摘要
随着我国期权市场规模的不断提升,跨市场的信息提炼和预测愈发受到关注。本文运用VAR模型,以上证50ETF为例研究期权交易量对现货收益率的预测能力。实证结果表明,当现货收益率波动性较低或市场处于上升阶段时,期权正向交易量对现货短期收益率存在预测能力;当现货收益率波动性较高或市场处于下降阶段时,期权交易量对现货收益率的影响不显著。综上,期权市场相比现货市场可能隐含着更及时和丰富的信息,值得监管机构和投资者重视。
Increasing scale of China’s options market has drawn more attention on cross-market information extraction and predicting.In this paper,VAR model is used to study the predictive power of option trading volume on spot yield with Shanghai Stock Exchange 50 ETF as an example.The empirical results show that when the volatility of the spot yield is low or the market is in the rising stage,the forward trading volume of options has predictive power for the spot short-term yield;when the volatility of the spot yield is high or the market is in the decline stage,the effect of option trading volume on spot yield is not significant.In conclusion,options market may contain more timely and abundant information than spot market,which deserves the attention of regulators and investors.
出处
《投资研究》
CSSCI
北大核心
2021年第2期92-108,共17页
Review of Investment Studies
基金
国家自然科学基金项目“经济增速下滑风险下我国商业银行最低流动性水平的确定及应对”(71771056)
