파생상품시장 도입이 현물시장의 기본적 변동성과 일시적 변동성에 미치는 영향

Volatility may be defined as the sum of fundamental volatility caused by information arrival and transitory volatility caused by noise trading. This study decomposes the observed KOSPI200 volatility into fundamental volatility and transitory volatility using Kalman filtering method. This study investigates the effects of the introduction of derivatives on the KOSPI200 volatility. Most studies investigates the effect on the observed volatility. In contrast to other studies, this study investigates the effect on the fundamental volatilty and transitory volatility individually. The sample period is devided into two sub-periods, before the introduction of derivatives (period A, 1990.1.3 ∼ 1996.5.2), after the derivatives (period B : 1996.5.3 ∼ 1997.10.31). Analysis showed that observed volatility is increased significantly at 5% level, fundamental volatility is increased at 10% level, and transitory volatility is increased significantly at 5% level. In particular, transitory volatility is increased more significantly than fundamental volatility. This means that noise trading by irrational investors is increased.