投资者情绪、期权隐含信息与股市波动率预测——基于上证50ETF期权的经验研究

在异质自回归模型(HAR-RV)中引入中国上证50ETF期权隐含信息和投资者情绪,本文分别对中国股票市场未来日、周和月波动率进行预测。研究发现,期权隐含信息和投资者情绪能够提高HAR-RV模型对股票市场未来波动率的预测效果。投资者情绪对未来波动率的影响存在两种机制:在情绪高涨期间,月已实现波动率与未来波动率正相关,说明以个人投资者占主体所引起的价格信息机制,在中国股票市场交易中占主导作用;风险中性偏度与未来波动率负相关,说明以个人投资者占主体所引起的噪声交易机制占主导作用。

Investor Sentiment,Option Implied Information and Stock Market Volatility Prediction: An Empirical Study Based on SSE 50ETF Options

This paper uses the heterogeneous autoregressive model(HAR-RV) and its extended models by introducing option implied information and investor sentiment extension to forecast the short, medium and long term volatility. The Empirical outcomes show that the option implied information and investor sentiment can predict the volatility of the stock market both in-the-sample and out-of-sample predicting methods, while the predictable power is limited in the later method. When investor sentiments are high, monthly realized volatility is positively associated with future volatility. It means that staggered pricing transmission dominating other effects in China stock market composed of high percentage of individual investors, and the riskneutral skewness is negatively associated with future volatility which shows noise trading dominates other effects in China stock market.