中韩股指期权波动率风险溢酬的比较分析

Comparative Analysis of the Volatility Risk Premium of Stock Index Options between Chinese and Korean Markets

该文采用高频交易数据实证检测了我国沪深300指数期权与韩国KOSPI 200指数期权的隐含波动率和波动率风险溢酬,并通过z-test和F-test统计检验方法对其平均水平和分散程度进行了比较分析。检验结果显示:(1)两地投资者皆为波动率风险厌恶型,股指期权隐含波动率的均值及标准差皆显著高于各自现货市场的已实现波动率,两地波动率风险溢酬皆显著为负;(2)沪深300投资者的风险厌恶程度更高,沪深300指数期权的波动率风险溢酬显著高于KOSPI 200指数期权;(3)我国股指的现货市场和期权市场相比于韩国双双表现出更高风险和更不理性,而且投资者的后市预判亦偏差较大,沪深300指数的隐含波动率和已实现波动率在平均水平和分散程度上都显著高于KOSPI 200指数。

The high--frequency transaction data is collected to tests the option--implied volatility and volatility risk premium in China CSI300 index option market and Korea KOSPI200 option market for the first time. The comparison analysis is conducted for the average level and scattered degree via z--tests and F--tests. The results show that （1） Investors in both markets are risk- aversive, as the medians and deviations of the option- implied volatilitys are significantly higher than those of their spot markets respectively, which means that the volatility risk premiums are significantly negative; （2） The degree of risk aversion in Chinese markets is greater than that in Korean markets, as the volatility risk premiums in CSI300 markets are significantly greater than that in KOSPI200 markets; （3） The Chinese markets are more unstable and more irrational than Korean markets, as the average level and scatter degree of CSI300 volatility are significantly greater than those of KOSPI200.