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Volatility Information Trading in the Option Market : 한국 인덱스 옵션 거래와 변동성에 관한 정보의 영향력에 관한 연구
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- Authors
- Advisor
- 석승훈
- Major
- 경영대학 경영학과
- Issue Date
- 2015-02
- Publisher
- 서울대학교 대학원
- Description
- 학위논문 (석사)-- 서울대학교 대학원 : 경영학과, 2015. 2. 석승훈.
- Abstract
- This paper examines volatility information traded in the Korean index option market. The net volatility demand of domestic individual investors in the KOSPI200 index option trading volume contains private information of the next-day KOSPI200 realized volatility, even after controlling for implied volatility and directional information. One-day impact on option price is slightly positive and significant. The study also observes the strength of net volatility demand prior to pre-scheduled macroeconomic news when information asymmetry is high. Although there exists significant and positive impact on that day, its impact does not continue the next day nor information asymmetry model is not observed.
- Language
- English
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