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期权隐含投资者情绪与股市波动率

Option Implied Investor Sentiment and Stock Market Volatility
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摘要 研究表明,期权价格中蕴含着市场前瞻性的信息,其有助于预测未来股市波动率.特别地,从期权价格中提取的隐含投资者情绪相比从股市提取的投资者情绪包含更多的信息(前瞻信息),对股市波动性分析具有重要的参考价值.鉴于此,文章采用上证50ETF期权价格数据,利用GJR-GARCH-FHS模型估计经验定价核,通过将其分解为新古典成分和行为成分(情绪),从中提取出期权隐含投资者情绪.进一步,构建波动率指标和预测回归模型,实证分析期权隐含投资者情绪与股市波动率的关系以及期权隐含投资者情绪对股市波动率的预测作用.实证结果表明:期权隐含投资者情绪在一定程度上对股市波动率具有预测作用;当期和滞后一期的期权隐含投资者情绪都对股市波动率产生一定的正向影响,且当期影响更大;历史的股市波动率对当期股市波动率也存在显著的正向影响;当期和滞后一期的期权隐含投资者情绪对股市波动率都具有较强的预测能力,并能显著提高对股市波动率的预测精度. Numerous studies show that option price contains forward-looking information regarding the market,which is useful to predict the future volatility of stock market.In particular,investor sentiment extracted from option price data contains more information(forward-looking information)than investor sentiment extracted from stock market data,which has important value for the analysis of stock market volatility.In light of this,this paper uses SSE 50ETF option price data and GJR-GARCH-FHS model to estimate the empirical pricing kernels.Then,the paper extracts the option implied investor sentiment by decomposing the estimated empirical pricing kernels into neoclassical components and behavioral components(sentiment).Further,by constructing volatility measures and predictive regression models,the paper empirically analyzes the relation between option implied investor sentiment and stock market volatility,as well as the predictive value of option implied investor sentiment for the stock market volatility.The empirical results show that option implied investor sentiment can predict stock market volatility to a certain extent.Both the current and lagged option implied investor sentiments have a positive effect on the stock market volatility,and the current impact is greater.The lagged stock market volatility also has a significant positive impact on the current stock market volatility.Both the current and lagged option implied investor sentiments have strong predictive ability for stock market volatility,and can significantly improve the prediction accuracy of stock market volatility.
作者 吴鑫育 王珍 周海林 WU Xinyu;WANG Zhen;ZHOU Hailin(School of Finance,Anhui University of Finance and Economics,Bengbu 233030)
出处 《系统科学与数学》 CSCD 北大核心 2022年第8期2107-2125,共19页 Journal of Systems Science and Mathematical Sciences
基金 国家自然科学基金项目(71971001) 安徽省高校自然科学研究项目(KJ2019A0659) 安徽省高校协同创新项目(GXXT-2021-078)资助课题.
关键词 GJR-GARCH-FHS模型 经验定价核 期权隐含投资者情绪 股市波动率 预测回归模型 GJR-GARCH-FHS model empirical pricing kernel option implied investor sentiment stock market volatility predictive regression model
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