Two-phase phenomenon in linear and non-linear financial instruments

Min Jae Kim, Ja Eun Lee, Soo Yong Kim and Kyungsik Kim

Physica A: Statistical Mechanics and its Applications, 2010, vol. 389, issue 13, 2580-2585

Abstract: Two-phase phenomenon in financial markets can be described as a herding model. In our research, linear property products, 713 stocks and KOSPI 200 futures, show an out-of-equilibrium phase. Non-linear property financial instruments, KOSPI 200 option, however, have different characteristics depending on their general usage. Especially, as we classify put option into OTM and ITM, a two-phase graph is not noticed in OTM put option which is generally used for hedging in normal market, yet it is dually recognized in ITM put option which is less attractive financial derivatives because of its higher cost. By considering the relationship with call option, herding behavior is distorted in the option market, because put call parity restricts both call and put option which evolve separately.

Keywords: Two-phase phenomenon; Financial analysis; Econophysics (search for similar items in EconPapers)
Date: 2010
References: View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:389:y:2010:i:13:p:2580-2585

DOI: 10.1016/j.physa.2010.02.031

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