Abstract
This paper investigates the lead-lag relationship between the call-put options open interest value ratio and the KOSPI 200 Index returns. In addition, we tried to find whether the open interest value ratio has the information contents about KOSPI 200 Index return. When estimating call-put options open interest value ratio, we use Chen, Lung, and Tay (2005, 2009) models. The sample period covers from January 5, 1998 to December 28, 2006 with the closing price returns of KOSPI 200 Index and the open interest of the KOSPI 200 options. We use statistical methodology such as VAR (vector autoregressive model), Granger causality test, impulse response and variance decomposition model for the dynamic empirical tests.
Followings are the major findings and implications drawn from the empirical analysis of the Korean options market. Most previous researches claims that options open interest can provide the information contents to estimate the KOSPI 200 spot price movement. However, unlike the results of most previous researches, we found that the call-put options open interest value ratio does not have the information contents predicting the KOSPI 200 index return where as KOSPI 200 spot price leads the call-put options open interest value ratio.
Keywords
Citation
Kim, S. and Park, H.-H. (2012), "Information Contents of Open Interest Value Ratio about KOSPI 200 Index Return", Journal of Derivatives and Quantitative Studies: 선물연구, Vol. 20 No. 1, pp. 65-100. https://doi.org/10.1108/JDQS-01-2012-B0003
Publisher
:Emerald Publishing Limited
Copyright © 2012 Emerald Publishing Limited
License
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