The Effect on KOSPI 200 Futures after Launching KOSPI 200 Option

DOI

10.2991/itms-15.2015.347How to use a DOI?

Keywords

KOSPI 200 option; KOSPI 200 futures; liquidity; volatility; Hu-Shen 300 index

Abstract

In recent years, the change in Korea Exchange has aroused the world’s concern for financial derivatives. In this paper, we analyzed the reason of the KOSPI 200 index option’s success and the impact of launch of KOSPI 200 option. We used GARCH-GK (1,1) model analyze the changes in volatility of KOSPI 200 index futures. We found that the launch of KOSPI 200 index option aggravates the liquidity and the volatility of KOSPI 200 index futures. The conclusion is important reference of China to launch Hu-Shen 300 index option and build the thorough risk prevention.

Copyright

© 2015, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Download article (PDF)

TY  - CONF
AU  - J.P. Tang
PY  - 2015/11
DA  - 2015/11
TI  - The Effect on KOSPI 200 Futures after Launching KOSPI 200 Option
BT  - Proceedings of the 2015 International Conference on Industrial Technology and Management Science
PB  - Atlantis Press
SP  - 1421
EP  - 1424
SN  - 2352-538X
UR  - https://doi.org/10.2991/itms-15.2015.347
DO  - 10.2991/itms-15.2015.347
ID  - Tang2015/11
ER  -