The volatility index and volatility risk premium in China

被引：2
作者：
Yue, Tian [1 ]
Ruan, Xinfeng [2 ]
Gehricke, Sebastian [3 ]
Zhang, Jin E. [3 ]
机构：
[1] Chongqing Jiaotong Univ, Sch Econ & Management, Chongqing 400074, Peoples R China
[2] Xian Jiaotong Liverpool Univ, Int Business Sch Suzhou, Dept Finance, Suzhou 215000, Peoples R China
[3] Univ Otago, Otago Business Sch, Dept Accountancy & Finance, Dunedin 9054, New Zealand
来源：
QUARTERLY REVIEW OF ECONOMICS AND FINANCE | 2023年 / 91卷
关键词：
Model-free Volatility Index; ETF Options; Volatility Risk Premium; Emerging option market; China; EXPECTED STOCK RETURNS; IMPLIED VOLATILITY; MARKET VOLATILITY; OPTION PRICES; INFERENCE; MODEL; SMIRK; FEAR; US;
D O I：
10.1016/j.qref.2023.07.004
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We introduce the China Volatility Index (CNVIX), a model-free volatility index for the Chinese equity market based on ETF options. To construct the CNVIX, we extend the Chicago Board Options Exchange (CBOE) methodology in the emerging Chinese options market. We examine the leverage effect and volatility feedback effect between the CNVIX and the underlying asset, as well as the CNVIX's return forecastability. Our findings indicate a significant negative asymmetric leverage effect, insignificant volatility feedback effect in the CNVIX, and a positive mean volatility risk premium (VRP), which can forecast the underlying asset's returns over various horizons.
引用
收藏
页码：40 / 55
页数：16
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