文章基本信息

标题：Investors’ net buying pressure and implied volatility dynamics
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作者：Doojin Ryu ; Robert I. Webb ; Heejin Yang 等
期刊名称：Borsa Istanbul Review
印刷版ISSN：2214-8450
出版年度：2022
卷号：22
期号：4
页码：627-640
语种：English
出版社：Elsevier B.V.
摘要：This study reexamines the influence of different investor types' net options demand on the KOSPI200 options-implied volatility dynamics. We extend Bollen and Whaley (2004) by accounting for options traders' hedging demand for futures contracts, intraday seasonality, dynamic impacts of net buying pressure on implied volatility, and the effect of regulatory reform in the options market. Our empirical analyses provide evidence for the direction-learning behavior of foreign institutional investors. We further show that foreign institutions’ net demand is the most informative about the underlying market volatility independent of the market reform, while domestic retail investors become partially informed only after the reform.