ScholarWorks@성균관대학교

초록

This study evaluates the effectiveness of domain stabilization (DS) in mitigating the impact of truncation on model-free implied moment estimation in a new market context. Using refined daily data from the KOSPI200 options market, we address a research gap by linking implied moments to contemporaneous prices and market events. When DS is applied, implied moments more effectively explain contemporaneous underlying price levels and log returns. The in-sample return predictability and out-of-sample forecasting performance of implied moment estimates also improve with DS, albeit to a slightly lesser extent than observed in the U.S. market. Even in an emerging market, DS enhances the informational content of implied moment estimates, strengthening their explanatory power for underlying prices and returns as well as their predictive and forecasting capabilities.

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