Risk appetite and option prices: Evidence from the Chinese SSE50 options market

被引：1

作者：

Liu, Qing ^{[1
]}

Wang, Shouyang ^{[2
]}

Sui, Cong ^{[3
]}

机构：

[1] Beihang Univ, Sch Econ & Management, Beijing 100191, Peoples R China

[2] Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China

[3] Dalian Maritime Univ, Sch Maritime Econ & Management, Dalian 116026, Peoples R China

来源：

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2023年 / 86卷

基金：

中国国家自然科学基金;

关键词：

Risk appetite; Implied volatility function; Risk-neutral skewness; Leverage effect; Asymmetry; INVESTOR SENTIMENT; CROSS-SECTION; STOCK RETURNS; VOLATILITY; INFORMATION; PRESSURE; SLOPE; MODEL; NEWS;

D O I：

10.1016/j.irfa.2023.102541

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper studies the relationship between risk appetite and the shape of the implied volatility function for SSE 50ETF options, and examines whether the effects of risk appetite differ on that of call and put options. We propose a new measure of risk appetite using high-frequency data in the stock market. Empirical results show that risk appetite has a significant impact on the level and slope of the implied volatility function, with significant differences between call and put options. In addition, we also find that risk appetite has an obvious asymmetric impact on option prices under the leverage effect.

引用

页数：12

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