| The listing and trading of the 50ETF options of Shanghai Stock Exchange(SSE50ETF options)mark that China has entered a new era of diversified investment and risk management.The option has the characteristics of high leverage and long-short mechanism.If it is not used properly,it can aggravate the volatility of the financial market.Volatility has always been an important topic of academic and financial communities,and it is also an important source of risk in the market.Asset pricing theory shows that as long as there are risk sources in the market,investors need inevitably ask for corresponding risk premium,which can challenge asset pricing and risk management in China's financial market.The 50 ETF option of Shanghai Stock Exchange was only recently launched,and there were few related researches.Therefore,the research on the volatility risk premium of option market is of great significance to the stable and healthy development of China's financial market.This paper takes the SSE 50ETF options market as the research subject.It uses daily frequency trading data in the spot and option markets,estimating the parameters of the stochastic volatility model from the realized measures and risk-neutral measures,and then extracts the volatility risk premium and analyzes market characteristics.This paper explains the mystery of volatility risk premium from the perspectives of time-varying characteristics,asset jump,option pricing and investor behavior.The main influencing factors of volatility risk are revealed from the perspectives of market microstructure and macroeconomic information.This study provides a new reference for investors' decisionmaking and for governmental supervision and regulation.The main contents include:Firstly,this paper expands the theoretical basis of volatility risk premium from options pricing theory,asset pricing theory,behavioral finance theory,financial market microstructure theory,efficient market hypothesis and so on.From stochastic volatility model,MCMC estimation method,extreme value method and Fourier transform method,this paper establishes the mathematical foundation for the study of volatility risk premium.This paper analyzes the formation mechanism of volatility risk premium from the perspective of option pricing theory,investor behavior,realized measurement and risk neutral measurement.This study provides theoretical support for the study of volatility risk premium.Secondly,this study uses SV,SVJ,SVCJ model and MCMC method to estimate the parameters of the model and analyze the SSE 50 ETF market characteristics.The results show that: compared with these models,SVCJ model has better market fitting,and there is leverage effect between return and volatility of SSE 50 ETF.The results also show there is an asymmetry between return and volatility of SSE 50 ETF.The “jump aggregation”and “jump reversal” phenomena are also discovered in the market.During a period of sharp market turbulence,the return and volatility of the underlying asset have a larger jump,while during a period of non-sharp market turbulence,the jump range is smaller.Based on the option daily trading data,we use the FFT method and the minimum extremum method to estimate the parameters of the model under the neutral risk measurement and analyze the characteristics of the option market.We also find that the option market has a “volatility smile” phenomenon.Compared with the SV,SVJ,SVCJ model,we find that the SVCJ model has a higher accuracy of option pricing,and the FFT method can significantly improve the speed of parameter estimation.Thirdly,from the perspective of the measurement of the volatility risk premium,the volatility risk premium measures the premium level of the volatility under the realized measurement and the risk-neutral measurement.From the perspective of option pricing theory and behavioral finance theory,the option price,volatility risk premium,and investor behavior are closely related.During a period of sharp market turbulence,when the volatility risk premium is negative,investors are averse to volatility risk,and the willingness to purchase options to hedge volatility risk is high.The volatility expectation of the target asset under the realized measurement is less than that of risk-neutral measurements.The implied volatility expectation under the measurement is that investors have higher volatility expectation for the future market and higher option pricing.During the period of non-sharp market turbulence,when the volatility risk premium is positive,investors prefer volatility risk,and the willingness to purchase options to hedge volatility risk is low.The volatility expectation of the target asset under the realized measurement is greater than the implied volatility under the risk-neutral measurement.It is expected that investors have a lower expectation of future market volatility and lower options pricing.Finally,this paper uses rank correlation method and copula model to analyze the relationship between volatility risk premium and market return,and then analyzes the influencing factors of volatility risk premium from two aspects of market microstructure and macroeconomic information.There is a positive rank correlation between volatility risk premium and return of SSE 50 ETF,and we also find that the probability of both going up or down at the same time is greater than the probability of one going up or down.From the perspective of the prediction function of volatility risk premium in the market,the volatility risk premium has significant prediction ability for the return of SSE 50 ETF,which provides important reference for market participants to construct investment decisions.From the perspective of volatility risk premium,return rate,turnover rate,market depth,transaction cost have a significant positive impact on the volatility risk premium;market volatility and option market activity have a significant negative impact on the volatility risk premium;macroeconomic information has a relatively small impact on the volatility risk premium.In terms of the contribution of various factors,turnover rate > investor sentiment > target Market volatility > market activity > yield > market depth > transaction cost.The paper has strong theoretical significance and practical value.In terms of theory,this article expands the research field of volatility risk premium,deepens the understanding of the relationship between volatility risk premium,option pricing,and investor behavior,which is helpful to supplement and perfect the option pricing theory and behavioral finance theory.From a practical point of view,the operation status and information characteristics of SSE 50 ETF options can provide important information for listing new index options,futures options,stock options and volatility derivatives in China.The results of this study can provide a practical reference for the regulatory authorities to improve market management efficiency.The paper also provides a practical reference for risk supervision departments,helping investors understand the general law of volatility risk premium in the option market and build a reasonable portfolio with better understanding of option instruments. |
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