中国期权市场的新冠肺炎风险

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY Accounts of Chemical Research Pub Date : 2021-09-07 DOI:10.1111/irfi.12365

Jianhui Li, Xinfeng Ruan, Sebastian A. Gehricke, Jin E. Zhang

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引用次数: 5

摘要

摘要新冠肺炎疫情加剧了人们对中国金融市场崩溃的担忧。我们使用隐含波动率斜率度量，使用沪深沪深300指数期权，该度量代表期权保护的成本，从而代表交易员对崩溃风险的恐惧。我们表明，这一措施与2019冠状病毒病在中国爆发期间的新冠肺炎病例和死亡呈正相关。随着疫情的恶化，期权交易员愿意为对冲下行尾部风险支付更多费用，并且在解除封锁后不再那么担心病例和死亡的消息。

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The COVID-19 risk in the Chinese option market

The COVID-19 pandemic has increased fear of a financial market crash in China. We use an implied volatility slope measure, which proxies the cost of option protection against and therefore trader's fear of crash risk, using the Shanghai Shenzhen CSI 300 Index options. We show that this measure is positively related to new cases and deaths of the pandemic during the COVID-19 outbreak in China. Option traders are willing to pay more for hedging downside tail risk as the pandemic worsens, and are no longer as concerned by news of cases and deaths after the lift of the lockdown.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.