投资者情绪对上证50ETF隐含分布偏度影响的实证研究

An Empirical Study of the Impact of Investor Sentiment on Negative-skewed Implied Distribution of the SSE 50 ETF

从期权价格中提取信息的传统做法是借助于隐含波动率,然而,通过与标的资产的历史数据对比发现,隐含波动率并不能比历史波动率提供更多的市场预期信息。考虑隐含波动率是利用Black-Scholes模型所导出,意味着模型设定风险也可能会影响到结论的客观性与准确性。为了克服传统方法的不足,本文尝试从一种无模型的视角,利用矩方法展开相关研究。该方法不依赖于任何模型和假设,避免了对定价核以及中性概率分布的讨论,直接由期权价格得到股票收益的隐含分布,利用状态价格来确定市场预期收益与风险厌恶。在分布曲线足够光滑(可导)的条件下,通过对行权价格求导得到标的资产未来收益的隐含风险中性概率密度,并测算出隐含分布的高阶矩特征。

This paper uses the relevant data of the SSE 50 ETF option and its underlying assets to investigate the information components contained in the third moment of the implied distribution.The research shows that the implied skewness and the SSE 50 futures net position representing the Institutional investor’s sentiment are significantly weakly positively correlated,and the pricing deviation of the SSE 50 ETF fund representing the individual investor’s sentiment and the turnover rate corresponding to the SSE 50.A significant strong negative correlation is presented.These conclusions are controlled by variables such as the lagged skewness,high frequency realized volatility,relative demand on the SSE50 ETF option,momentum effect and belief bias.The conclusions are still very significant with the rational components in sentiment after being removed.In other words,implied skewness has a weak positive correlation with institutional investor sentiment,but has a strong negative correlation with individual investor sentiment.It can be seen that the individual investor’s sentiment is the dominant force that causes the implied distribution negative-skewed.