본문 바로가기 주메뉴 바로가기
22대 대한민국 국회 국회정보길라잡이 국회의원검색
회원가입 로그인
HOME

정보검색

소장정보 검색

국회도서관 홈으로 정보검색 소장정보 검색

결과 내 검색

동의어 포함

고급검색

인명/단체명

저자정보 상세정보
인명/단체명을 입력하세요.

키워드

  • 대표어

  • 외국어

-

초록보기

This study investigates price anomalies by examining market dynamics and price formation process in derivative markets.

Firstly, we examine the effect of transaction costs on volatility smile phenomenon in option market, one of the famous financial anomalies. In addition, we investigate the effect of transaction costs on parameter estimation, and hedging of options. Using simulations, we document that transaction costs can generate the volatility smile phenomena even in the Black-Scholes economy. Particularly, volatility smile effect is very strong for short-term options and it disappears as the maturity of options becomes longer. Transaction costs cannot reject the true model falsely. All the parameter values that are supposed to be zero are not statistically significant even in the presence of transaction costs. In hedging, the Black-Scholes model performs better than any other model in any case. This may result from the parameter instability of the cross-sectional estimation method.

Secondly, we examine the price effect of information asymmetry and informed investors' preference on option market. To do this, we investigate the information impacts of net buying pressure on implied volatility and the intraday relation between index and option markets, using the intraday data of the KOSPI 200 index option market. We observe that the net buying pressure of call(put) options raises implied volatilities of calls(puts), while the net buying pressure of put(call) options lowers implied volatilities of calls(puts), Moreover, we document that the net buying pressure in the option market leads the stock market return. These results suggest that option traders in the KOSPI 200 index option market are directional traders informed by future index price movement rather than volatility traders informed by future index volatility, and also support the learning hypothesis rather than the limit of arbitrage hypothesis of Bollen and Whaley(2004) on the U.S. option markets.

Thirdly, we investigate the dynamics of returns and order imbalances across the KOSPI 200 cash, futures and option markets, to examine the effect of information and liquidity on market. Although we find some evidence suggesting the liquidity effect in return dynamics, the information effect is more dominant than the liquidity effect in these markets. In addition, we document that returns and order imbalances transmit information across markets. We observe that information seems to be transmitted more strongly from derivative markets to their underlying asset market than from the underlying asset market to their derivative markets.

Finally, we document that domestic institutional investors prefer stocks and futures, domestic individual investors prefer options, and foreign investors prefer stocks relative to other investor groups when they have new information. All investor groups seem to contribute to information transmission. Finally, we examine the underpricing phenomenon of the KTB futures. We examine whether this underpricing phenomenon is caused by using the wrong model to price the futures contracts. We document that the difference between the model price and the market price of KTB futures decreases substantially if the correct term-structure-based model is used to estimate the model price of KTB futures. In addition, even though the underpricing phenomenon can be exploited to generate some trading profits, the profits cannot be regarded as arbitrage profits. Thus, we believe that the underpricing phenomenon is illusory, and that much of it can be attributed to the wrong model being used in industry.

추천서가 (다양한 추천 자료를 만나보세요)

권호기사보기

권호기사 목록 테이블로 기사명, 저자명, 페이지, 원문, 기사목차 순으로 되어있습니다.
기사명 저자명 페이지 원문 기사목차

권호

기사명 원문보기 기사목차
닫기