Vega-informed trading and options market reform

被引：8

作者：

Ryu, Doojin ^{[1
]}

Ryu, Doowon ^{[2
]}

Yang, Heejin ^{[3
]}

机构：

[1] Sungkyunkwan Univ, Coll Econ, Seoul, South Korea

[2] Korea Univ, Business Sch, Seoul, South Korea

[3] Dongguk Univ, Dept Global Econ & Commerce, Gyeongju Campus, Gyeongsangbuk Do, South Korea

来源：

APPLIED ECONOMICS LETTERS | 2020年 / 27卷 / 01期

关键词：

KOSPI200; options; Market microstructure; Market reform; Vega information; Volatility trading; VOLATILITY INFORMATION;

D O I：

10.1080/13504851.2019.1606399

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study examines the effect of reform to the KOSPI200 options market on volatility trading. We find that the information quality of net volatility demand significantly changes after the reform. The overall options demand for volatility does not predict spot market volatility before the market reform, but it does so after the reform. The significant information content of volatility trading can be attributed to the vega-weighted net demand of institutional investors.

引用

页码：19 / 24

页数：6

共 12 条

[1]

[Anonymous], 1988, STUDENTS PARTIAL SOL

[2] Information content of options trading volume for future volatility: Evidence from the Taiwan options market [J].