activity (volume and open interest) is associated with greater stock market volatility using a regime-switching GARCH model. We first partition KOPSI 200 option volume and open interest into expected, unexpected, and moving average components to highlight how differently stock market volatility is related to forecastable optiontrading activity and unexpected (informed) option volume. Next, we classify option-trading activity based on moneyness to study how each class is related to stock market volatility. Further, we partition stock market into volatile and stable regimes to investigate how informed option traders react differently in the option market according to the state of the stock market. Empirical results show that informed traders prefer to highly leveraged option in volatile market, while they prefer to relatively less leveraged options in stable market.

목차

Abstract
 I. INTRODUCTION
 II. EMPIRICAL METHODS
  A. The GARCH model
  B. The Regime-Switching GARCH model
 III. DATA DESCRIPTION
 IV. EMPIRICAL RESULTS AND THEIR INTERPRETATION
 V. CONCLUSION
 References
 FIGURE
 TABLE

키워드

저자

• Ki Yool Ohk [ Department of Business Administration, Pusan National University, Korea ]
• Woo Ae Jang [ Department of Business Administration, Pusan National University, Korea ]
• Yong H. Kim [ Department of Finance, University of Cincinnati, Cincinnati, OH 45221-0195 ] Corresponding author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330