期权对冲行为对现货市场影响的理论与实证  

The Impact of Option Hedging on the Stock Market:Theory and Empirical Evidence

作　　者：刘逖[1] 司徒大年 李炬澎 杨旸 Liu Ti;Situ Danian;Li Jupeng;Yang Yang

机构地区：[1]上海证券交易所,上海200120 [2]复旦大学经济学院,上海200433

出　　处：《证券市场导报》2020年第9期55-59,共5页Securities Market Herald

摘　　要：2020年3月美国股票市场大幅下跌期间,期权市场有效发挥了风险对冲功能。但也有观点认为,在投资者大量购买认沽期权对现货进行保险的同时,期权中性交易者卖出认沽期权及其相关Delta风险敞口对冲行为加剧了现货抛压。为了评估期权市场对冲行为对现货市场的影响,本文构建了数理模型并进行了实证研究,发现期权市场并未加剧现货市场下跌:在投资者使用认沽期权进行现货保险并将下跌风险转移给认沽期权义务方的过程中,认沽义务方为保持风险中性而给现货市场造成的抛压明显小于投资者不使用期权而直接卖出现货产生的抛压,即期权市场具有缓释现货抛压、稳定现货价格的功能。Facing a sharp decline in the US Stock market in March 2020,risk hedging in the option market is fairly effective.But there are also views that when investors buy put options to insure their spots,the option neutral traders sell put options and the associated hedging behavior against delta risk exposure aggravates the selling pressure of stocks.To evaluate the impact of the option hedging behavior on the stock market,we construct a mathematical model and perform empirical tests.We found that the options market did not exacerbate the decline in the stock market.In the process of investors using put options as an insurance and transferring the crash risk to the put option obligors,the selling pressure caused by the put obligors maintaining risk neutral is significantly smaller than that caused by investors selling directly stocks without using options.The option market has functions of mitigating the selling pressure of stocks and stabilizing the stock prices.

关 键 词：50ETF期权 对冲交易 处置效应 现货抛压 期权市场 现货市场 

分 类 号：F830.91[经济管理—金融学]