An Empirical Analysis of the Implied Volatility Bias in KOSPI200 Index Options
KCI
- Title
- An Empirical Analysis of the Implied Volatility Bias in KOSPI200 Index Options
- Authors
- Kim, Kwanho; Hahn, Guangsug
- Date Issued
- 2023-12
- Publisher
- 대한경영학회
- Abstract
- The volatility implied in the option price exhibits the systematic bias with respect to different levels of exercise prices for different maturities, and this anomaly has been arousing the attentions of many financial economists. This paper investigates the bias of volatility surface implied in equity options markets, and relates it to various measures of liquidities in KOSPI200 index options markets. We find the volatility smile effect is strongly present in the KOSPI200 option markets, contrary to the shape of downward sneer implied volatility in U.S. equity options market. Empirical results from GMM regression show that the effects of liquidity on the shape and change of implied volatility are significant in the KOSPI200 options market. The implied volatility bias is larger for deep in-the-money and out-of-the-money options and for short maturity options than for at-the-money and for long maturity options.
- URI
- https://oasis.postech.ac.kr/handle/2014.oak/119872
- ISSN
- 1226-2234
- Article Type
- Article
- Citation
- 대한경영학회지, vol. 36, no. 12, page. 2031 - 2051, 2023-12
- Files in This Item:
- There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.