KOSPI200 지수수익률에 대한 옵션내재변동성의 정보효과 및 변동성 전이효과 = The Information Content and Volatility Transfer Effect of Implied Volatility on KOSPI200 Returns

다국어 초록 (Multilingual Abstract)

This paper tests if implied volatility of options has any incremental information content on KOSPI200 excess returns and if implied volatility has volatility transfer effect on KOSPI200 excess returns. Granger causality test, Impulse-Response test, MA(1), ARMA(1,1), GARCH(1,1), and EGARCH(1,1) are used for empirical tests. Granger causality test shows that implied volatility and KOSPI200 returns provide the causes of change each other, and that implied volatility has stronger impact on KOSPI200 returns. Impulse- Response test shows that the reciprocal impact between implied volatility of options and KOSPI200 return is so weak. On the other hand, the persistency of impact within the options market is very strong, which suggests that most options traders take speculative position in the options market without covered position in the spot market. Tests by MA(1) and ARMA(1,1) reveal that implied volatility has incremental information content on KOSPI200 returns with enough statistical significance. GARCH(1,1) and EGARCH(1,1) reveal that implied volatility has volatility transfer effect on KOSPI200 returns with enough statistical significance.

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