不同投资者情绪下期权隐含信息的优化作用——基于上证50ETF期权的分析

管理评论 ›› 2023, Vol. 35 ›› Issue (7): 43-55.

不同投资者情绪下期权隐含信息的优化作用——基于上证50ETF期权的分析

余湄¹, 许再琳¹, 殷方盛², 张建军³

1. 对外经济贸易大学金融学院/中国资本市场与政策研究中心, 北京 100029;
2. 山东财经大学金融学院, 济南 250014;
3. 中国农业银行总行, 北京 100031

收稿日期:2021-08-30 出版日期:2023-07-28 发布日期:2023-08-24
通讯作者: 殷方盛(通讯作者),山东财经大学金融学院讲师,博士
作者简介:余湄，对外经济贸易大学金融学院/中国资本市场与政策研究中心教授，博士生导师，博士；许再琳，对外经济贸易大学金融学院博士研究生；张建军，中国农业银行总行托管业务部职员，硕士。
基金资助:
国家自然科学基金面上项目(72071046);对外经济贸易大学研究生科研创新基金项目(202249)。

Optimization of Implied Information of Option under Different Investor Sentiment: Research on 50ETF Option in Shanghai Stock Exchange

Yu Mei¹, Xu Zailin¹, Yin Fangsheng², Zhang Jianjun³

1. Center for Research of China's Capital Markets and Policies, School of Banking & Finance, University of International Business and Economics, Beijing 100029;
2. School of Finance, Shandong University of Finance and Economics, Jinan 250014;
3. Agricultural Bank of China, Beijing 100031

Received:2021-08-30 Online:2023-07-28 Published:2023-08-24

摘要/Abstract

摘要： 本文将期权隐含信息引入到投资组合构建中,分析了不同投资者情绪状态下期权隐含信息的优化作用。本文首先通过无模型方法提取上证50ETF期权的隐含信息,并且验证其在波动率预测中的作用。同时比较包含隐含信息与历史信息的投资组合表现,并检验不同市场环境下的投资效果。研究发现,无模型隐含波动率对于未来已实现波动率具有一定的预测能力,并且能为传统的波动率预测模型提供增量信息,隐含波动率优化投资组合的效果与投资者情绪和市场波动程度有关。研究结果丰富了我国期权研究的相关理论,为投资者利用期权隐含信息改善资产配置、优化投资组合提供一定的参考。

关键词: 上证50ETF期权, 无模型隐含波动率, 最小方差组合, 投资者情绪

Abstract: This paper extracts the implied information of the SSE 50ETF options by model-free method to verify its role in volatility prediction. By comparing the portfolio containing implied information and historical information, this paper evaluates the optimization effect of the implied information of options. In addition, this paper also analyzes the portfolio performance of investors in different emotional states. It is found that model-free implied volatility has a certain predictive ability for future realized volatility and can provide incremental information for traditional volatility prediction models. The effect of portfolio optimization with implied volatility is related to investor sentiment and market volatility. This paper firstly introduces option implied information into portfolio construction, and analyzes the optimization effect of option implied information under different investor sentiment. This study provides guidance for investors to use the implied information of options to improve asset allocation and optimize portfolio.

Key words: SSE 50ETF option, model-free implied volatility, minimum variance portfolio, investor sentiment

余湄, 许再琳, 殷方盛, 张建军. 不同投资者情绪下期权隐含信息的优化作用——基于上证50ETF期权的分析[J]. 管理评论, 2023, 35(7): 43-55.

Yu Mei, Xu Zailin, Yin Fangsheng, Zhang Jianjun. Optimization of Implied Information of Option under Different Investor Sentiment: Research on 50ETF Option in Shanghai Stock Exchange[J]. Management Review, 2023, 35(7): 43-55.

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