Title : Effects of Macroeconomic News Announcements on the Risk-Neutral Distribution : Evidence From KOSPI200 Intraday Options Data
This study examines the effects of scheduled macroeconomic news announcements on the implied risk-neutral distribution (RND) from option prices. Using the KOSPI200 index options market as the sample market, this study investigates whether the implied RND responds to scheduled macroeconomic news announcements from South Korea and the U.S. We select six important macroeconomic news announcements each for South Korea and the U.S. and classify them as good news and bad news according to the KOSPI200 index return on the day of the announcement. We use two parametric methods and one non-parametric method to recover the RND and conduct regression analyses at daily, hourly, and 5-minute intervals. The analysis provided several noteworthy results. First, the RND responds to most of the macroeconomic news announcements, but its response disappears within a day in many cases. Second, the longevity of the response depends mainly on the type of news. Third, implied volatility tends to increase, and the RND becomes less leptokurtic after news announcements. Fourth, RND tends to become less (more) negatively skewed after a good (bad) news announcement, although there are some differences among the models. Finally, there is no clear evidence of the information contents about the effects of news announcements in RND.
Keywords: Macroeconomic news; KOSPI200 index options; Risk-neutral distribution; Skewness; Kurtosis
학회소식
학회소식
[2010년 제 4차] Effects of Macroeconomic News Announcements on the
작성자 : 관리자
조회수 : 1027
게시일 :
2010-12-09