风险中性高阶矩:特征、风险与应用  

Risk-neutral higher moments:Characteristics,risks and applications

作　　者：刘杨树[1] 郑振龙[1] 张晓南 

机构地区：[1]厦门大学金融系,厦门361005 [2]鹏华基金管理公司,深圳518048

出　　处：《系统工程理论与实践》2012年第3期647-655,共9页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金面上项目(70971114);国家自然科学基金青年项目(71101121);教育部人文社科一般项目(07JA790077)

摘　　要：本文采用香港恒生指数期权中的虚值期权计算香港股票市场风险中性高阶矩,通过其与另一种高阶矩预期——运用历史分布通过AR(1)-GARCH(1,1)模型估计出来的现实世界高阶矩预期之间的关系分析高阶矩风险溢酬.研究结果发现:在香港股票市场中,偏度、峰度等高阶矩具有非常显著的风险溢酬,且风险溢酬均小于0.这表明香港市场的投资者热衷于冒险,以在短时间内获得较大收益.另外,考察了香港股票市场的期权价格结构,我们发现从恒生指数期权中得到的香港股票市场隐含波动率几乎是一条水平的直线.在对香港市场整体高阶矩进行分析时,也发现其偏度与峰度不能拒绝市场整体分布为正态分布的假设.We use out-of-the-money （OTM） put/call option prices data of Hangseng Index to estimate market index risk-neutral higher moments. Modeling with another expectation of higher moments that forecasted by AR（1）-GARCH（1, 1） model of historical distribution, we run a higher moments risk premium test. We find an evidence that higher moments, such as skewness and kurtosis, have strongly significant negative risk premium, which suggests the investors in HK are willing to pay for the extreme return in the short run. We also study the structure of option prices in Hong Kong stock market, showing that the implied volatility curve derived from Hangseng Index options is fiat. During analysis of market index higher moments, we found that the normality null hypothesis cannot be rejected.

关 键 词：风险中性 高阶矩 风险溢酬 

分 类 号：F832.5[经济管理—金融学]