Common deviation and regime-dependent dynamics in the index derivatives markets
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Lee, Jaeram | - |
dc.contributor.author | Kang, Jangkoo | - |
dc.contributor.author | Ryu, Doojin | - |
dc.date.available | 2021-03-09T07:40:15Z | - |
dc.date.created | 2021-03-09 | - |
dc.date.issued | 2015-06 | - |
dc.identifier.issn | 0927-538X | - |
dc.identifier.uri | https://scholarworks.bwise.kr/gachon/handle/2020.sw.gachon/80351 | - |
dc.description.abstract | We analyze high-quality intraday data for KOSPI 200 futures and options to examine a common deviation and regime-dependent price dynamics in the index derivatives markets according to reliability of the common deviation. We find common deviation in the futures and options markets. In terms of the dynamics of asset prices and trading volumes, the linkage between the derivatives (i.e., futures and options) markets is stronger than the relationship between the underlying stock market and the derivatives markets. Whereas the deviations between the derivatives markets and the stock market exhibit an inverted U-shaped intraday pattern, the pattern of the deviation between futures and options markets is relatively flat. The deviations between the derivatives markets and the stock market are tied to trading activities in the same direction. When we identify regimes based on the difference between deviations in derivatives markets, defined as the relative deviation, the common deviation is significantly corrected only when the relative deviation is moderate. Although the stock market does not lead the derivatives markets when the relative deviation is mild, there is a bi-directional information flow between the derivatives markets and the stock market with extreme relative deviation. The result is still consistent in subsample analysis, though we find the informational effect of stocks becomes faint over time. A sudden change in the relative deviation is induced by options trading rather than futures trading. (C) 2015 Elsevier B.V. All rights reserved. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.relation.isPartOf | PACIFIC-BASIN FINANCE JOURNAL | - |
dc.title | Common deviation and regime-dependent dynamics in the index derivatives markets | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.description.journalClass | 1 | - |
dc.identifier.wosid | 000356737600001 | - |
dc.identifier.doi | 10.1016/j.pacfin.2015.02.001 | - |
dc.identifier.bibliographicCitation | PACIFIC-BASIN FINANCE JOURNAL, v.33, pp.1 - 22 | - |
dc.description.isOpenAccess | N | - |
dc.identifier.scopusid | 2-s2.0-84925965361 | - |
dc.citation.endPage | 22 | - |
dc.citation.startPage | 1 | - |
dc.citation.title | PACIFIC-BASIN FINANCE JOURNAL | - |
dc.citation.volume | 33 | - |
dc.contributor.affiliatedAuthor | Lee, Jaeram | - |
dc.type.docType | Article | - |
dc.subject.keywordAuthor | Intraday analysis | - |
dc.subject.keywordAuthor | KOSPI 200 futures and options | - |
dc.subject.keywordAuthor | Mispricing | - |
dc.subject.keywordAuthor | Price dynamics | - |
dc.subject.keywordAuthor | Regime-dependent model | - |
dc.subject.keywordPlus | ORDER-SPLITTING STRATEGY | - |
dc.subject.keywordPlus | PUT-CALL PARITY | - |
dc.subject.keywordPlus | STOCK INDEX | - |
dc.subject.keywordPlus | PRICE DISCOVERY | - |
dc.subject.keywordPlus | INFORMATION-CONTENT | - |
dc.subject.keywordPlus | ERROR-CORRECTION | - |
dc.subject.keywordPlus | TRADE DIRECTION | - |
dc.subject.keywordPlus | HONG-KONG | - |
dc.subject.keywordPlus | FUTURES | - |
dc.subject.keywordPlus | OPTIONS | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
1342, Seongnam-daero, Sujeong-gu, Seongnam-si, Gyeonggi-do, Republic of Korea(13120)031-750-5114
COPYRIGHT 2020 Gachon University All Rights Reserved.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.