上证50ETF期权隐含波动风险对资本市场风险的预警能力分析  

Analysis of the Risk Forecasting Power of the Implied Volatility Risk ofSSE 50 ETF Options to Capital Market Risk

作　　者：郭婧 倪中新[1,2] 肖洁 GUO Jing;NI Zhong-xin;XIAO Jie(School of Economics,Shanghai Universirty,Shanghai 200444,China;Fincacial Information Research Center,Shanghai Universirty,Shanghai 200444,China)

机构地区：[1]上海大学经济学院,上海200444 [2]上海大学金融信息研究中心,上海200444

出　　处：《统计与信息论坛》2021年第4期60-71,共12页Journal of Statistics and Information

基　　金：国家自然科学基金项目“含有变点的分位数回归模型:贝叶斯分析及应用”(71301099)。

摘　　要：使用上证50ETF期权数据计算隐含波动率风险来刻画“常规”的波动,使用隐含尾部风险刻画非对称的隐含波动风险,构造出了对中国股票市场有显著风险预警能力的风险测度。首先,选取上证50指数和沪深300指数,使用两指数收益率序列的高阶矩作为股市未来的风险度量,用长短国债利差作为宏观风险的代理变量,证实了上证50ETF期权隐含波动率风险和隐含尾部风险对未来6个月内的股票市场风险和宏观风险都有显著预测能力。其次,使用有变点的分位数自回归模型对隐含尾部风险进行建模,并在贝叶斯框架下使用MCMC方法估计出了两个隐含尾部风险的突变日期:2016年3月3日和2017年12月15日。使用以上两个突变日期将股指序列和长短国债利差序列划分为三个时期,发现三个时期内的股票市场风险和宏观风险都有显著的差异。观察差异结果可以发现,当金融市场处于高波动风险时,宏观风险也相应较高,尾部风险呈高分位膨胀性;随着尾部风险的突变发生,金融市场和宏观市场风险开始降低并结束波动期,继而迎来一段时间的稳定上升;当市场一直处于较为稳定的上升状态并伴随着较低的宏观风险时,此时尾部风险逐渐增加并再次发生突变,预示着股票和宏观市场再一次迎来一段波动期。研究证明,期权隐含波动风险对股票市场乃至宏观资本市场都有显著的风险预警能力。Taking the SSE 50ETF option data to calculate the implied volatility risk to describe the“regular”fluctuation,and using the implied tail risk to describe the asymmetric implied volatility risk.The risk measurement with significant risk warning capability in China’s stock market is constructed.Select the Shanghai 50 Index and the CSI 300 Index,use the higher-order moment of these two indices as the risk measures of the stock market,and take the long-short term spread of treasury bond as the agent variable of macro-risk.In the empirical study,it is confirmed that the implied volatility risk and implied tail risk of SSE 50 ETF options have significant predictive power in the next 6 months of stock market risk and macro risk.Model the implied tail risk using the quantile auto-regression model with a change point,and estimate the two change point dates:March 3,2016 and December 15,2017 with the MCMC method under the Bayesian framework.Using the above two change point dates to divide the stock index sequence and the bond spread sequence into three periods,it is found that,there are significant differences between stock market risk and macro risk in the three periods,and the observation of the difference can be explained as:When the financial market is in high volatility risk,the macro risk is correspondingly higher,then with the sudden change of tail risk,financial market and macro market risk begins to decrease and end with volatility;Come along with a period of steady rise,the market has been in a more stable state of rising and a lower macro risk,at which point the tail risk gradually increases and then the change point occurs again,foreshadows a period of volatility for stocks and macro markets.The results prove that,the implied volatility risk of options has significant risk warning ability for the stock market and even the macro capital market.

关 键 词：风险预测 期权隐含风险 隐含波动率 尾部风险 贝叶斯分析 变点估计 

分 类 号：F832.5[经济管理—金融学]