Abstract
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.
Keywords
Citation
Eom, G.S. and Han, S.B. (2003), "A Market Microstructure Analysis of the KOSPI200 Stock Index Options Market: Investor‘s Strategic Behavior", Journal of Derivatives and Quantitative Studies: 선물연구, Vol. 11 No. 1, pp. 25-55. https://doi.org/10.1108/JDQS-01-2003-B0002
Publisher
:Emerald Publishing Limited
Copyright © 2003 Emerald Publishing Limited
License
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