香港恒生指数期权市场的过度反应现象研究

Overreaction in Hong Kong Hang Seng Index Option Market

论文以香港恒生指数期权市场为实证 ,对期权隐含波动率的“期限结构”进行了建模和研究 .实证分析表明期权的隐含波动率具有很强的“中心回复”特性 ,那么 ,在有效市场假设和Black Scholes期权定价模型正确性的前提之下 ,当一个期限较短的期权的隐含波动率发生变动时 ,另一个其他方面与之完全相同 ,但期限较长的期权 ,其隐含波动率的变动幅度应小于前一个期权隐含波动率的变动幅度 .然而 ,通过对香港恒生指数期权市场的实证分析 ,两种不同统计检验方法的结果都对香港恒生指数期权市场的有效性假设提出了质疑———市场并不是有效的基于理性预期的 ,而是存在着显著的“过度反应”

This paper examines the 'term structure' of options implied volatilities, using Hong Kong Hang Seng stock index options. It is foun d that the implied volatility of Hang Seng index options is strongly mean r everting, so assuming the market efficiency hypothesis and Black Scholes mod el are right, the implied volatility on a larger maturity option should move by less than the change of the implied volatility on a shorter maturity option. Two diffe rent statistical methods, mean reversion AR(1) model and linear regression, wer e used to test it. Empirically, it was found that the reaction turned out to be larger than suggested by rational expectations theory: long maturity options te nd to 'overreact' to changes in the implied volatility of short maturity opti ons.