The Determinants of the KOSPI200 Index Option Returns
This study examines the effects of crisis-related factors on the returns of KOSPI200 index options using a factor model, which was introduced by Constantinides, Jackwerth and Savov (2013). Three factors incorporating price jumps, changes in volatility, and volatility jumps are considered as the cris...
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Published in | Seonmul yeongu (Online) Vol. 24; no. 1; pp. 65 - 96 |
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Main Author | |
Format | Journal Article |
Language | English |
Published |
Bingley
Emerald Group Publishing Limited
29.02.2016
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Subjects | |
Online Access | Get full text |
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Summary: | This study examines the effects of crisis-related factors on the returns of KOSPI200 index options using a factor model, which was introduced by Constantinides, Jackwerth and Savov (2013). Three factors incorporating price jumps, changes in volatility, and volatility jumps are considered as the crisis-related factors. With the data for the period from 2004 to 2015, we find followings : First, most of the crisis-related factor premia are statistically significant, and their signs are consistent with those expected. Second, these crisis-related factors contribute to improve the understanding of the cross-sectional variation in KOSPI200 index option returns. Third, the crisis-related factor premia became much more significant after the global financial crisis in 2008. Finally, our empirical findings are robust to whether the long options and the in-the-money options are included in the sample or not, and to whether the factor premia are constrained to equal the corresponding premia estimated from the cross-section of equities. |
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ISSN: | 1229-988X 2713-6647 |
DOI: | 10.1108/JDQS-01-2016-B0003 |