• The Korean Journal of Financial Management
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• v.18 no.1
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• pp.129-156
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• 2001

본 연구는 1997년 11월 1일부터 1998년 9월 20일까지의 5분 단위로 측정된 거래 자료를 이용하여, KOSPI 200 선물시장, KOSPI 200 옵션시장 및 KOSPI 200 주가지수간의 선도/지연관계를 실증 분석하였다. 분석방법은 다양한 시계열 분석방법들을 이용하였으며 주요 결과는 다음과 같다. 첫째, 선물시장은 현물시장을 25분간 선도하였으며, 현물시장도 선물시장을 10분 정도 선도하였다. 둘째, 옵션시장도 현물시장을 약 20분간 선도하며, 약하지만 현물시장도 옵션시장을 5분에서 10분 가량 선도하였다. 셋째, 선물시장은 옵션시장을 20여분간 강하게 선도하였고, 옵션시장도 선물시장을 5분 정도 선도하였다. 넷째, 거래량이 적고 변동성이 높은 경우 선도/지연관계의 차이가 존재하는 것으로 나타났다. 다섯째, 옵션의 외가격과 등가격에 따른 시장간의 선도/지연관계의 분석결과 주가지수, 선물, 옵션의 선도/지연관계는 등가격과 외가격옵션에서 거의 비슷하게 나타났지만 등가격에서 현물에 대한 선물과 옵션시장의 선도효과가 강하게 나타났다.

• The Korean Journal of Financial Studies
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• v.7 no.1
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• pp.133-152
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• 2001

본 연구에서는 KOSPI 200 옵션과 KOSPI 200 선물의 상대적 가격 형성이 적정하게 이루어지고 있는가를 검증하였으며, KOSPI 200 옵션시장과 KOSPI 200 선물시장 사이의 상대적인 가격불균형을 이용한 차익거래(arbitrage) 기회 빈도 및 차익거래 수익성에 대한 실증분석을 시행하였고, 사후적(ex-post) 차익거래 수익성, 사전적(ex-ante) 차익거래 수익성, 동태적 차익거래 수익성에 대한 분석을 시행하였다. 분석기간 중 KOSPI 200 옵션시장과 선물시장 사이의 가격불균형을 이용한 차익거래 기회가 한국증권거래소 회원사에게 빈번하게 발생하였다. 한국증권거래소 비회원사의 경우에는 전체 관측도수 중 14.8%의 경우에만 차익거래 기회가 존재하였고 사후적 차익거래 이익 평균은 0.229이었으며, 한국증권거래소 회원사의 경우에는 61.8%의 경우에 차익거래 기회가 존재하였고 사후적 차익거래 이익 평균은 0.140이었다. 사전적 차익거래 수익성 분석 결과 한국증권거래소 비회원사의 경우에는 사전적 차익거래 이익 평균은 0.149이었으며, 한국증권거래소 회원사의 경우에는 사전적 차익거래 이익 평균이 0.121로 나타나 사후적 차익거래 이익 평균에 비하여 낮은 수준을 나타냈다. 동태적 차익거래 수익성 분석 결과 한국증권거래소 비회원사의 경우에는 동태적 차익거래 이익 평균은 0.561이었으며, 한국증권거래소 회원사의 경우에는 동태적 차익거래 이익 평균은 0.265로 나타나 동태적 차익거래 전략이 효과적으로 이용될 수 있는 차익거래 전략임을 보여주었다.

• The Korean Journal of Financial Management
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• v.22 no.1
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• pp.71-91
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• 2005

The object or this paper is to analyze the rollover effect on KOSPI 200 index option prices. Especially we analyze the implied volatilities of the options that became the near maturity options as the old one expired. For this analysis, a panel data of KOSPI 200 Index Option Prices from year 1999 to year 2001 were used, and following results were obtained. First, after controlling for the underlying index returns, strike prices and other pricing factors, the call option prices tend to decrease while the put option prices tend to increase during the week of expiry. Second, if one concentrates on the daily price changes, call option prices tend to go up on Thursday (as the old options expire), and then experience a price decrease on the following day, while the reverse is true for the put options. These results imply that the option prices are affected by some of the market micro-structure effects such as whether the option is the near maturity option. We conjecture that the reason for this is related to the undervaluation of KOSPI 200 futures. The results from this paper have implications on the timing of option trades. If one wants to buy put options, and/or sell call options, he has better off by executing his intended trades before the old options expire. On the other hand, if one wants to buy call options, and/or sell put options, hi has better off by executing his intended trades after the expiry.

• Management & Information Systems Review
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• v.36 no.3
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• pp.37-49
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• 2017

This study investigates the dynamic relationship between KOSPI200 stock index and stock index futures and stock index option markets which is its derived from KOSPI200 stock index. We use 5-minutes rate of return data from 2012. 06 to 2014. 12. To empirical analysis, this study use autocorrelation and cross-correlation analysis as a preliminary analysis and then following Stoll and Whaley(1990) and Chan(1992), the multiple regression is estimated to examine the lead-lag patterns between the stock index and stock index futures and option markets by Newey and West's(1987) Empirical results of our study shows as follows. First, there exist a strong autocorrelation in the KOSPI200 stock index before 10minutes but a very weak autocorrelation in the stock index futures and option markets. Second, there is a strong evidence that stock index future and option markets lead KOSPI200 stock index in the cross-correlation analysis. Third, based on the multiple regression, the stock index futures and option markets lead the stock index prior to 10-15 minutes and weak evidence that the stock index leads the future and option markets. This results show that the market efficient of KOSPI200 stock index market is improved as compared to the early stage of stock index future and option market.

• The Korean Journal of Financial Management
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• v.25 no.2
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• pp.69-101
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• 2008

We empirically investigate the option leverage property that should be priced under much more general conditions than the Black-Scholes assumptions and the option redundancy property that is based on the assumption that the underlying asset price follows a one-dimensional diffusion process and examine the systematic risk factors implied in the return dynamics of KOSPI 200 index options. We find that the option leverage pattern is similar to the theoretical result but the options are not redundant securities and in the nonlinear structure of option payoffs, the traders of KOSPI 200 index options price the systematic higher-moments and the negative volatility risk premium significantly affects delta-hedged gains, even after accounting for jump fears. But the empirical evidence on jump risk preference is less conclusive.

• The Korean Journal of Applied Statistics
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• v.24 no.1
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• pp.83-92
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• 2011

This paper examines empirically Durham's (2008) asset pricing models to the KOSPI200 index. This model Incorporates the VKOSPI index as a proxy for 1 month integrated volatility. This approach uses option prices to back out implied volatility states with an explicitly speci ed risk-neutral measure and risk premia estimated from the data. The application uses daily observations of the KOSPI200 and VKOSPI indices from January 2, 2003 to September 24, 2010. The empirical results show that non-affine model perform better than affine model.

• KDI Journal of Economic Policy
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• v.25 no.2
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• pp.137-170
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• 2003

Despite the great success of the derivatives market, several concerns were expressed regarding the additional volatilitystemming from program trading during the expiration of derivatives. This paper examines the impact of the expiration of the KOSPI 200 index derivatives on cash market of Korea Stock Exchange(KSE). The KOSPI 200 index derivatives market has a unique settlement price determination process. The settlement price for the expiration of derivatives is determined by call auction during the last 10 minutes after the trades for matured derivatives are finalized. We analyze typical expiration day effects such as price, volatility, and volume effects. With high frequency data, we find that there are strong expiration day effects in the KSE and try to interpret the results with the unique settlement procedures of the KOSPI 200 cash and derivatives markets.

• Journal of the Korea Institute of Information and Communication Engineering
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• v.26 no.10
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• pp.1423-1431
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• 2022

Volatility is one of the variables that the Black-Scholes model requires for option pricing. It is an unknown variable at the present time, however, since the option price can be observed in the market, implied volatility can be derived from the price of an option at any given point in time and can represent the market's expectation of future volatility. Although volatility in the Black-Scholes model is constant, when calculating implied volatility, it is common to observe a volatility smile which shows that the implied volatility is different depending on the strike prices. We implement supervised learning to target implied volatility by adding V-KOSPI to ease volatility smile. We examine the estimation performance of KOSPI200 index options' implied volatility using various Machine Learning algorithms such as Linear Regression, Tree, Support Vector Machine, KNN and Deep Neural Network. The training accuracy was the highest(99.9%) in Decision Tree model and test accuracy was the highest(96.9%) in Random Forest model.

• Journal of the Korean Data and Information Science Society
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• v.25 no.3
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• pp.513-522
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• 2014

Using the assumption that the price of a stock follows a geometric Brownian motion with constant volatility, Black and Scholes (BS) derived a formula that gives the price of a European call option on the stock as a function of the stock price, the strike price, the time to maturity, the risk-free interest rate, the dividend rate paid by the stock, and the volatility of the stock's return. However, implied volatilities of BS method tend to depend on the stock prices and the time to maturity in practice. To address this shortcoming, we estimate the implied volatility function as a function of the strike priceand the time to maturity for data consisting of the daily prices for KOSPI200 call options from January 2007 to May 2009 using support vector regression (SVR), the multiple additive regression trees (MART) algorithm, and ordinary least squaress (OLS) regression. In conclusion, use of MART or SVR in the BS pricing model reduced both RMSE and MAE, compared to the OLS-based BS pricing model.

• The Korean Journal of Financial Management
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• v.16 no.2
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• pp.309-335
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• 1999

본 연구는 KOSPI 200 선물을 이용하여 옵션복제방식에 의한 포트폴리오 보험전략을 구축하고 KOSPI 200 지수와 KOSPI 200 구성주식의 일부로 이루어지는 개별 포트폴리오들을 대상으로 실증분석을 하였다. 본 연구의 결과에 의하면, 포트폴리오 보험전략의 성과는 헤지의 대상이 되는 현물포트폴리오별, 보험수준별, 재조정 기준별로 차이가 있는 것으로 나타났다. KOSPI 200 지수포트폴리오에 대한 헤지는 대체로 약세시장에서 포트폴리오 가치하락을 감소시키면서 시세상승에 편승할 수 있는 것으로 나타났다. KOSPI 200 구성주식의 일부로 이루어진 포트폴리오에 대한 헤지는 수익성이 높고 베타값이 높으면서 시가총액이 큰 제조업이나 전기통신업에 속하는 기업의 주식으로 포트폴리오가 구성되었을 때 대체로 헤지성과가 높았다. 또한 KOSPI 200 지수포트폴리오는 보험수준을 낮게 할수록 헤지성과가 높은 것으로 나타난 반면, KOSPI 200 구성주식의 일부로 이루어진 포트폴리오의 경우에는 보험수준과 헤지성과간의 관계가 일정치가 않았다. 재조정 기준별로는 3% 재조정 기준을 적용하였을 때 헤지성과가 가장 높았으며, 가장 빈번하게 재조정을 해야하는 일별 재조정 기준에 의할 경우는 거래비용이 상대적으로 높았다.