买卖权平价关系偏离能预测现货市场收益吗?——基于上证50ETF期权的实证研究

Can the Deviations from Put-Call Parity Predict the Return of Spot Market?——An Empirical Study Based on SSE 50ETF Options

选取隐含波动率差指标,以上证50ETF期权为研究样本,研究了期权市场买卖权平价关系偏离能否预测标的资产未来的收益信息。将分组分析和回归分析两种方法相融合,并将样本数据划分为三个不同阶段进行分析,结果显示,在发展初期期权市场包含标的资产未来较短时间内的收益信息,但信息含量很少;随着期权市场的发展,即在发展中期和发展期,期权市场包含标的资产未来更长时间范围内的收益信息且信息方向发生改变;期权市场能否准确预测现货市场信息与投资者情绪显著相关。

Taking 50 ETF options of Shanghai Stock Exchange as the sample,this paper uses the implied volatility difference to study whether the deviations from put-call parity can predict the future return information of underlying assets.Combined grouping portfolio construction with regression analysis,the sample data is divided into three different stages for analysis.The results show that in the early stages of development options markets contain information about the future returns of the underlying asset over a relatively short period of time,but the information content is minimal;As the options market evolves,i.e.,in the middle and development stages,the options market contains information about the future returns of the underlying asset over a longer time horizon and the direction of the information changes;whether the option market can predict the spot market information accurately is significantly related to investor sentiment.