پویایی قیمت روزانه در بازارهای مشتقات و لحظه‌ای

This study examines intraday relationships among the spot index, index futures, and the implied volatility index based on the VAR(1)-asymmetric BEKK-MGARCH model. Analysis of a high-frequency dataset from the Korean financial market confirms that there is a strong intraday market linkage between the spot index, KOSPI200 futures, and VKOSPI and that asymmetric volatility behaviour is clearly present in the Korean market. The empirical results indicate that the futures return shock affects the spot market more severely than the spot return shock affects the futures market, though there is a bi-directional causal relationship between the spot and futures markets. Our results, based on a high-quality intraday dataset, satisfy both the positive risk–return relationship and asymmetric volatility effect, which are not reconciled in the frameworks of previous studies.

Traditional financial research analyses individual markets without consideration of the interactions between related financial markets. However, investors usually trade various financial assets and participate in multiple markets with the purpose of portfolio diversification, risk management, and speculation. As a result, the markets are closely related and the price movements of financial instruments and their volatilities are interrelated. Being aware of these relationships, recent studies focus on the interaction between financial markets and the effects of the market linkage [1], [2], [3], [4], [5] and [6]. By examining the related markets simultaneously, these studies attempt to characterise the dynamics of asset prices and volatilities and measure the market responses to external shocks. In spite of these efforts, previous studies are limited in that they analyse low-frequency data. With the advent of home-based trading systems and the rapid development of the information technology (IT) industry, investors can easily implement intraday trading strategies, and the increase in intraday transactions requires academics to analyse the intraday behaviour of the markets in order to identify meaningful economic implications. Without analysis of an intraday dataset, one would miss the implications of information and/or spillover effects that might dissipate within a very short time. Though some quantitative studies examine the intraday relationship between related markets [7], [8], [9], [10], [11] and [12], there is still room for improvement with regard to methodology and out-of-sample testing. Most studies investigate the relationship between bivariate variables using simple vector autoregression (VAR) and vector error correction model (VECM) or simple bivariate GARCH models. In addition, they focus mainly on developed markets or the effects of shocks from developed markets on emerging economies. The present study fills the gaps in the literature. We adopt a trivariate GARCH model as an extension of the BEKK GARCH model in order to incorporate the asymmetric volatility effect, a well-known market regularity. This model is called the VAR(1)-asymmetric BEKK-MGARCH model.1 Using the model, we analyse the intraday return-spillover and intraday relationships between the spot index, index futures, and implied volatility. Our focus is the Korean financial market because it is analysed infrequently despite its global position and importance to investors worldwide. KOSPI200 futures, the representative index futures products of the Korean market, are one of the most liquid and remarkable index futures contracts in the world [13], [14], [15] and [16]. The Volatility Index of the KOSPI200 (VKOSPI) is an official implied volatility index of the Korean market and is derived from the market prices of KOSPI200 options, which are the single most liquid and top-ranked options in the world [17] and [18]. We conduct our assessment of the Korean market based on a high-quality intraday dataset collected over a long study period. Intraday analysis is important for this market because information flow is rapid and many investors implement intraday trading strategies, such as day-trading, stealth trading, and/or program trading, in Korea’s index derivatives market [19], [20], [21] and [22]. Considering the importance of the financial products and the scarcity of knowledge of the Korean market, we expect that a thorough investigation of these financial products will be beneficial to academic researchers, market practitioners, regulators, and policy makers. Our empirical results support a strong intraday market linkage between the spot index, KOSPI200 futures, and VKOSPI. Specifically, there is a bi-directional return-spillover effect between the spot and futures markets, with the effect of a futures return shock on the spot market being more significant than that of a spot return shock on the futures market. We also find that the increase in implied volatility, which can be interpreted as an increase in risk, leads to higher returns in both the spot and futures markets, whereas return shocks are negatively related to changes in the future implied volatility. The significance levels of the parameter estimates that capture the asymmetric volatility phenomenon support the use of the VAR(1)-asymmetric BEKK-MGARCH model applied in this study. The rest of this paper is organised as follows. Section 2 introduces the KOSPI200 index, the KOSPI200 futures, and the VKOSPI. We explain why we focus on these products in Section 2. The sample data are briefly explained in Section 3, and Section 4 introduces the model used in this study. The empirical findings and discussion are provided in Section 5. We offer our conclusions in Section 6.

Using the VAR(1)-asymmetric BEKK-MGARCH model, which incorporates multiple variables and the asymmetric volatility effect, this study investigates the intraday relationships among the KOSPI200 index, KOSPI200 futures, and VKOSPI. Our analysis of a high-frequency dataset indicates that there is a strong intraday market linkage between spot, futures, and options markets within the Korean financial market. Among the various findings and implications suggested by our empirical results, two results are most remarkable. First, compared to a spot return shock, a futures return shock has more explanatory power with regard to the dynamics of the related assets and the implied volatility. Second, our intertemporal analysis confirms the presence of both a positive risk–return relationship and the asymmetric volatility phenomenon, which are not easily reconciled in the frameworks of previous studies. Physicists may find the implications of our findings on intraday behaviour and dynamics of financial markets useful because this phenomenon can be compared with the dynamics of particles and their interactions.3 Market practitioners and investors can also draw some useful trading implications from our results, specifically that they should simultaneously trade related financial assets and set up their portfolio management decisions considering the market linkage and interconnection of asset price movement. Policy makers who control and regulate multiple markets can also refer to our empirical findings.