波动率风险和波动率风险溢酬:中国的独特现象
Volatility risk and volatility risk premium:Anomalies in China's market
查看参考文献34篇
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文摘
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本文以美国市场作为对比,运用多种方法深入考察了中国市场的波动率风险和波动率风险溢酬,发现中国市场具有与美国市场不同的异常现象.首先,与美国市场不同,中国股票市场上的波动率风险整体而言并非系统性风险,而是呈现出暴跌时期显著为负,非暴跌时期显著为正的明显时变特征;其次,虽然中国市场的波动率风险是非系统性风险,但期权隐含的波动率风险溢酬却显著为负,这与美国情形不同,也不符合金融原理,可能意味着中国期权价格存在高估.进一步的模拟Buy-Write策略结果证实中国期权价格的确存在持续的系统性高估. |
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其他语种文摘
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In comparison to the US market,we use several methods to study the volatility risk and the volatility risk premium in China's market.We find that there exist anomalies in China's market.First,unlike the US market,the volatility risk in China's market is not a systematic risk on the whole.It is time-varying,and shows significantly negative during crash period while significantly positive during non-crash period.Second,the option-implied volatility risk premium in China is negative although the volatility risk is not a systematic risk,which differs from the US market and does not match the principles of finance.That might mean the options should be continuously overpriced in China.It is proved by the simulation of the Buy-Write strategy. |
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来源
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系统工程理论与实践
,2019,39(12):2995-3010 【核心库】
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DOI
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10.12011/1000-6788-2019-0888-16
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关键词
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波动率风险
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波动率风险溢酬
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测度转换
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delta中性
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Buy-Write策略
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地址
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1.
厦门大学经济学院, 厦门, 361005
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厦门大学管理学院, 厦门, 361005
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语种
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中文 |
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文献类型
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研究性论文 |
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ISSN
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1000-6788 |
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学科
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社会科学总论 |
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基金
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国家自然科学基金
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文献收藏号
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CSCD:6697604
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