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개인투자자가 옵션시장의 변동성 거래에 미치는 영향에 대한 연구

  • 윤선중 동국대학교 경영대학 교수
  • 김소정 연세대학교 경영대학 박사과정
본 연구는 재무경제학에서 노이즈 트레이더로 인식되고 있는 개인투자자가 옵션시장의 변동성 거래에 어떠한 영향을 주고 있는지 분석하였다. 기초자산을 대상으로 개인투자자의 역할을 검증한 선행연구들과 달리, 본 연구는 옵션의 거래를 이용해 개인투자자의 역할을 살펴보았으며, 개인투자자 거래강도는 개인투자자의 매수대금과 매도대금의 차이로 정의하였다. 본 연구의 결과는 다음과 같이 요약된다. 첫째, 내재변동성은 평균회귀 특성을 가지고 있으며, 개인투자자의 매수강도가 클수록 동시점과 미래시점의 내재 변동성이 상승함을 관찰하였다. 둘째, 개인투자자의 매수/매도거래에 대한 변동성의 비대칭성을 살펴보기 위해 자료를 십분위로 나누어 분석한 결과, 개인투자자의 옵션 매수성향만이 변동성의 유의한 상승을 불러일으켰다. 이는 총 거래량 변수와 실현변동성 변수의 존재 하에서도 여전히 유의하였으며, 개인투자자가 평균적으로 순옵션 매수자라는 사실과 일관된다. 마지막으로, 개인투자자의 매수/매도 이전, 동시, 이후의 변동성 변화를 관찰한 결과, 개인투자자는 과거 변동성이 상승한 후에 변동성을 매수하는 변동성 모멘텀 거래자임을 확인하였다.
개인투자자; 변동성 거래; KOSPI 200 지수옵션; 모멘텀 거래; Individual Investors; Volatility Trading; KOSPI 200 Index Options; Implied Volatility Mean-Reversion

The Effect of Individual Investor on Volatility Trading in the KOSPI 200 Index Options Market

  • Sun-Joong Yoon
  • So Jung Kim
In financial economics, it is assumed that individual and institutional investors behave differently in the market. While institutions are viewed as informed traders, individuals are considered as noise traders with psychological bias as in Kyle (1985) and Black (1986). In particular, Choe et al. (1999) and Kaniel et al. (2008) examine the difference of individual investor trading in stock markets and its impact on the dynamics of stock prices. Based on these works, this paper aims to show how individual investors affect volatilities as well as stock returns, and whether individuals are uninformed traders of volatility trading. Our study, however, differs from the previous studies in that we focus on options markets instead of stock markets. There are two reasons that we examine the behavior of individual investors in options market other than in the stock market. First, according to the previous studies individual investors’ behavior in options markets is inconsistent with their behavior in stock markets. Individual traders heavily depend on the changes of past prices and prefer out-of-the money options that have a severe leverage effect, which is significantly different from institutional and foreign investors. These unique characteristics of individual investors in options markets have made us interested in looking into the relationship between individual investors and options markets. Second, the structure of options markets is, in nature, optimal for analyzing the effect of each type of investors. When studying its impact using stock returns, we have to pay much attention in order to adjust for the effects by various factors such as dividends and stock-splits. However, we an easily adjust the effect of underlying asset returns on option returns using the series of options with different strike prices and different maturities, thereby simplifying our research design. As well-known, volatility is the measure of the price level which is adjusted for the effect of underlying asset. In short, if stock trading is based on the prospect about the future direction of underlying asset prices, option trading is based on that about the future direction of volatility. Therefore, it is called volatility trading. Although this paper investigates the behavior of individual investors in stock markets based on the idea of Kaniel et al. (2008), it differs from the study. While it solely focuses on the role of individual investors as liquidity providers in stock markets, our paper deals with the change of volatility by the behavior of individuals in the options market. Thus the aim of this paper is to see whether their interpretation holds valid in the volatility trading in the options market. In this paper, we analyze the autocorrelation between implied volatilities, including implied volatility of at-the-money options, and VKOSPI 200 index which results from calculating one-month model-free implied volatility using out-of-the-money KOSPI 200 index options. In addition, we examine whether volatility changes can be explained by the intensity of the buying/selling of individual investors using regression analysis, even after adjusting for the mean reverting of implied volatilities. For our second study, we sort data into ten decile groups according to the intensity of the buying/selling of individuals as a proxy for trading imbalances. Decile 1 is the most intense selling period and decile 10 is the most intense buying period. Then we examine buying/ selling imbalances and trading patterns of individuals in terms of the trend in simultaneous and cumulative volatility changes of deciles 1 and 2 and deciles 9 and 10, prior to, current, and after trading week separately, and calculate t-statistics of cumulative volatility changes for testing significance. The main results of this paper can be summarized as follows. First, we find that implied volatility is mean-reverted and that as the intense buying by individuals increases, so do current and future implied volatilities. Second, the imbalance of volatility between intense buying and selling is analyzed for each decile. According to the results, volatility significantly increases when individuals become only intensely buying options, which is likely to be consistent with the fact that individuals are net buyers in options markets. Finally, we investigate volatility change prior to, current, and after trading week and recognize that individuals are volatility-momentum traders who tend to buy options after volatility increases. Also the results of the robustness test indicate that the effect of individual investors on volatility is still significant after controlling for the total volume of options and the realized volatilities of underlying assets. Therefore, we can conclude that the information contained in the intensity of individual buying and selling is independent of information contained in the total volume and realized volatility.