波动率风险溢酬：基于香港市场和美国市场的研究

波动率风险溢酬：基于香港市场和美国市场

的研究

Variance Risk Premium: Analysis based on Hong Kong Security Market and U.S. Security Market

曾海为

指导教师姓名：洪永淼教授

陈蓉教授

摘要

资产价格的波动率是随机的，这一观点已经被学术界和实务界多次证实并广泛接受。于是当投资者在对证券进行投资时，至少面临着两种不确定性。一是由于收益率波动而产生的不确定性，我们可以观察到股价每时每刻都是在变化的；另一个则是波动率自身的不确定性。了解投资者对波动率自身不确定性的处理是十分重要的，这将有助于提高资产定价和风险管理的准确性和有效性。一旦波动率本身成为风险源，就存在相应的波动率风险溢酬，必然会对股票和期权等金融市场产生一定影响。具体来看，研究波动率的风险溢酬无论是在理论界还是在实务界都具有重要的意义。

本文借用了方差互换合约（Variance Swap Contract）的思想，采用无模型（model-free）隐含波动率的方法，从期权价格中提取风险中性测度下的波动率，同时从资产价格收益率中提取现实测度下的波动率，利用二者的联系分析波动率风险溢酬的特征，并以此系统而详尽地考察了香港证券市场和美国证券市场波动率风险溢酬。

结果表明，波动率风险溢酬的确被定价，且显著为负，说明投资者整体上表现为风险规避。波动率风险溢酬存在明显的时变特征，但两个市场的不一致表明投资者投资行为偏好略有不同。经典的风险因子对两市的波动率风险溢酬只有部分解释作用。两个市场的风险溢酬相关性和股票指数价格相关性十分接近，且存在明显的溢出效应。

关键词：波动率风险溢酬；方差互换合约；溢出效应

ABSTRACT

It has been documented that return variance is stochastic. The idea has been demonstrated and accepted by both academy and industry. When investing in a security, an investor faces at least two sources of uncertainty, which are the uncertainty about the return as captured by the return variance, and the uncertainty about the return variance itself. It is important to know how investors deal with the uncertainty in return variance to effectively manage risk and allocate assets, to accurately price and hedge derivative securities. Once variance becomes certain risk resource, it should generate corresponding risk premium, which brings enormous influence to the whole financial market.

This paper uses the notion of variance swap contract, which is an over- the-counter contract that pays the difference between a standard estimate of the realized variance and the fixed variance swap rate. Based on this method, we exam the variance risk premiums and analyze the relevance of Hong Kong security market and U.S. security market.

The results show that the volatility risk premiums are definitely priced to be strongly negative, which indicates the investors’ behavior belongs to risk aversion. We find that the volatility risk premiums are time-varying, by analyzing their dynamic properties. Further analysis shows that there exists a systematic variance risk factor in both security markets that asks for a highly negative risk premium. The correlation coefficient of volatility risk premiums between Hong Kong and U.S. market is closed to that of stock markets and where significant price spillover effect exists.

Key Words: Variance Risk Premium; Variance Swap Contract; Spillover Effect