원/달러 장외통화옵션시장에서 내재변동성의 정보효과 = Information Content of Implied Volatilities in KRW/USD Currency Option Markets

다국어 초록 (Multilingual Abstract)

This paper investigate the information content of Implied volatilities derived from KHW/USD OTC currency options. First we examined the explanatory power of Implied volatilities in forecasting future realized volatilities of the spot exchange rates. Next, we examined the dynamic properties of volatility spreads, the difference between Implied volatilities and realized volatilities, observed In KRW/IJSI) currency option markets. Using the sample data from January 2006 Through March 2010, we first find that even though the implied volatilities have a little explanatory power In forecasting future realized volatilities, they don`t improve the information content of simple historical volatilities at all. Second, this paper finds that during the period before global financial crisis In 2008. the implied volatilities are consistently lower than the realized volatilities. This suggests that we cannot exclude the possibility of risk seeking behavior of the investors in KRWJUSD OTC currency option markets at that time. Finally, from the comparative analysis with KOSPI 200 index options for the same sample period, we confirmed that our empirical results are uniquely observed only in KRW/USD OTC currency option markets.

참고문헌 (Reference)

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