跳扩散条件下波动率风险溢价及影响因素研究——基于上证50 ETF期权市场的实证

doi:10.12005/orms.2019.0232

运筹与管理 ›› 2019, Vol. 28 ›› Issue (10): 123-131.DOI: 10.12005/orms.2019.0232

跳扩散条件下波动率风险溢价及影响因素研究——基于上证50 ETF期权市场的实证

王苏生, 胡明柱, 李梓龙

哈尔滨工业大学深圳经济管理学院,广东深圳 518055

收稿日期:2018-09-03 出版日期:2019-10-25
作者简介:王苏生(1969-),男, 湖北洪湖人,教授,博士生导师,博士,研究方向:金融工程;胡明柱(1991-),男,湖南邵阳人,博士研究生,研究方向:金融工程;李梓龙(1988-),男,广东客家人,博士研究生,研究方向:金融工程。
基金资助:
深圳市软科学项目(JCYJ20140417173156101);广东省哲学社会科学规划项目(GD18XYJ36)

Volatility Risk Premium and Its Influencing Factors by Jump Diffusion Model ——Evidence from the Shanghai 50 ETF Options

WANG Su-sheng, HU Ming-zhu, LI Zi-long

School of Economics and Management, Harbin Institute of Technology, Shenzhen 518055, China

Received:2018-09-03 Online:2019-10-25

摘要/Abstract

摘要： 本文采用上证50 ETF及其期权交易数据,运用SVCJ模型、MCMC及傅里叶变换等方法,从P测度及Q测度中提取波动率风险溢价,并分析了其时变特征及影响因素。实证研究表明:SVCJ模型相较于SV模型及SVJ模型具有更好的市场拟合优度;傅里叶变换法能提高波动率风险溢价的估计效率;波动率风险溢价具有时变特征,在市场急剧动荡时期,波动率风险溢价基本为负,投资者厌恶波动风险,购买期权对冲波动风险的意愿较高;在市场非急剧动荡时期,波动率风险溢价基本为正,投资者偏好波动风险,购买期权对冲波动风险的意愿较低;市场收益率、波动率、换手率及投资者情绪对波动率风险溢价具有显著的影响。

关键词: 上证50 ETF期权, SVCJ模型, MCMC, 傅里叶变换, 波动率风险溢价

Abstract: This paper uses the daily frequency data of Shanghai 50 ETF and ETF options. We use SVCJ model, MCMC and Fourier transform method to extract volatility risk premium from P measure and Q measure. The research shows that the SVCJ model has better market fitting goodness than the SV model and the SVJ model, and the Fourier transform method can improve the estimation efficiency. In the period of market turbulence, volatility risk premium is negative generally, and investors are risk-averse, who have a higher willingness to buy options to hedge volatility risk. In non-violent turbulence period, the volatility risk premium is positive generally, and investors generally act risk seeking. Market returns, volatility, turnover rate, and investor sentiment have a significant impact on volatility risk premium.

Key words: Shanghai 50 ETF option, SVCJ, Markov Chain Monte Carlo, Fourier transform, volatility risk premium

中图分类号:

F830.91

王苏生, 胡明柱, 李梓龙. 跳扩散条件下波动率风险溢价及影响因素研究——基于上证50 ETF期权市场的实证[J]. 运筹与管理, 2019, 28(10): 123-131.

WANG Su-sheng, HU Ming-zhu, LI Zi-long. Volatility Risk Premium and Its Influencing Factors by Jump Diffusion Model ——Evidence from the Shanghai 50 ETF Options[J]. Operations Research and Management Science, 2019, 28(10): 123-131.

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跳扩散条件下波动率风险溢价及影响因素研究——基于上证50 ETF期权市场的实证

Volatility Risk Premium and Its Influencing Factors by Jump Diffusion Model ——Evidence from the Shanghai 50 ETF Options

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