Stock market volatility and trading activities in the KOSPI 200 derivatives markets

Minho Kim (), Gyeong Rok Kim and Mincheol Kim

Applied Economics Letters, 2004, vol. 11, issue 1, 49-53

Abstract: The relationship between the trading activities of the Korea Stock Price Index 200 derivatives contracts and their underlying stock market volatility is examined. A positive contemporaneous relationship between the stock market volatility and the derivatives volume is found while the relationship is negative between the volatility and open interest. For the cash volatility and derivatives volume two-way causality is found for both futures and options contracts, but for the cash volatility and open interest two-way causality is found only in options markets.

Date: 2004
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DOI: 10.1080/1350485042000187462

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