波动性市场对新冠肺炎疫情早期反应不足

IF 2.2 Q2 BUSINESS, FINANCE Review of Asset Pricing Studies Pub Date : 2020-07-21 DOI:10.2139/ssrn.3580531

Ing-Haw Cheng

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引用次数: 43

摘要

摘要随着新冠肺炎疫情的爆发，VIX期货价格在2020年2月底和3月初缓慢上涨。期货价格溢价，定义为期货价格减去未来波动率指数值的实时统计预测，急剧转为负值，并一直保持负值，直到4月中旬。基于估计溢价的交易策略从随后的市场波动和股市崩盘中获利。期货价格对不断增长的疫情风险反应不足，给标准资产定价模型带来了难题。

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Volatility Markets Underreacted to the Early Stages of the COVID-19 Pandemic

Abstract VIX futures prices rose slowly in late February and early March 2020 as the COVID-19 pandemic took hold. Futures price premiums, defined as futures prices minus real-time statistical forecasts of future VIX values, turned sharply negative and remained negative until mid-April. Trading strategies based on estimated premiums profited from the subsequent increase in market volatility and equity market crash. The underreaction of futures prices to growing pandemic risks poses a puzzle for standard asset pricing models.

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.

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