订单流、存货风险与期权收益率  

Order flow,inventory risk and option returns

作　　者：郑振龙[1] 郑懿 ZHENG Zhen-long;ZHENG Yi(School of Management,Xiamen University,Xiamen 361005,China;GF Securities Co.,Ltd,Guangzhou 510000,China)

机构地区：[1]厦门大学管理学院,厦门361005 [2]广发证券股份有限公司,广州510000

出　　处：《管理科学学报》2020年第11期74-86,共13页Journal of Management Sciences in China

基　　金：国家自然科学基金重大资助项目(71790601);国家自然科学基金资助项目(71871190,72071168).

摘　　要：基于台指期权市场交易机制与大陆场内期权市场相似以及数据可得性的考虑,利用台指期权市场的逐笔委托及逐笔成交数据,探究了存货风险对做市商报价的影响,并估计了存货风险影响的大小.借鉴Muravyev提出的将交易的价格冲击分解为存货风险成分与信息不对称风险成分的方法,推导得到了新的待估方程.实证结果表明,台指期权市场上存货风险成分远大于信息不对称风险成分.同时,基于日度数据的研究结果也表明存货风险会显著影响期权收益率.研究结论说明了存货风险管理对做市商的重要性.Considering that the trading mechanism of TAIEX options(TXO)market is similar to exchange traded options markets of China's Mainland,and taking into account data availability,this paper studies the impact of inventory risk on market maker’s quotation and estimates the size of the impact based on the tick-by-tick data of TXO market.Following the method proposed by Muravyev for decomposing the price impact of trades into inventory risk and asymmetric information risk components,this paper derives a new equation.Empirical results show that inventory risk component is far greater than asymmetric information risk component in TXO market.Besides,this paper also shows that inventory risk has a significant impact on option returns using the daily data.The conclusions illustrate the importance of inventory risk management to market makers.

关 键 词：存货风险 做市商 期权收益率 

分 类 号：F830.9[经济管理—金融学]