IS VOLATILITY RISK PRICED IN THE KOSPI 200 INDEX OPTIONS MARKET?

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The negative volatility risk premium is understood as a result for a hedging demand against market declines. Although this negative volatility risk premium is observed in most index options markets, there are some doubts about its presence in the KOSPI 200 index options market. The majority of KOSPI 200 index option holders do not possess any position in the underlying market; the composition of trading groups of the KOSPI 200 index options significantly differs from that of its underlying index; in this circumstance, the presence of a hedging demand is questionable. This study shows that volatility risk does not require a premium in the KOSPI 200 index options market. Rather, jump fears influence KOSPI 200 options. (C) 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:797-825, 2009
Publisher
JOHN WILEY & SONS INC
Issue Date
2009-09
Language
English
Article Type
Article
Keywords

STOCK RETURNS; IMPLICIT; CRASH; JUMPS

Citation

JOURNAL OF FUTURES MARKETS, v.29, no.9, pp.797 - 825

ISSN
0270-7314
DOI
10.1002/fut.20386
URI
http://hdl.handle.net/10203/98834
Appears in Collection
MT-Journal Papers(저널논문)
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