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6305文章研究了上证50ETF期权隐含波动率微笑形态中包含的风险信息。实证分析发现，隐含波动率微笑倾斜对股票市场收益有显著的预测能力。隐含波动率微笑倾斜程度越高，未来的股票收益越低。隐含波动率微笑倾斜形态的预测能力在未来12周之内非常稳定，在未来12周到24周之间开始减弱。在更换隐含波动率微笑倾斜程度的测度方法以及加入控制变量后，上述结论仍成立。此外，上证50ETF期权隐含波动率微笑倾斜程度不仅对上证50指数的未来走势有显著的预测能力，而且对其成分股也有显著的定价能力。文章进一步分析了期权隐含波动率水平，发现这一指标能够显著预测上证50指数收益，但对成分股却没有定价能力。这表明与波动率本身相比，期权隐含波动率的微笑倾斜程度是更好的股票风险溢价因子。
上证50ETF期权隐含波动率微笑形态的风险信息容量研究
摘要
参考文献
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引用本文
倪中新, 郭婧, 王琳玉. 上证50ETF期权隐含波动率微笑形态的风险信息容量研究[J]. 财经研究, 2020, 46(4): 155-169.
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