Asymmetric and negative return-volatility relationship: the case of the VKOSPI

Biao Guo, Qian Han, Doojin Ryu and Robert I. Webb

No 2013-10-14, Working Papers from Wang Yanan Institute for Studies in Economics (WISE), Xiamen University

Abstract: This study examines the short-term relationship between stock market returns and implied volatility using high frequency data . This is the first study to analyze high frequency data on the VKOPSIa newly introduced volatility index implied by the KOSPI200 options. KOSPI 200 optioins are the most actively traded derivative contracts in the world and trading is dominate by individuals. We find a strong asymmetric and negative return-volatility relationship both at the daily and intraday frequency, which cannot be explained by the standardhypotheses on the asymmetric volatility effect. Our results also show that the relationship is more pronounced in the presence of extremely negative stock market returns.

Keywords: Asymmetric volatility; Implied volatility; VKOSPI; KOSPI200 options (search for similar items in EconPapers)
Date: 2013-10-14
New Economics Papers: this item is included in nep-mst
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