Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/182387
Authors: 
Lee, Jaeram
Lee, Geul
Ryu, Doojin
Year of Publication: 
2018
Series/Report no.: 
Economics Discussion Papers 2018-68
Abstract: 
This study examines the difference in the intraday return-volume relationships of spot and index futures. Quantile regression analyses show that the widening effect of the stock trading volume on the distribution of spot returns disappears within a short period of time, whereas that of the futures trading volume remains over the long term. The short-term effect of the stock volume and the long-term effect of the futures volume are both consistent for contemporaneous trading volumes. Furthermore, the futures volume has a significantly positive effect on the option-implied volatility, whereas the stock volume is only associated with the implied volatility of at-the-money options, which can be traded quickly. In contrast, the implied volatility of out-of-the-money options, which are highly speculative, is strongly related to the futures volume. The findings suggest that the stock volume is mainly induced by hedging demand or disagreements of opinion, whereas the futures volume contains information about price movements.
Subjects: 
information channel
intraday information content
KOSPI 200 futures
option-implied volatility
return-volume relationship
quantile regression
JEL: 
C22
G12
G14
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Working Paper
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