주가지수 파생상품 만기가 기초자산 수익률 변동성에 미치는 영향에 대한 연구

초록

We examine whether the volatilities of the KOSPI 200 during a few subsets of days in the expiry week differ from those of their complementary sets, using both F-tests and EGARCH model. Our findings from the F-tests are as follows. First, the volatility of the index from Monday to Thursday, the expiration day, of the KOSPI 200 futures’ and options’ expiration week was higher than that on other days in the 1% and 5% significance level, respectively. Second, the volatility of the index from Monday to Friday, the next trading day of the expiration day, of the KOSPI 200 futures’ expiration week was higher than that on other trading days in the 1% significance level. Meanwhile, our findings from the EGARCH(1,1) model is that the volatilities of the index during the consecutive two, three, four, five, and six days in the expiration week and the previous week were higher than those of other trading days in the 5% significance level. Also, the price reversal around expiation days was verified in the 10% significance level when the methodology from Stoll and Whaley (1987) was used. This implies that research on expiration day effects needs to be extended to a period such as one week containing an expiration day since traders can move before the expiration day is reached.

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