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该文采用高频交易数据实证检测了我国沪深300指数期权与韩国KOSPI 200指数期权的隐含波动率和波动率风险溢酬,并通过z-test和F-test统计检验方法对其平均水平和分散程度进行了比较分析。检验结果显示:(1)两地投资者皆为波动率风险厌恶型,股指期权隐含波动率的均值及标准差皆显著高于各自现货市场的已实现波动率,两地波动率风险溢酬皆显著为负;(2)沪深300投资者的风险厌恶程度更高,沪深300指数期权的波动率风险溢酬显著高于KOSPI 200指数期权;(3)我国股指的现货市场和期权市场相比于韩国双双表现出更高风险和更不理性,而且投资者的后市预判亦偏差较大,沪深300指数的隐含波动率和已实现波动率在平均水平和分散程度上都显著高于KOSPI 200指数。
In this paper, we use the HF trading data to test the implied volatility and volatility risk premium of CSI300 Indexes and KOSPI200 Indexes options in our country, and use the z-test and F-test statistical tests to test the average level And the degree of dispersion were compared. The test results show that: (1) Both investors are risk-averse types of volatility risk. The mean and standard deviation of implied volatility of stock index options are significantly higher than the realized volatility of their respective spot markets. The volatility risk premium (2) the risk aversion of CSI 300 investors is higher, the volatility risk premiums of CSI 300 index options are significantly higher than that of KOSPI 200 index options; (3) the spot market and option market of China’s stock index Compared with South Korea both showed higher risk and more irrational, and the investor outlook is also large deviation bias, the CSI 300 Index’s implied volatility and realized volatility in the average level and degree of dispersion are significant Higher than the KOSPI 200 index.