원문정보
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
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
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