外汇期权信息含量与在岸离岸市场效率

央行在“8·11”汇改后放松了汇率中间价的管理,采用更为市场化的方式形成中间价,这种变化对于人民币汇率衍生品市场的影响尚属未知。为此,本文从人民币期权组合的Black-Scholes隐含波动率历史报价数据中提取出在岸、离岸市场人民币期权的无模型隐含波动率和风险中性偏度,在将样本划分为汇改前后三个不同的阶段的基础上,检验了期权隐含指标对未来汇率分布的预测能力。实证结果表明,在“8·11”汇改之后,随着人民币中间价形成机制变得更加市场化,期权价格中包含了越来越多关于未来汇率分布的信息,在岸和离岸期权市场的信息效率都有显著提高,意味着人民币中间价形成机制的市场化能显著提升我国金融市场效率。因此,在兼顾金融安全的角度上,稳步促进人民币中间价形成机制市场化进程将有利于我国金融市场效率的提高。

Information Content of Foreign Exchange Options and the Efficiency of the Onshore/Offshore Markets

The People’s Bank of China has been using a more market-oriented method to determine the CNY central parity rate since August 11, 2015. However, the effect of this method on the RMB derivative markets remains unknown. Among the RMB FX derivatives, the onshore CNY options and offshore non-deliverable CNY options share the same underlying asset: the onshore CNY exchange rate. However, there are always differences in the prices of these two options due to the regulations that limit onshore-offshore arbitrage, which results in different option-implied FX distributions and information in the two markets.
To compare the market efficiency of the onshore and offshore option markets, we use the data on the onshore USD/CNY options and offshore non-deliverable USD/CNY options with one month maturities. The information implied in these options is comparable because they share the same underlying asset, the onshore USD/CNY exchange rate. Specifically, we divide our sample into three periods: before the FX reform, the brief period after the FX reform, and the later period after the FX reform. Following studies such as Jiang and Tian (2005) and Bakshi et al. (2003), we extract the model-free implied volatility and risk-neutral skewness from both the onshore and offshore one-month USD/CNY options. Based on the information extracted from the bid-ask Black-Scholes implied volatility price data of the USD/CNY options portfolio, we test the predictability of the implied volatility and risk-neutral skewness on the yield, volatility, and tail risk of the future exchange rates in the three subsamples. We also compare the information in the two markets and the variations in different periods to determine whether the FX reform improved the information content in both markets. We then empirically collect the closing prices of the onshore and offshore USD/CNY options, the closing spot prices, and the forward USD/CNY exchange rates from Bloomberg.
With respect to risk-neutral skewness, our results show that before the FX reform, the onshore risk-neutral skewness only covers the tail risk information and it has weak predictability on the variation in the future exchange rates. During the short period after the FX reform, the offshore risk-neutral skewness completely covers the information in its onshore counterpart. The information efficiency of the offshore market is also significantly better than that of the onshore market. In the later period after the FX reform, the risk-neutral skewness in both markets covers the information on the variation in the future exchange rates. In this case, the information efficiency of the onshore market is slightly better than that of the offshore market.
With respect to the implied volatility, the results show that before the FX reform, the implied volatility has weak predictability on the future volatility in both markets. During the brief period after the FX reform, the onshore implied volatility significantly predicts the future volatility of the USD/CNY exchange rate. However, the offshore implied volatility does not cover the information on the future volatility. In the later period after the FX reform, the implied volatility in both markets covers the information on the future volatility. Moreover, the offshore implied volatility covers all of the information about its onshore counterpart and the historical volatility. Thus, the offshore market is significantly information efficient.
In the two subsamples after the FX reform, we obtain different results when we test the information efficiency separately in terms of the implied volatility and risk-neutral skewness. However, when we conduct the full analysis, after the FX reform, as the central parity rate becomes more market-oriented, the FX option prices cover more and more information on the future exchange rate distribution. The information efficiency of both the onshore and offshore option markets also notably increases. These results indicate that the market-oriented mechanism of the CNY central parity rate can enhance the efficiency of the Chinese financial market. Therefore, in terms of balancing the financial security, steadily promoting the market-oriented mechanism of the CNY central parity rate will help improve the efficiency of the Chinese financial market.
Our findings have strong implications in regard to whether further exchange rate reforms should be implemented and how they should be promoted. However, the question remains as to why the implied volatility and risk neutral skewness produce different results and whether other factors affect the information efficiency of the two markets. These issues warrant further research attention.