摘要
ETF期权市场与股票现货市场存在波动性联动,了解这种联动有助于投资者做出投资决策和风险控制措施。通过构建DCC-GARCH模型探讨ETF期权与成分股的波动率动态相关性。研究发现:ETF期权与标的ETF的动态相关性记忆性偏弱但较稳定,与各成分股的动态相关性记忆性较强且不同时期差异较大;行业在ETF中的份额对行业成分股与期权的相关性产生了正向作用,上证50ETF期权与金融类成分股的动态相关性更大,沪深300ETF期权与金融和非金融类成分股的动态相关性无明显差异;在熊市状态下,ETF期权与各成分股的波动率联动效应更强。基于此,投资上证50ETF期权需重点关注金融板块权重股;投资沪深300ETF期权可重点关注持仓前列成分股;可利用ETF期权对于ETF、成分股及投资组合的对冲效果,构建相应比例的风险对冲头寸。
There is volatility linkage between ETF option market and stock market.Understanding this linkage will help investors make investment decisions and risk control measures.In this paper,we focus on DCC-GARCH model,illustrating the dynamic correlation of volatility between ETF option and constituent stocks of ETF.New research shows that the dynamic correlation between ETF options and the underlying ETF is relatively stable but weak in memory,and the dynamic correlation between ETF options and each component stock is strong in memory but varies greatly in different periods.The industry’s share in the ETF has a positive effect on the correlation between the industry’s constituent stocks and options,for 50ETF option,it has stronger dynamic correlations with financial stocks,and for 300ETF option,there is no significant difference of its dynamic correlations with financial and non-financial stocks;In bear market,the linkage between ETF options and component stocks is stronger.Based on the research,investing in 50 ETF options should focus on financial stocks;Investing in 300 ETF options can focus on the highly weighted stocks;ETF options can be used to hedge ETF,constituent stocks and investment portfolios,and to build a corresponding proportion of risk hedging positions.
出处
《价格理论与实践》
北大核心
2023年第1期100-104,共5页
Price:Theory & Practice
基金
浙江省自然科学基金LY18G010013国际原油市场与中国股票市场相关性研究——基于异质性视角
