The Lead-Lag Relationship between Volatility Index Futures and Spot in the Korean Stock Market

• 발행기관: 한국무역연구원
• 저자명: Rong-Yuan Qin Ji-Hun Heo
• 간행물 정보: 『무역연구』제13권 제4호, 139~159쪽, 전체 21쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2017.08.30

영문 초록

This empirical study examines the short-run lead-lag relationship between the VKOSPI index futures and its underlying spot index and KOSPI index using daily data from September 17, 2014 to May 2017. We used the unit root test, Johansen-Juselius cointegration test, Granger causality analysis, impulse response function analysis, and variance decomposition analysis to test the hypothesis that the futures market with no market frictions leads the spot market in this analysis. The results of these analyses using level variables show that there is a bi-directional lead-lag relationship between the VKOSPI futures and VKOSPI index, but in the analysis using first-difference variables, there is only a unidirectional lead-lag relationship form VKOSPI index to VKOSPI futures. This means that the VKOSPI spot market is more efficient than the futures market. Also, there are no lead-lag relationship from VKOSPI futures or VKOSPI index to KOSPI index. It is inconsistent with the main expected hypothesis in our study and the conclusions of previous studies which argue that the VIX futures lead the VIX index and S&P 500 index. This results are related to a lack of liquidity of VKOSPI futures contracts in the Korean derivatives market. Because generally, the Korean institutional investors prefer option trading, to hedge market risk rather than VKOSPI futures. Change in the price of the option will result in the change in the VKOSPI index and subsequently the mechanism that alters the VKOSPI futures or the KOSPI index.

목차

Ⅰ. Introduction

Ⅱ. Review of Related Literature

Ⅲ. Data and Methodology

Ⅳ. Results and Discussion of Empirical Analysis

Ⅴ. Conclusions and Recommendations

키워드

Granger Causality Test Lead-Lag Relationship Vector Auto Regressive (VAR) Model Volatility Index VKOSPI