옵션시장의 과잉반응에 관한 연구: 1997-1998년 외환위기를 전후하여
Overreaction in the Options Market: Around the Asian Financial Crisis of 1997-1998
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초록
본 연구는 외환위기를 전후하여 한국 옵션 시장에서의 과잉반응가설을 검증하였다. 연구 결과 옵션의 내재변동성 프로세스를 AR(1)으로 추정한 후 내재변동성의 만기구조를 검증하여 옵션시장의 과잉반응의 증거를 찾아낼 수 있었다. AR(1)프로세스의 가정을 통해 최근월물과 근월물의 내재변동성에 대한 이론적인 선형 모형이 도출되는데 이 모형을 실제 시장의 자료를 통해 회귀 분석한 결과와 비교했을 때 평균회귀(mean-reverting)모형의 특성을 보이지 않고 최근월물과 근월물의 변동성이 거의 같은 크기로 움직인다는 사실을 알 수 있었다. 즉, 최근에 들어온 정보에 과잉반응을 보여 최근월물과 근월물 내재 변동성의 평균과의 편차, 즉 정보의 효과가 거의 같은 크기를 보인다는 것이다. 모형의 강건성(robustness)을 검증하기 위하여 Diz and Finucane(1993)이 Stein(1989)의 실증분석 방법을 부정하고 잔차에 관한 모형 설정을 달리한 방법은 한국시장에서는 기각되었다. 또한, Campbell and Shiller(1984)가 이자율의 잔존만기구조에 사용한 방법으로 내재변동성의 프로세스에 관한 가정 없이 검정한 결과는 AR(1)의 가정 하에서 내린 결론과 같이 통계적으로 유의한 과잉반응의 결론을 보여주었다. 결과적으로 외환위기를 전후하여 한국옵션시장에서는 투자자들의 과잉반응 현상이 관찰됨을 알 수 있다.
Abstract
This paper examine the overeaction hypothesis of KOSPI 200 index options market around the Asian Financial Crisis of 1997-1998. Because implied volatility is strongly mean reverting, the implied volatility on a longer maturity option should move by less than one percent in response to a one percent move in the implied volatility of a shorter maturity option. As a result, we found that this elasticity turns out to be larger than suggested by rational expectations theory. That is, long-maturity options tend to "overreact" to change in the implied volatility of short-maturity options. For the robustness check, we identifies some problems associated with the above mentioned empirical tests and an alternate set of tests following Diz and Finucane(1993). Also we consider a more general test procedure which does not specify a particular stochastic process for volatility following Campbell and Shiller (1984). Irrespective of the estimation method, the overreation of the options investors is observed in KOSPI 200 index options market. In conclusion, there was the overreaction of the investors in the options market around the Asian Financial Crisis of 1997-1998.
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