Volatility risk premium, good volatility and bad volatility: Evidence from SSE 50 ETF options

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE North American Journal of Economics and Finance Pub Date : 2024-05-31 DOI:10.1016/j.najef.2024.102206

Zhe Li , Jiashuang Shen , Weilin Xiao

{"title":"Volatility risk premium, good volatility and bad volatility: Evidence from SSE 50 ETF options","authors":"Zhe Li , Jiashuang Shen , Weilin Xiao","doi":"10.1016/j.najef.2024.102206","DOIUrl":null,"url":null,"abstract":"<div><p>This paper studies the impact of volatility risk premium of SSE 50 ETF options on the price volatility of the underlying securities. After dividing options into different attributes including different types, market conditions and moneyness, we find that options contain implicit volatility information for the underlying securities and volatility risk premium has a significantly positive impact on the realized volatility. We further discuss the effect of options with different attributes on good and bad volatilities. The empirical results show that volatility risk premium has significant influence on both of them. In particular, the impact of volatility risk premium on good volatility is significantly stronger than that of bad volatility. In addition, we investigate the out-of-sample forecast performance of the volatility risk premium on realized volatility. The results show that the implied information content of deep out-of-the-money options has the highest prediction accuracy for weekly good realized volatility.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"74 ","pages":"Article 102206"},"PeriodicalIF":3.8000,"publicationDate":"2024-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"North American Journal of Economics and Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1062940824001311","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

Abstract

This paper studies the impact of volatility risk premium of SSE 50 ETF options on the price volatility of the underlying securities. After dividing options into different attributes including different types, market conditions and moneyness, we find that options contain implicit volatility information for the underlying securities and volatility risk premium has a significantly positive impact on the realized volatility. We further discuss the effect of options with different attributes on good and bad volatilities. The empirical results show that volatility risk premium has significant influence on both of them. In particular, the impact of volatility risk premium on good volatility is significantly stronger than that of bad volatility. In addition, we investigate the out-of-sample forecast performance of the volatility risk premium on realized volatility. The results show that the implied information content of deep out-of-the-money options has the highest prediction accuracy for weekly good realized volatility.

查看原文

微信好友朋友圈 QQ好友复制链接

本刊更多论文

波动率风险溢价、好波动率和坏波动率：上证 50 ETF 期权的证据

本文研究了上证 50 ETF 期权的波动率风险溢价对标的证券价格波动率的影响。在将期权分为不同类型、市场条件和货币性等不同属性后，我们发现期权包含标的证券的隐含波动率信息，波动率风险溢价对已实现波动率有显著的正向影响。我们进一步讨论了不同属性的期权对好波动率和坏波动率的影响。实证结果表明，波动率风险溢价对好波动率和坏波动率都有显著影响。特别是，波动率风险溢价对好波动率的影响明显强于对坏波动率的影响。此外，我们还研究了波动风险溢价对已实现波动率的样本外预测性能。结果表明，深度价外期权的隐含信息含量对每周良好已实现波动率的预测准确率最高。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文去求助

来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.