高阶矩风险溢酬:信息含量及影响因素

发布时间：2018-02-12 02:17

本文关键词： 股指期权高阶矩风险溢酬影响因素　出处：《数理统计与管理》2017年03期 　论文类型：期刊论文

【摘要】：本文基于台湾股市和期权市场数据,研究波动率、偏度和峰度等高阶矩风险溢酬的信息含量及影响因素,并结合边际贡献度分析了各常见影响因素对高阶矩风险溢酬的解释力。研究结论表明:波动率间的相关性高于偏度和峰度,波动率也更易于预测;期权市场的隐含矩信息对未来实际矩有较好解释力,且引入多个市场信息的预测效果要优于单一市场。市场情绪和异质信念是各高阶矩风险溢酬的主要影响因素;流动性信息次之;市场因子的解释相对较弱。对高阶矩风险溢酬影响因素的分析还应引入市场极端风险、风险厌恶信息和宏观经济变量等因素的考察。
[Abstract]:Based on the data of Taiwan stock market and option market, this paper studies the information content and influencing factors of higher moment risk overpayment, such as volatility, skewness and kurtosis. Combined with the marginal contribution, the paper analyzes the explanatory power of the common influencing factors on premium premium. The research results show that the correlation between volatility is higher than bias and kurtosis, and volatility is easier to predict; The implicit moment information of the option market has a better explanation for the future actual moment, and the forecasting effect of introducing multiple market information is better than that of the single market. Liquidity information is the second, the explanation of market factor is relatively weak. The analysis of influencing factors of higher moment risk overpayment should also introduce market extreme risk, risk aversion information and macroeconomic variables.
【作者单位】：厦门大学管理学院;厦门国际银行股份有限公司;
【基金】：国家自然科学基金面上项目(71371161)、国家自然科学基金青年项目(71101121)、国家自然科学基金地区项目(71261024)
【分类号】：F224;F832.51;F724.5

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