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강병진 ( Byung Jin Kang ) 한국파생상품학회 2012 선물연구 Vol.20 No.4
This study investigates the over- and under-reacting behavior of USD/KRW OTC currencyoption investors from the year of 2006 to 2011.Using the empirical testing models suggestedby poteshman(2001), we first find that USD/KRW OTC option investors tend to under-reactto the unexpected changes in instantaneous variances, which means ``short horizon under-reaction``Second, we find that USD/KRW OTC option market tends to slightly over-reactto a long period of mostly positive(or negative) unexpected changes in instantaneous variances during the period of before global financial crisis in 2008. We find. however, that this ``long horizon over-reaction`` in the aforementioned period is not statistically significant Third. we find that the market tends to significantly under-react, rather than over-react, to a long period of mostly positive(or negative) unexpected changes in instantaneous variances during the period of after global financial crisis in 2008. Finally, using the different empirical testing model (i.e., model-free approach),suggested by Jiang and Tian (2010), we also obtained the same empirical results,which strengthen the robustness of them.
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