短期MAX动量效应与衰减--基于上证50ETF期权市场的证据

Short Term MAX Momentum Effect and Attenuation:Evidence from Shanghai Stock Exchange 50ETF Option Market

本文利用上证50ETF期权市场上市以来至2020年10月的日度数据研究期权市场短期内MAX异象。实证结果显示:上证50ETF期权市场中短期内无论全期权市场还是单个期权合约,MAX指标对期权的超额收益率存在显著的动量效应,短期之后呈现显著的反转效应,中国期权市场短期内博彩心理占主导;高MAX组合与低MAX组合平均期权超额收益率之差达到17.55%。在投资者博彩性投机心理作用下,MAX指标无论在短期内还是长期内都具有明显的正向传递现象。长期看,期权市场中MAX指标对期权超额收益率的动量效应逐渐减弱,"彩票型"投资者对价格的影响逐渐降低。MAX动量效应与衰减可以从期权买卖双方保证金差异以及时间价值衰减角度解释。期权的"末日轮"行情与期权市场的"博彩型"投资心理无关。

This paper uses the daily data from the start of Shanghai Stock Exchange 50 ETF option market to October 2020 to study the MAX anomaly in the option market in the short term.The empirical results show that:in the short term,the MAX index of Shanghai Stock Exchange 50 ETF option market has significant momentum effect on the excess return of options in the whole option market and at the single option contract,and there is a significant reversal effect after a short period of time,the gambling psychology of China’s option market is still dominant in the short term,and the difference of average excess return between high MAX portfolio and low MAX portfolio reaches 17.55%.Under the influence of gambling speculation,MAX index has obvious positive transmission in both short-term and long-term.In the long run,the momentum effect of MAX index on the excess return of options in the option market gradually weakens,the influence of speculators on the option price gradually decreases.MAX momentum effect and attenuation can be explained by the margin’s difference between both parties and option time value attenuation.The end of round in options market has nothing to do with the"gambling"investment psychology of the option market.