方差风险溢价和收益率预测:来自上证50ETF期权市场的证据

Variance risk premiums and return predictability:Evidence from SSE 50ETF options

方差风险溢价反映了投资者的风险规避程度和其对极端风险损失的高估.本文首次将我国期权市场的方差风险溢价分解为向上和向下的方差风险溢价,讨论其预测效果,同时还通过构造Delta对冲组合对方差风险溢价进行检验.研究发现,方差风险溢价显著为正,Delta对冲组合的收益显著为负,两者相互印证了一个事实:中国投资者是风险规避的,并愿意为对冲方差风险支付溢价.研究结果还表明和成熟市场不同,中国市场的方差风险溢价对收益率缺少预测能力,向上方差风险溢价和向下方差风险溢价均没有表现出显著的预测能力.本文的研究丰富了对中国期权市场投资者行为的理解.

Variance risk premium reflects the degree of risk aversion of investors and their overestimation of extreme risk loss.This paper decomposes the variance risk premium of China ’s option market into upside and downside variance risk premium for the first time,discusses its return predictability,and tests the variance risk premium by constructing delta hedging portfolio.The results show that the variance risk premium is significantly positive and the return of delta hedging portfolio is significantly negative,which confirms the fact that Chinese investors are risk averse and willing to pay a premium for hedging variance risk.The results also show that different from the mature market,the variance risk premium of Chinese market lacks the ability to predict the market return.Both downside variance risk premium and upside variance risk premium have no significant predictive power.Our research enriches the understanding of investors’ behavior in China’s option market.