Testing CEV stochastic volatility models using implied volatility index data

Kim, Jungmu; Park, Yuen Jung; Ryu, Doojin

doi:10.1016/j.physa.2018.02.001

Cited by 10 publications

(1 citation statement)

References 22 publications

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“…Figures in parentheses are percentage values. 4For more discussion of the ample liquidity and characteristics of the KOSPI 200 options market, refer to the studies ofHan, Guo, Ryu, and Webb (2012),Han, Kutan, and Ryu (2015),Kim, Park, and Ryu (2018),Ryu and Yang (2017),Song, Ryu, and Webb (2016), and Song, Ryu, andWebb (2018).…”

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confidence: 99%

The directional information content of options volumes

Ryu

Yang

2018

Journal of Futures Markets

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This study examines the directional information content realized by trades in a highly liquid options market by constructing put–call volume ratios and decoupled options‐to‐spot volume ratios. By investigating whether the specific investor type predicts underlying returns and the method used to exploit a directional information advantage, we find that foreign investment firms can leverage their directional information by executing buy trades to open new positions. Their open‐buy trades significantly predict next‐day spot returns, whereas trades initiated by domestic firms do not. This relationship becomes stronger for out‐of‐the‐money, large, and short‐horizon options trades and during the short‐sale restriction period.

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