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

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  • Minho Kim
  • Gyeong Rok Kim
  • Mincheol Kim

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.

Suggested Citation

  • Minho Kim & Gyeong Rok Kim & Mincheol Kim, 2004. "Stock market volatility and trading activities in the KOSPI 200 derivatives markets," Applied Economics Letters, Taylor & Francis Journals, vol. 11(1), pages 49-53.
    • Handle: RePEc:taf:apeclt:v:11:y:2004:i:1:p:49-53
    DOI: 10.1080/1350485042000187462
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    Cited by:

    1. K. Maris & K. Nikolopoulos & K. Giannelos & V. Assimakopoulos, 2007. "Options trading driven by volatility directional accuracy," Applied Economics, Taylor & Francis Journals, vol. 39(2), pages 253-260.
    2. Avinash & T. Mallikarjunappa, 2020. "Informational Role of Open Interest and Transaction Volume of Options: A Meta-Analytic Review," FIIB Business Review, , vol. 9(4), pages 275-285, December.
    3. Loc Dong Truong & Anh Thi Kim Nguyen & Dut Van Vo, 2021. "Index Future Trading and Spot Market Volatility in Frontier Markets: Evidence from Ho Chi Minh Stock Exchange," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(3), pages 353-366, September.

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