KOSPI 200 파생상품 거래와 현물시장 내 변동성전이 = KOSPI 200 Derivatives and Volatility Spillover between Stocks in the Spot Market

다국어 초록 (Multilingual Abstract)

We analyze the effect of derivatives trading on the volatility spillover between the stocks which constitute KOSPI 200 and the stocks which do not. In order to investigate the effect of the introduction of derivatives trading the sample period is divided into four sub-periods based on three major events related to derivatives trading in Korean Exchange. In the test we adopt both cross sectional analysis and time series analysis. The results of our study show that 1) there is a volatility spillover between KOSPI 200 stocks and non-KOSPI 200 stocks after the introduction of KOSPI 200 futures. 2) The volatility spillover between KOSPI 200 stocks and non-KOSPI 200 stocks is partially related with the contagion effect between two portfolios. Our result, however, supports the interpretation that investor expectation on the common factors of future market condition which is included in the non- KOSPI 200(or KOSPI 200) stocks could be a main reason of the volatility spillover between two stock portfolios.

참고문헌 (Reference)

1 "한국 주식시장에서의 환위험 프리미엄과 기업 특성" 16 (16): 245-260, 1999

2 "한국 주식시장에서의 주가변동성의 비대칭성에 관한 연구" 13 (13): 129-159, 2000

3 "외국인 거래정보와 주식시장 : 개방 10년의 경험" 16 : 159-192, 2003

4 "and the Role of Circuit Breakers Journal of Business" 443-462, 1991

5 "and the Dispersion of Beliefs Review of Financial Studies" me tility : 77-102, 1993

6 "Will Increased Regulation of Stock Index Futures Reduce Stock Market Volatility? Federal Reserve Bank of Kansas City Economic Review" 33-46, 1990

7 "Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements" 51 (51): 951-986, 1996

8 "Volatility, Volume and the Notion of Balance in the S&P 500 Cash and Futures Markets" 15 : 677-689, 1995

9 "Transmissions of Volatility Between Stock Markets Review of Financial Studies" 5-33, 1990

10 "The Temporal Relationship Between Derivatives Trading and Spot Market Volatility in the UK: Empirical Analysis and Monte Carlo Evidence" 19 : 245-270, 1999

11 "The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index Journal of Finance" 1309-1329, 1987

12 "The Price Variability-Volume Relationship on Speculative Markets" eco (eco): 485-505, 1983

13 "The Price Effect of Option Introduction Journal of Finance" 487-498, 1989

14 "The No-arbitrage Martingale Approach to Timing and Resolution Irrelevancy Journal of Finance" 1-17, 1989

15 "The Effect of Futures Trading on the Stability of Standard and Poor 500 Returns Journal of Futures Markets" 645-658, 1992

16 "The Effect of Futures Market Volume on Spot Market Volatility" 28 : 799-819, 2001

17 "The Case of the Nikkei Stock Index Futures Markets" tility : 201-225, 1994

18 "The Behavior of Prices in the Nikkei Spot and Futures Market Journal of Financial Economics" 363-383, 1989

19 "Stock Index Futures Trading and Volatility in International Equity Markets" 20 : 661-685, 2000

20 "Stock Index Futures Listing and Structural Changes in Time-varying Volatility Journal of Futures Markets" 493-509, 1992

21 "Review of Futures Markets" 442-457, 1990

22 "Review of Financial Studies" 1992199-242

23 "Price Limit Performance: Evidence from the Tokyo Stock Exchange" 52 : 885-901, 1997

24 "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks Journal of Finance" 1779-1801, 1993

25 "KOSPI200의 변동성 추정방법에 따른 VaR 비교 연구" 5 (5): 19-39, 2006

26 "KOSPI200 지수수익률에 대한 옵션내재변동성의 정보효과 및 변동성 전이효과" 5 (5): 41-59, 2006

27 "KOSPI 200 지수선물이 현물주식시장의 유동성 및 변동성에 미친 영향" 15 (15): 1-25, 1998

28 "KOSPI 200 주가지수선물 도입과 주식시장의 비대칭적 변동성" 20 (20): 191-212, 2003

29 "KOSPI 200 선물거래가 현물시장의 정보효율성에 미치는 영향 충격-반응분석을 중심으로" 15 : 107-134, 1998

30 "KOSPI 200 선물거래가 현물시장의 변동성에 미치는 영향" 14 (14): 57-81, 1997

31 "KOSPI 200 선물거래, 주식시장의 변동성 그리고 시장마찰요인" 17 (17): 143-174, 2000

32 "Journal of Political Journal of Econometrics" 143-159, 1976

33 "Journal of Futures Markets" 153-163, 1991

34 "Journal of Finance" 533-553, 1987

35 "Journal of Finance" 1155-1175, 1989

36 "Journal of Business" 1-28, 1993

37 "Information, Trading Demand, and Futures Price Volatility" 37 : 295-316, 2002

38 "Has Futures Trading Activity Caused Stock Price Volatility" 15 : 537-557, 1995

39 "Futures Trading, Spot Market Volatility, and Market Efficiency : The Case of the Korean Index Futures Markets" 24 : 1195-1228, 2004

40 "Futures Trading, Information and Spot Price Volatility : Evidence for the FTSE-100 Stock Index Futures Contract Using GARCH" 19 : 117-129, 1995

41 "Foreign Exchange Risk and Common Stock Returns : A Note on International Evidence" 23 (23): 473-480, 1996

42 "Financial Innovation and the Management and Regulation of Financial Institution" 19 : 461-481, 1995

43 "Evidence from the Japanese Stock Market Journal of Finance" tility : 1765-1791, 1991

44 "Does the Introduction of Futures on Emerging market Currencies Destabilize the Underlying Currencies?" 45 : 486-521, 1998

45 "Does Futures Trading Increase Stock Market Volatility? The Case of the Nikkei Stock Index Futures Markets" 23 : 727-753, 1999

46 "Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility Review of Financial Studies" 507-538, 1994

47 "Diffusion Coefficient Estimation and asset Pricing When Risk Premia and Sensitivities are Time Varying: A Comment" 6 : 111-117, 1996

48 "Diffusion Coefficient Estimation and asset Pricing When Risk Premia and Sensitivities are Time Varying" 85-89, 1993

49 "Correlations in Price Changes and Volatility Across International Stock Markets Review of Financial Studies" 281-307, 1990

50 "Circuit Breakers and Program Trading Limits: What have We Learned" Brookings Institutions Press, Washington DC 17-63, 1998

51 "Brookings Papers on Economic Activity" 125-167, 1989

52 "Automatic Lag Selection in Covariance Matrix Estimation Review of Economic Studies" 631-654, 1994

53 "An Analysis of Volume at Open and Close Journal of Finance" 1765-1784, 1992

54 "A Joint test of Market Segmentation and Exchange Risk Factor in International Capital Markets" 29-49, 1997