中韩股指期权波动率风险溢酬的比较分析

发布时间：2017-12-27 06:25

本文关键词：中韩股指期权波动率风险溢酬的比较分析　出处：《上海经济研究》2017年04期 　论文类型：期刊论文

【摘要】：该文采用高频交易数据实证检测了我国沪深300指数期权与韩国KOSPI 200指数期权的隐含波动率和波动率风险溢酬,并通过z-test和F-test统计检验方法对其平均水平和分散程度进行了比较分析。检验结果显示:(1)两地投资者皆为波动率风险厌恶型,股指期权隐含波动率的均值及标准差皆显著高于各自现货市场的已实现波动率,两地波动率风险溢酬皆显著为负;(2)沪深300投资者的风险厌恶程度更高,沪深300指数期权的波动率风险溢酬显著高于KOSPI 200指数期权;(3)我国股指的现货市场和期权市场相比于韩国双双表现出更高风险和更不理性,而且投资者的后市预判亦偏差较大,沪深300指数的隐含波动率和已实现波动率在平均水平和分散程度上都显著高于KOSPI 200指数。
[Abstract]:This paper empirically tests the implied volatility and volatility risk premium of the Shanghai and Shenzhen 300 index options and the Korean KOSPI 200 index options with high-frequency trading data, and compares the average level and dispersion degree by Z-test and F-test statistical test methods. The test results show that: (1) the two investors are risk averse to the volatility, stock index option implied has mean and standard deviation volatility was significantly higher than that in the spot market volatility, the two volatility risk premium is significantly negative; (2) the CSI 300 investor's risk aversion is higher, the Shanghai and Shenzhen 300 index option volatility risk premium is significantly higher than that of the KOSPI 200 index options; (3) China's stock index futures market and options market compared to South Korea both showed higher risk and more irrational, but investors also found having pre deviation is larger, the Shanghai and Shenzhen 300 index implied volatility and realized volatility the rate in the average level and dispersion degree are significantly higher than the KOSPI 200 index.
【作者单位】：上海工程技术大学管理学院;上海社会科学院应用经济研究所;安信基金管理公司量化交易部;
【基金】：国家社会科学基金重点项目(批准号:15AZD072)资助
【分类号】：F224;F831.53
【正文快照】： 一、引言准确把握证券市场投资者的风险偏好情况对于证券市场监管者、中介金融机构及其他市场参与者具有极其重要的意义。作为微观金融领域的核心变量以及现代金融理论的核心内容,波动率风险一向被视为市场风险中的重要风险源,并被视为CAPM资本资产定价模型和BS期权定价模型

【相似文献】