내재확률분포의 정보유용성에 관한 실증연구- KOSPI 200 지수옵션시장을 중심으로 -

This study investigates the usefulness of the risk-neutral distributions implied by the KOSPI 200 index options in the view of information content. Specifically, the implied distributions for the KOSPI 200 index are estimated by finite difference method using at-the-money and out-of-the money options data for the period from January 1998 to December 2003. Although arbitrage relation exists between underlying market and option market, previous studies did not consider the relation. Therefore, to test interrelation between two markets, coefficient of cross correlation and Granger causality test using vector autoregressive models are used during the period of the entire sample. The estimation results show that (1) option market has interrelation internally and (2) the implied mean and standard deviation Granger causes (absolute) changes in stock prices and implied excess kurtosis Granger causes absolute changes in stock prices. (3) (absolute) changes in stock prices Granger causes the implied mean and standard deviation. Because the above Granger relation might be sensitive across sub sample, we conduct rolling regressions on the aforementioned VAR models with sub samples of 180 business days' data in order to check the robustness of Granger causality over time. The results show that the above Granger relation are highly sensitive to the choice of sample period.