Implied volatility information of Chinese SSE 50 ETF options

被引：5
|
作者：
Wu, Lingke [1 ]
Liu, Dehong [1 ]
Yuan, Jianglei [1 ]
Huang, Zhenhuan [2 ]
机构：
[1] Beijing Jiaotong Univ, Sch Econ & Management, 3 Shangyuancun, Beijing 100044, Peoples R China
[2] Peoples Bank China, Xian Branch, Xian, Peoples R China
来源：
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2022年 / 82卷
关键词：
Implied volatility information; Chinese SSE 50 ETF options; Volatility risk premium; VARIANCE RISK; CROSS-SECTION; STOCK RETURNS; PREMIA; EQUITY; MODEL;
D O I：
10.1016/j.iref.2022.07.009
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper examines the impact of the implied volatility information in SSE 50 ETF options on the underlying securities volatility. After segmenting options according to option type, moneyness, time to maturity and trading years, we confirm that options contain implied volatility information about the underlying securities, and there is a significant positive effect of the volatility risk premium on the volatility of underlying securities. As for the regression coefficient of volatility risk premium, the call option is higher than the put option due to the investors' risk aversion, and the long-term option is higher than the short-term option. With the moneyness from DOTM to DITM, the call options decrease while the put options increase for the existence of skew and kurtosis risk.
引用
收藏
页码：609 / 624
页数：16
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