No Access
Lead–Lag Relationship Between Returns and Implied Moments: Evidence from KOSPI 200 Intraday Options Data
https://doi.org/10.1142/S0219091517500175Cited by:1 (Source: Crossref)
Abstract
This study investigates whether a lead–lag relationship exists between the returns and the moments of the implied risk-neutral density (RND) in Korea Composite Stock Price Index (KOSPI) 200 spot, futures, and options markets. The empirical analysis suggests that although there is a bidirectional lead–lag relationship between the returns and the implied moments, the skewness and kurtosis of the implied RND Granger-cause the spot and futures returns more strongly than the returns do. In contrast, the implied volatility is shown to Granger-cause the returns less strongly than the returns do. In addition, this study shows that the lead–lag relationship strengthens when the spot market is exceptionally bullish or bearish.
JEL Classifications: G14, G17
