KOSPI200주가지수 콜옵션시장에서의 가격발견기능 연구

This paper studies the price discovery between Korean option and stock markets. For this purpose we employed the intraday 30 minutes KOSPI200 call option and KOSPI200 stock index markets during the sample period covering from March 23, 2009 to July 31, 2018. We estimated Johansen co-integration test, Granger causality test and Bollerslev(1986) GARCH(1,1)-M models and the major empirical results are as follows; First, the level variables and returns of KOSPI200 call option and spot markets are all stationary. We also find that there is a co-integration relation between the two level variables of KOSPI200 call and cash prices with a significant level. Second, there is a bilateral information transmission between KOSPI200 call option and cash markets. However, the influence from KOSPI200 call option market to spot market is relatively more strong than the vice versa. Third, according to the GARCH(1,1)-M, there is a bilateral conditional mean and volatility spillover effects between KOSPI200 call option and cash markets with a statistically significant level. From these empirical results we infer that the KOSPI200 call option market is performing the price discovery function very well and in terms of information efficiency aspects, the KOSPI200 call option market is relatively more efficient than the KOSPI200 spot market.