Two-phase phenomenon in linear and non-linear financial instruments

Two-phase phenomenon in financial markets can be described as a herding model. In our research, linear property products, 713 stocks and KOSPI 200 futures, show an out-of-equilibrium phase. Non-linear property financial instruments, KOSPI 200 option, however, have different characteristics depending on their general usage. Especially, as we classify put option into OTM and ITM, a two-phase graph is not noticed in OTM put option which is generally used for hedging in normal market, yet it is dually recognized in ITM put option which is less attractive financial derivatives because of its higher cost. By considering the relationship with call option, herding behavior is distorted in the option market, because put call parity restricts both call and put option which evolve separately.