隐含波动率对公司债信用利差的预测能力研究——来自上证50ETF期权的证据

本文以2015年2月至2018年3月在证券交易所发行与交易的一般公司债券为样本,建立面板固定效应模型分信用等级来研究上证50ETF期权隐含波动率对公司债信用利差的影响。研究结果显示隐含波动率对不同评级公司债信用利差影响显著且为正,隐含波动率可以用来预测公司债信用利差。借助本文的研究,不仅可以检验隐含波动率是否能够包含经济运行态势的信息,评估上证50ETF期权的定价效率,也可以为投资者对冲信用风险提供一种新策略。     

买卖权平价关系偏离能预测现货市场收益吗? ——基于上证50ETF期权的实证研究

选取隐含波动率差指标,以上证50ETF期权为研究样本,研究了期权市场买卖权平价关系偏离能否预测标的资产未来的收益信息.将分组分析和回归分析两种方法相融合,并将样本数据划分为三个不同阶段进行分析,结果显示,在发展初期期权市场包含标的资产未来较短时间内的收益信息,但信息含量很少;随着期权市场的发展,即在发展中期和发展期,期权市场包含标的资产未来更长时间范围内的收益信息且信息方向发生改变;期权市场能否准确预测现货市场信息与投资者情绪显著相关.     

投资者情绪与动态波动溢出效应——基于上证50指数期现货研究

本文采用有偏项的VECM-CCC-GARCH等模型来分析投资者情绪对上证50指数期货和现货市场之间动态波动溢出效应的影响。分析发现,首先,投资者情绪高涨时期,指数现货市场交易量增加显著强于指数期货市场。其次,较高的投资者情绪对现货市场波动的影响要强于对股指期货市场波动的影响。最后,投资情绪高涨时期,期货和现货市场之间波动溢出效应显著增强,且现货向期货市场波动溢出效应显著增强。     

经济政策不确定性、投资者情绪与中国股市波动

金融市场的稳定性与经济政策的不确定性密切相关。本文以2010年1月至2018年6月为样本期,基于投资者情绪视角,采用逐步回归法探究我国经济政策不确定性对市场波动的传导路径。研究发现,全样本时期存在显著的投资者情绪部分中介效应,经济政策不确定性的上升会显著抑制投资者情绪,进而减弱股市波动。但分样本回归结果显示,2010年1月至2015年5月股市整体上行期间,经济政策不确定性对市场波动无显著直接影响,仅存在投资者情绪的间接效应;而2015年6月至2018年6月市场整体下行期间,存在投资者情绪的部分中介效应,且中介效应仅来自个人投资者。相较于机构投资者,经济政策的不确定性更容易通过散户情绪对股市造成冲击。政府部门应重视经济政策制定出台的市场情绪面传导,及时披露相关紧急经济政策,并加强对非官方媒体的监管。     

基于GARCH(1,1)模型的上证50ETF波动率研究

本文基于上证50ETF2005~2016年的日收盘价,利用GARCH(1,1)模型分析了上证50ETF波动率。研究表明,上证50ETF波动率不仅受前期波动率的影响,还和基金净值波动率、平均交易量波动率存在显著的正向关关系。     

基于历史和隐含波动率的权证定价效率研究

该文选取了2008年12月在沪深股票交易所交易的所有处于实值状态的权证和2只处于虚值状态的权证、2只过期权证,分别运用历史波动率和隐含波动率,计算了基于B-S定价方法的理论价格,结果发现基于历史波动率的B-S理论价格倾向于低估市场价格,对于处于深度虚值状态的权证,其已失去对价格的解释和预测能力;而基于隐含波动率的B-S理论价格对市场价格的短期解释和预测能力较好,在本文测试的样本内偏误均在1%以内;通过对两只过期权证的测算,结果表明基于历史波动率的B-S理论价格对权证在整个存续区间的运行趋势起到了决定性的作用,但市场价格的运行要高于理论价格且背离理论价格的运行具有一定的规律性,我国权证市场存在较大的投机成分.     

权证隐含波动率在标的证券波动率预测中的作用研究

资产收益的波动是投资者投资决策的主要依据.本文选取了葛州和长虹等七只权证作为样本.首先应用单位根检验,验证各样本历史波动率和隐含波动率序列的平稳性,在此基础上检验各样本两种波动率序列的协整关系.最后,对隐含波动率所包含的额外信息进行探讨.结果表明,已实现波动率和隐含波动率基本上呈现单位根状态,并且两者之问基本不存在协整关系,权证的隐含波动率确实拥有额外的信息.投资者在实际运作中,可以加入隐含波动率来提高对实际波动率预测的准确性.     

Options Trading Based on the Forecasting of Volatility Direction with the Incorporation of Investor Sentiment

Using options price data on the Taiwanese stock market, we propose an options trading strategy based on the forecasting of volatility direction. The forecasting models are constructed with the incorporation of absolute returns, heterogeneous autoregressive-realized volatility (HAR-RV), and proxy of investor sentiment. After we take into consideration the margin-based transaction costs, the results of our simulated trading indicate that a straddle trading strategy that considers the forecasting of volatility direction with the incorporation of market turnover achieves the best Sharpe ratios. Our trading algorithm bridges the gap between options trading, market volatility, and the information content of investor overreaction.     

Investor Sentiment Influence on the Risk-Reward Relation in the Taiwan Stock Market

We examine the influence of investor sentiment on the risk-reward relationship in the Taiwan stock market. Regression results show that the risk-reward relationship is weakly positive (significantly negative) under low (high) levels of investor sentiment. Granger causality tests indicate unidirectional, not bidirectional, causal relationships. Moreover, the negative return-variance relationship is more strongly characteristic of the over-the-counter index than of the Taiwan Stock Exchange weighted index, indicating that an unreasonable risk-reward trade-off may be more prevalent in emerging markets than in mature markets. Finally, the Wald test demonstrates that industry effects on the risk-reward relationship may be negligible.     

Implied Volatility in the U.K. Commercial Property Market: Empirical Evidence Based on Transaction Data

The primary aim of this research is to compute implied volatility based on a stochastic contingent claim valuation model proposed by Dixit and Pindyck (1994). Over the sample period of 1984 to 1997, and with approximately 20,000 commercial property transactions in the United Kingdom, we find that implied volatility of rental returns is in the region of 24.83 percent. Over the same sample period, the historical and conditional standard deviations of the log returns of transaction-based rental series is estimated to be 15.60 percent and 35.64 percent, respectively. The tests of information content of these risk measures show that there is strong orthogonality in the information impounded in implied volatility estimates compared to that contained in historical standard deviations.     

Investor Sentiment and Stock Returns: Evidence from Turkey

This paper investigates the relation between investor sentiment and stock returns on the Istanbul Stock Exchange, employing vector autoregressive (VAR) analysis and Granger causality tests. The sample period extends from July 1997 to June 2005. In the VAR models, stock portfolio returns and investor sentiment proxies are used as endogenous variables. Two dummy variables accounting for natural and economic crises are used as exogenous variables. The analysis results suggest that, excepting shares of equity issues in aggregate issues, stock portfolio returns seem to affect all investor sentiment proxies, namely closed-end fund discount, mutual fund flows, odd-lot sales-to-purchases ratio, and repo holdings of mutual funds. Investor sentiment does not appear to forecast future stock returns; only the turnover ratio of the stock market seems to have forecasting potential.     

Initial Margin Requirements, Volatility, and the Individual Investor: Insights from Japan

Initial margin requirements represent: (1) a cost impediment to the wealth constrained investor and (2) a potential way of mitigating excessive volatility. However, prior empirical research finds that margins are not an effective tool in reducing volatility. We consider the possibility that margins primarily affect certain stocks and investors. Specifically, we test whether margins affect individuals who, as a group, we believe to be the investors most affected when margin requirements change. Our initial empirical tests, however, do not support this contention.     

基于变结构Copula模型的股市与汇市间波动溢出效应研究

本文采用变结构Copula模型对我国股、汇市间的波动溢出效应进行研究。利用二元正态Copula函数的时变相关系数得出美元对人民币汇率与沪深300指数间相关关系的变结构点,再利用混合Copula模型分段检验波动溢出效应。实证结果表明,汇改以来,美元对人民币汇率与沪深300指数间存在着长期而显著的波动溢出效应。在次贷危机发生期间,美元对人民币汇率与沪深300指数间相关关系的变结构点增多,尾部相关性增强,两市间的波动溢出效应显著增强。因此,应加强对波动溢出传导中介的管理,减轻波动溢出效应的负面影响。     

融资融券试点对我国股票市场波动性的影响实证研究

融资融券交易正式启动对我国股票市场将产生什么样的波动性影响,是学术界和理论界共同关注的焦点。本文在前人研究基础上,从我国实际情况出发,以标的证券指数——上证50指数与深证成指指数作为影响我国股票市场的代表展开实证,运用GARCH族模型,引入虚拟变量D,其中D用来刻画融资融券推出前后对我国股票市场的影响。通过建模,得出融资融券试点一年多时间以来有利于减小我国股票市场波动性的结论。     

中国债券市场与股票市场间波动溢出效应——基于SJC-Copula模型的分析

本文基于SJC-Copula模型分析债券市场和股票市场间的波动溢出效应,并以此进一步分析波动溢出效应对债券市场风险规避能力的影响。研究选取2003年3月31日至2009年8月31日中信标普国债指数日数据和上证指数日数据,验证了两市波动溢出效应的存在性,同时发现波动溢出效应显著增强了债券市场规避风险的能力。     

Empirical Analysis of Stock Returns and Volatility: Evidence from Seven Asian Stock Markets Based on TAR-GARCH Model

This paper investigates the time-series behavior of stock returns for seven Asian stock markets. In most cases, higher average returns appear to be associated with a higher level of volatility. Testing the relationship between stock returns and unexpected volatility, the evidence shows that four out of seven Asian stock markets have significant results. Further analyzing the relationship between stock returns and time-varying volatility by using Threshold Autoregressive GARCH(1,1)-in-mean specification indicates that the null hypothesis of no asymmetric effect on the conditional volatility is rejected for the daily data. However, the null cannot be rejected for the monthly data.     

投资者情绪、资产证券化与公允价值信息含量——来自A股市场PE公司IPO核准公告的经验证据

本文基于我国企业会计准则国际趋同背景,综合运用价值相关性理论和投资者情绪理论,以2007-2011年持有PE公司股权的A股上市公司为样本,实证检验PE公司IPO核准公告的信息含量和IPO公允价值的价值相关性。研究发现,IPO核准公告具有显著的信息含量,而且与IPO公允价值显著正相关。同时,投资者情绪对IPO核准公告和IPO公允价值之价值相关性有显著的正向影响。但是,机构投资者对IPO核准公告信息含量的影响并不显著。本文的研究结论对我国全面引入国际趋同的公允价值计量规范之经济后果评估,以及投资者情绪和机构投资者在传递市场有效信息中的作用,具有重要的政策参考意义。