期权隐含信息和价格发现——基于中国场内期权市场的研究  

Option-implied Information and Price Discovery:Evidence from Chinese Options Markets

作　　者：马腾 张晓燕 李志勇 MA Teng;ZHANG Xiaoyan;LI Zhiyong(PBC School of Finance,Tsinghua University;International Business School,Beijing Foreign Studies University)

机构地区：[1]清华大学五道口金融学院,北京100083 [2]北京外国语大学国际商学院,北京100089

出　　处：《金融研究》2024年第1期169-186,共18页Journal of Financial Research

基　　金：国家自然科学基金(72350710220);北京市自然科学基金(IS2317);中央高校基本科研业务费专项资金(2022QD027,2023JJ003)的资助。

摘　　要：本文基于中国场内期权交易数据,研究期权隐含信息的收益率预测能力,检验中国期权市场的价格发现功能。实证结果表明:波动率指数、方差风险溢价和波动率偏度等期权隐含信息,能够有效预测股票市场未来不同期限的超额收益率。信息假说和限制做空假说,是解释期权市场价格发现职能的2个经济学机制:期权隐含信息包含了一定的宏观经济信息和企业盈利信息;在中国期权市场上,由于对冲效应大于投机效应,做空限制会影响期权隐含信息的预测效果。本文对提升资本市场定价效率、建设高质量场内期权市场和加强监管政策协同,均具启示意义。The options market,as an important part of the capital market,promotes price discovery and risk sharing,reduces transaction costs and improves resource allocation efficiency.Since the launch of the first on-exchange option,the SSE 50 ETF option,in 2015,the trading volumes of on-exchange options have continued to grow.Meanwhile,the information transmission efficiency of financial markets is a core issue in financial economics.Well-informed investors predominantly trade in the options market due to this market's high leverage and low short-selling costs,which may lead to delays in the transmission of information between different markets.With the rapid development of China's financial options market,accurately assessing its price discovery role in the overall capital market is crucial to improving market functions and understanding market operating mechanisms.To examine the price discovery role of China's options market,this paper constructs indicators to extract the implicit information in option transactions and tests the ability of the option-implied information to predict future returns on the stock market.First,we provide evidence that the volatility index,jump factor,and option parity formula deviation can significantly predict negative excess returns on the stock market in the next month,while those excess returns are positively and significantly predicted by the variance risk premium,volatility skewness,and difference in implied volatility changes between call and put options,among other indicators.Second,in an out-of-sample test,all the above indicators retain their predictive ability to a certain extent,and all the option-implied information indicators show significant predictive power in a linear regression model and principal component regression model.Finally,we test two hypotheses regarding the economic mechanism of price discovery in the options market:the information hypothesis and the short-selling restriction hypothesis.According to the information hypothesis,option-implied information can signifi

关 键 词：价格发现 期权隐含信息 信息假说 做空限制 

分 类 号：F832.5[经济管理—金融学]