장외 개별주식옵션의 내재변동성 결정요인에 관한 실증분석

This paper investigates the determinants of the implied volatility on individual equity options traded in the Korean OTC market from 2005 to 2013 following the model suggested by Copeland et al. (2000). We research firm internal variables and extrinsic variables for the determinants. For the firm internal variables, we include the duration of cash flows, inflation indexation of cash flows, leverage ratio, fixed-rate debt ratio, and interest rate volatility. Also as the firm extrinsic variables, we include the volatility of the rate on traded certificate of deposits (CDs) and bid-offer spread. Our model suggests that the duration of cash flow, interest rate volatility, and bid-offer spread are significant and positive explaining variables in determining the implied volatilities of the individual stock options. However, in case of inflation indexation, leverage ratio and fixed-rate debt ratio, they show lack of robustness because they reveal different results from each regression models. We also study the impacts of the determinants to the implied volatilities of the individual stock options classifying periods as before, during, and after the global financial crisis and show that the model has the highest explanatory power for the implied volatilities during the global financial crisis.