This paper analyzes trader‘s strategic behavior in the KOSPI200 index options market. Using intraday data for various at-the-money options, we obtain the following results : (1) The frequency of trades is a better market statistic than trade size for option price volatility. This may result from the hedging behavior of large traders. This also suggests that the informed traders utilize their informational advantage gradually. (2) The effect of the duration of previous intervals on the expected duration of current intervals is persistent. (3) In the modified ACD model, the standardized distribution of duration is not exponential; rather, it is Weibull with r < 1. (4) There is no specific diurnal pattern of the duration of the duration of the options market. (5) we find a clear maturity effect.
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31 May 2003
Research Article|
May 31 2003
A Market Microstructure Analysis of the KOSPI200 Stock Index Options Market: Investor‘s Strategic Behavior Open Access
Sang Beom Han
Sang Beom Han
Korea Institute of Finance
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Publisher: Emerald Publishing on behalf of Korea Derivatives Association
Online ISSN: 2713-6647
Print ISSN: 1229-988X
© 2003 Emerald Publishing Limited
2003
This article is published under the Creative Commons Attribution (CC BY 4.0) licence. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2003) 11 (1): 25–55.
Citation
Eom GS, Han SB (2003), "A Market Microstructure Analysis of the KOSPI200 Stock Index Options Market: Investor‘s Strategic Behavior". Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu, Vol. 11 No. 1 pp. 25–55, doi: https://doi.org/10.1108/JDQS-01-2003-B0002
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