| 波动率风险溢酬:基于香港和美国期权市场的研究 |
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| 引用本文： | 陈蓉,曾海为.波动率风险溢酬:基于香港和美国期权市场的研究[J].商业经济与管理,2012(2):53-59. |
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| 作者姓名： | 陈蓉 曾海为 |
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| 作者单位： | 1. 厦门大学经济学院,福建厦门,361005
2. 兴业证券衍生品部,上海,200135 |
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| 基金项目： | 国家自然科学基金项目，国家自然科学基金项目 |
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| 摘 要： | 文章运用方差互换合约的思想,从香港恒生指数和美国S&P500指数现货和期权的价格中提炼出无模型波动率风险溢酬,并对其特征进行了考察。研究结果表明,香港股市和美国股市中的波动率风险的确被定价,且风险溢酬显著为负,说明两市投资者均体现出风险厌恶。但同时我们也发现两个市场投资者的行为模式存在差异。此外,香港和美国市场的波动率风险相关度很高,且存在明显的溢出效应。
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| 关 键 词： | 波动率风险 风险溢酬 无模型 |
Volatility Risk Premium: A Study on Hongkong and American Option Markets |
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| CHEN Rong
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ZENG Hai-wei.Volatility Risk Premium: A Study on Hongkong and American Option Markets[J].Business Economics and Administration,2012(2):53-59. |
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| Authors: | CHEN Rong ZENG Hai-wei |
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| Institution: | 1.School of Economics,Xiamen University,Xiamen 361005,China; 2.Derivatives Department,Industrial Securities CO.,LTD,Shanghai 200135,China) |
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| Abstract: | This paper employs the notion of the variance swap contracts to estimate model-free volatility risk premium from the Hang Seng Index and S&P500 index options prices and investigates the characteristics.We find that the volatility risk is priced and the risk premium is significantly negative both in Hong Kong and U.S.equity markets,which implies that investors are all risk-averse.However,the behavior in these two markets are different.In addition,we find there exist high correlations and significant spillover effects between volatility risk in these two markets. |
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| Keywords: | volatility risk risk premium model-free |
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