无模型隐含波动率的信息含量与定价能力——基于上证50ETF期权的实证研究  

The Information Content and Pricing Power of Model-free Implied Volatility: Empirical Research on SSE 50 ETF Options

作　　者：黄金波 王天娇 Huang Jinbo;Wang Tianjiao

机构地区：[1]深圳大学经济学院 [2]厦门大学管理学院

出　　处：《统计研究》2024年第3期115-128,共14页Statistical Research

基　　金：国家自然科学基金面上项目“基于资产价格隐含信息的最优资产配置与风险管理”(71971068)和“期权价格隐含的尾部风险及其信息含量研究”(72371079);广东省自然科学基金杰出青年项目“基于前瞻信息的下方风险测度及其应用”(2023B1515020045);深圳大学2035卓越研究计划哲学社会科学项目“中国特色的前瞻性金融风险指标体系构建:理论与应用”(ZYZD2302)。

摘　　要：本文从上证50ETF期权价格中提取无模型隐含波动率并检验其信息含量,基于随机折现因子理论推导波动率风险的系统性与正负性判定公式,从波动率风险溢酬和相关性两方面验证波动率是否为系统性风险,进而基于A股市场的个股数据检验波动率风险在股票截面收益上的定价能力。研究结果表明:无模型隐含波动率包含BS隐含波动率中的所有信息和历史波动率中的大部分信息,是未来已实现波动率的有效估计;市场波动率为系统性风险因子且存在显著为负的风险溢酬;组合分析表明,对市场波动率暴露较大的股票组合在未来的收益较低,且暴露最大与最小股票组合的收益率之差显著为负,该结论在控制经典风险因子和改变交易策略之后依然稳健;Fama-MacBeth两步法结果表明波动率风险被定价且风险价格显著为负。This paper extracts the model-free implied volatility from the SSE 50 ETF option prices and verifies its information content.Based on the stochastic discount factor theory,we derive the formula to judge whether the volatility is a positive or negative systematic risk,and verify it from the aspects of volatility risk premium and correlation.Furthermore,we examine the pricing power of volatility in the cross-section stock returns in A-share market.The results show that:The model-free implied volatility subsumes all information contained in the BS implied volatility and most of the information contained in the historical volatility,thus is a more efficient predictor for future realized volatility;The volatility is a systematic risk factor,and there is a significant negative volatility risk premium;The portfolio analysis indicates that the stocks with high sensitivities to market volatility have lower returns in the future,the high-minus-low hedge portfolio returns are negative,and this negative relationship remains significant after controlling classical risk factors and changing the trading strategy;The Fama-MacBeth two-step method shows that the volatility risk is priced with a significantly negative value.

关 键 词：波动率风险 无模型隐含波动率 已实现波动率 资产定价 

分 类 号：F830.9[经济管理—金融学]