【作者】 刘瑞；

【导师】 杨学伟；

【作者基本信息】 南京大学 ， 管理科学与工程， 2019， 硕士

【摘要】 自从金融领域诞生以来,金融资产的价格波动就一直是人们关注的重点,研究金融资产的收益率一直是学界和业界的重点。资本资产定价模型(CAPM)1描述的关系是金融资产的超额收益率与非系统性风险之间的,并把金融资产的超额收益率解释为投资者承担了非系统性风险而要求的超额回报。对于波动而言,它是所有的系统风险与非系统性风险的体现,目前我们把投资者由于承担了波动这种风险而要求的金融资产高于无风险利率的超额收益称为股票风险溢酬。上述的波动是我们常称的波动率,是市场一级风险。事实上,还有市场二级风险的存在,波动率本身的波动就是一种市场二级风险,这个风险往往是被人们忽略的。如果我们把波动率看做金融资产的收益率,那么波动率的波动率就相当于金融资产的波动率,这样我们就很容易理解波动率本身的波动是一种风险来源。如此一来,投资者就又承担了这样一个二级风险,我们把投资者承担了这个二级风险而要求的现实波动率减去风险中性波动率的部分称为波动率风险溢酬(这里用减去而不是高于是因为波动率风险溢酬是否真的存在及其符号是本文正文将研究的内容)。研究波动率风险溢酬需要用到期权数据,这是因为期权定价是在风险中性测度下进行的。我国于2015年2月9日推出了上证50ETF期权,这给我们研究波动率风险溢酬提供了数据。由于上证50ETF是跟踪上证50指数的,所以我们的研究结果仅限于由这50只股票组成的样本市场。本文利用我国于2015年2月9日上市的上证50ETF期权来研究由上证50指数样本股组成的样本市场中的波动率风险溢酬。通过构造50ETF期权的动态Delta中性对冲组合,对组合的对冲收益进行分析,来研究波动率风险溢酬的存在性、特征及其信息含量。本文的研究从横截面角度和时间序列两个角度进行,研究发现,波动率风险溢酬显著为负,且与市场波动率成负相关关系;波动率风险溢酬在2015年股灾期间达到最小值,原因可能是股灾期间投资者更需要期权来对冲股票市场的下跌风险,从而愿意付出更多溢价。进一步研究发现波动率风险溢酬对中国波指iVX的预测力较弱,信息含量有限。更多还原

【Abstract】 Since the birth of financial market,the volatility of assets has always been the focus of attention.Studying the yield of financial assets has always been the focus of the academic community and the industry.The Capital Asset Pricing Model(CAPM)describes the relationship between the excess return on financial assets and the market’s non-systematic risk,and interprets the excess return on financial assets as the return required to take on the non-systematic risks of a particular market.For volatility,it is the embodiment of all systemic and non-systematic risks.At present,we refer to the excess return of the financial assets required by investors to take the risk of volatility above the risk-free rate as the stock risk premium.The above fluctuations are what we often call volatility and are market-level risks.In fact,there is also the existence of secondary risk in the market.The fluctuation of the volatility itself is a secondary risk in the market,which is often overlooked.If we regard volatility as the rate of return on financial assets,then the volatility of volatility is equivalent to the volatility of financial assets,so that we can easily understand that fluctuations in volatility itself are a source of risk.In this way,the investor has assumed such a secondary risk.The part of the actual volatility required by the investor to bear this secondary risk minus the risk neutral volatility is called the volatility risk premium(The use of subtraction rather than higher is because the volatility risk premium exists and its symbol is the content of this article).Studying volatility risk premiums requires the use of option data because option pricing is conducted under risk neutrality measures.China launched the SSE 50 ETF option on February 9,2015,which provides us with data on volatility risk premiums.Since the SSE 50 ETF is tracking the SSE 50 Index,our findings are limited to the sample market consisting of these 50 stocks.This paper uses the SSE 50 ETF option listed on February 9,2015 in China to study the volatility risk premium in the sample market consisting of the SSE 50 index stocks.By constructing the dynamic Delta neutral hedging combination of 50 ETF options,the portfolio hedging gains are analyzed to study the existence,characteristics and information content of volatility risk premium.The research in this paper is carried out from the perspective of cross-section and time series.The study found that the volatility risk premium is significantly negative and negatively correlated with market volatility;the volatility risk premium reaches the minimum during the 2015 stock market crash.The reason may be that investors need more options during the crash to hedge the downside risk of the stock market,and are willing to pay more premiums.Further research found that volatility risk premium c has little predictive power on the Chinese index iVX.更多还原