거래승수 인상이 KOSPI 200 옵션시장의 가격발견기능에 미치는 효과 (Increase of Option Multiplier and Price Discovery in KOSPI 200 Spot and Option Markets)

31 Pages Posted: 11 Aug 2017 Last revised: 9 Jan 2019

See all articles by Woo-Baik Lee

Woo-Baik Lee

Korea Open University

Cheoljun Eom

Pusan National University - College of Business

Jong Won Park

University of Seoul

Date Written: December 31, 2014

Abstract

Korean Abstract: 본 연구는 KOSPI200 옵션의 거래승수 인상이 옵션시장의 가격발견기능에 미치는 영향을 분석한다. 풋-콜 패리티로부터 도출된 KOSPI200 내재지수와 현물지수로 구성된 벡터오차수정모형을 이용한 주요 분석결과는 다음과 같다. 첫째, 내재지수와 현물지수간 괴리도는 승수 인상 전에 비해 인상 후에 감소하여 가격형성의 효율성이 개선되었다. 둘째, 승수 인상 후 옵션시장으로부터 현물시장으로의 정보이전과 가격발견의 주도력이 강화되었다. 셋째, 인상 후 기간에 옵션시장이 가진 현물가격 발견의 주도력은 거래량이 높은 표본에서는 강하게 상승했지만, 거래량이 낮은 표본에서는 옵션가격이 현물가격 변동에 후행하는 경향을 보였다. 이러한 결과는 승수 인상으로 인한 유동성 위축에도 불구하고, 승수 인상 전까지 KOSPI200 옵션시장에서 가격발견의 효율성을 저해하는 요인으로 상당한 비중을 차지했던 투기적(노이즈) 거래가 인상 후에 급감한 결과 옵션시장의 현물가격 발견기능이 활성화된 것으로 해석할 수 있다.

English Abstract: To mitigate the problems related to the excessive speculation and high participation of retail investors in the KOSPI 200 options market, the Financial Services Commission raised the option multiplier for KOSPI 200 options to KRW500,000 equal to five times prior multiplier since March 9, 2012. The implementation of new multiplier induced radical shrinkage of liquidity in KOSPI 200 options market. This paper examines the effect of the increase of option multiplier on the price discovery functions in KOSPI 200 spot and option markets. An implied KOSPI 200 index is derived from the put-call parity relationship for index options and VECM with KOSPI 200 spot and implied indexes is applied.

The main results are summarized as follows:

(1) the difference between the implied and spot index, which measures an arbitrage opportunity, was decreased during the period of new multiplier. This result means that the efficiency of price discovery in KOSPI 200 options market was enhanced after the increase of option multiplier.

(2) The option market leads more strongly the spot market in the price discovery process during the period of new multiplier,

(3) the dominant role of option market in the price discovery process is more strong in the high liquidity sample rather than the low liquidity sample, and

(4) the convergence process of temporary put-call parity violations to the parity relationship is more activated during the new multiplier period, and the dominant role of option market is closely related with this convergence process.

Overall the results show that increase of option multiplier positively contributes to the price discovery of KOSPI 200 options market even though sharp shrinkages in liquidity due to new multiplier.

Note: Downloadable document is available in Korean.

Keywords: 거래승수, KOSPI200옵션, 가격발견, 풋-콜 패리티, 차익거래, 유동성, Option Multiplier, KOSPI 200 Option, Put-Call Parity, Price Discovery, Liquidity

JEL Classification: G12, G13

Suggested Citation

Lee, Woo-Baik and Eom, Cheoljun and Park, Jong Won, 거래승수 인상이 KOSPI 200 옵션시장의 가격발견기능에 미치는 효과 (Increase of Option Multiplier and Price Discovery in KOSPI 200 Spot and Option Markets) (December 31, 2014). Financial Stability Studies, Vol. 15, No. 2, Korea Deposit Insurance Corporation(KDIC), 2014, pp. 129-159.. Available at SSRN: https://ssrn.com/abstract=3016278 or http://dx.doi.org/10.2139/ssrn.3016278

Woo-Baik Lee (Contact Author)

Korea Open University ( email )

86 Daehak-ro
Jongno-gu
Seoul
Korea

Cheoljun Eom

Pusan National University - College of Business ( email )

Changjundong san 30
Kumjungku, Pusan, PN:609-735

Jong Won Park

University of Seoul ( email )

Seoul
Korea, Republic of (South Korea)

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