Research On The Relationship Among The Term Structure Of China's Volatility Index,Risk Premium And Stock Market

On February 9,2015,the first officially announced option product in China's financial market,the SSE 50 ETF option,was listed on the Shanghai Stock Exchange.The emergence of the 50 ETF option marks the official opening of China's stock index option market.On June 26,2015,the Shanghai Stock Exchange announced the China Volatility Index iVX based on the real transaction data of the SSE 50 ETF option.Since then,the research on China's volatility index has entered a new stage.By studying the volatility of the SSE 50 ETF of the first stock index option,on the one hand,it can manage and control market risk more effectively,and on the other hand,it can promote the further development of China's option market.This paper first introduces the basic departments of the topic and the significance of the research,and sorts out the research on the correlation between the volatility index,the volatility risk premium and the stock market.Then we introduce the concept of the volatility index,highlight the method of compiling the volatility index,and introduce the concept of volatility risk premium and how to extract the volatility risk premium from the volatility index.Next,this paper uses the method of compiling the VIX index published by CBOE to calculate the volatility index from June 26,2015 to January 25,2019,and use the volatility index to calculate the term structure of Chinese volatility;after that,the paper uses the high-frequency transaction data of the SSE 50 ETF to calculate the realized volatility of the stock market from August 24,2016 to January 25,2019,combined with the data of the volatility index to compute the volatility risk premium.Finally,this paper empirically analyzes the correlation between the volatility index and the stock market,and obtains the specific relationship between them.This paper finally concludes that there is a strong negative correlation between the iVX and the SSE 50 index,and when the stock market is in trouble,the iVX tends to rise;when the stock market is strong,the iVX will be in a relative lower position.The volatility index reflects the investor's panic about the stock market.From the perspective of the term structure of the volatility index,investors are not rational enough for the short-term fluctuations of the market and do not form a long-term value investment concept.At present,the volatility risk premium in China's stock market is significantly negative,indicating that Chinese investors have always been disgusted with the market,and the volatility index can reflect investors' panic.In addition,the change of the volatility index is significantly negatively correlated with the yield of the SSE 50 Index.The lower the yield of the SSE 50 Index,the greater the change of the volatility index and the negative correlation is asymmetric,that is,when the stock market yield declines,the value of the volatility index grows faster,and people are more panic about the future market,which is the "slow cow fast bear" phenomenon.Based on the above conclusions,the following policy recommendations are proposed: continue to publish data of iVX,strengthen investor education,and accelerate the launch of financial products related to the options market in a timely manner.