中国场内期权市场研究——基于中美关于期权隐含方差的差异  

Research on China's Option Market:Based on Two Empirical Differences about Option-Implied Variances between China and US

作　　者：丛明舒[1] CONG Mingshu(Guanghua School of Management,Peking University)

机构地区：[1]北京大学光华管理学院,北京100871

出　　处：《金融研究》2018年第12期189-206,共18页Journal of Financial Research

摘　　要：本文对比了美国和中国关于期权隐含方差的两个典型理论规律所表现出的实证差异。首先,期权隐含方差作为公认的风险度量指标,应该与未来期间的股权溢价成正相关关系,在这一点上中美实证结果完全相反;其次,现代期权定价理论预测期权隐含方差应该高于标的资产实现方差,而中国市场期权隐含方差和实现方差的比值要显著低于美国。As the starting point of studying China’s option market,this paper compares two empirical differ-ences about option-implied variances between China and US. The risk-return trade-off requires a positiverelationship between option-implied variances and future equity premiums. Such a relation is validated in theUS market but is violated in China. Also,modern option pricing theories predict higher option-implied vari-ances than realized variances. Such an effect is weaker in China than in US. These two findings suggest somedirections for future research on China’s option market.

关 键 词：期权隐含方差 股权溢价 风险收益权衡 

分 类 号：F832.5[经济管理—金融学]