隐含流动性:从期权市场测算股市流动性
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摘要
以往大量研究运用股票期权隐含波动率反映股票价格波动所导致的市场风险,但是,如何通过股票期权来反映股票的流动性,即股票期权隐含流动性的研究则相当匮乏。本研究构建了隐含流动性计量体系,提出隐含相对价差(IRS)、隐含相对深度(IRD)和隐含流动性比率(ILR)的计量方法,实证估计并将其应用于股市危机早期预警系统研究中,取得了良好的检验效果。本文从股市系统之外——股票期权市场来揭示股市的流动性问题,具有"旁观者清"的效果,为刻画证券市场流动性、进行早期预警、防范股票市场危机提供了一个新途径。
In the past, a large number of studies used the implied volatility of stock options to reflect the market risk caused by the volatility of stock prices. However, the study on how to reflect the liquidity of stock through stock options is rather scarce. This study constructs an implicit liquidity measurement system and proposes an estimation method of implied relative spreads(IRS), implied relative depth(IRD) and implied liquidity ratio(ILR), then makes empirical analyses and applies them to the early warning of stock market crisis, in which a good test effect has been obtained. This paper uses the implied liquidity to reveal the liquidity of stock market from stock option market, which is outside the stock market system. It has the effect of "bystander clarification". This paper provides an innovation approach for portraying the liquidity of the securities market, early warning and preventing liquidity crisis.
In the past, a large number of studies used the implied volatility of stock options to reflect the market risk caused by the volatility of stock prices. However, the study on how to reflect the liquidity of stock through stock options is rather scarce. This study constructs an implicit liquidity measurement system and proposes an estimation method of implied relative spreads(IRS), implied relative depth(IRD) and implied liquidity ratio(ILR), then makes empirical analyses and applies them to the early warning of stock market crisis, in which a good test effect has been obtained. This paper uses the implied liquidity to reveal the liquidity of stock market from stock option market, which is outside the stock market system. It has the effect of "bystander clarification". This paper provides an innovation approach for portraying the liquidity of the securities market, early warning and preventing liquidity crisis.
引文
[1]Hull,J.The Pricing of Options on Assets with Stochastic Volatilities[J].The Journal of Finance,1987,42(2):281-300.
[2]Bates,D.S.The Crash of 87:Was It Expected?The Evidence from Options Markets[J].The Journal of Finance,1991,46(3):1009-1044.
[3]Andersen,T.G.,Bondarenko,O.,Gonzalezperez,M.T.Exploring Return Dynamics via Corridor Implied Volatility[J].Review of Financial Studies,2015,28(10):2902-2945.
[4]Leung,T.,Sircar,R.Implied Volatility of Leveraged ETFOptions[J].Applied Mathematical Finance,2015,22(2):162-188.
[5]Manela,A.,Moreira,A.News Implied Volatility and Disaster Concerns[J].Journal of Financial Economics,2017,123(1):137-162.
[6]Feng,S.P.,Hung,M.W.,Wang,Y.H.The Importance of Stock Liquidity on Option Pricing[J].International Review of Economics&Finance,2016,43:457-467.
[7]Liu,H.,Yong,J.Option Pricing with an Illiquid Underlying Asset Market[J].Journal of Economic Dynamics and Control,2005,29(12):2125-2156.
[8]Cetin,U.,Jarrow,R.,Protter,P.,et al.Pricing Options in an Extended Black Scholes Economy with Illiquidity:Theory and Empirical Evidence[J].Review of Financial Studies,2006,19(2):493-529.
[9]Feng,S.P.,Hung,M.W.,Wang,Y.H.Option Pricing with Stochastic Liquidity Risk:Theory and Evidence[J].Journal of Financial Markets,2013,18(1):77-95.
[10]Brunetti,C.,Caldarera,A.Asset Prices and Asset Correlations in Illiquid Markets[J].Computing in Economics and Finance.2006,(9):1-24.
[11]Chou,R.K.,Chung,S.L.,Hsiao,Y.J.,et al.The Impact of Liquidity on Option Prices[J].Journal of Futures Markets,2011,31(12):1116-1141.
[12]Amihud,Y.,Mendelson,H.Liquidity,Asset Prices and Financial Policy[J].Financial Analysts Journal,1991,47(6):56-66.
[13]Black,F.Fact and Fantasy in the Use of Option[J].Financial Analysts Journal,1975,31(4):36-41.
[14]Easley,D.,O'Hara,M.,Srinivas,P.S.Option Volume and Stock Prices:Evidence on Where Informed Traders Trade[J].The Journal of Finance,1998,53(2):431-465.
[15]Patel,S.A.,Sarkar,A.Crises in Developed and Emerging Stock Markets[J].Financial Analysts Journal,1998,54(6):50-61.
[16]Li,W.X.,Chen,C.S.,French,J.J.Toward an Early Warning System of Financial Crises:What Can Index Futures and Options Tell Us?[J].Quarterly Review of Economics&Finance,2015,55(3):87-99.
[17]刘逖.市场微观结构与交易机制设计[M].上海:上海人民出版社,2012:62-65.
[18]王茂斌,冯建芬.大额交易与市场流动性研究:来自中国证券市场的经验证据[J].证券市场导报,2008,(11):17-24.
[19]郦金梁,雷曜,李树憬.市场深度、流动性和波动率:沪深300股票指数期货启动对现货市场的影响[J].金融研究,2012,(06):124-138.
[20]应展宇.中国股票市场流动性研究[J].证券市场导报,2001,(07):63-68.
[2]Bates,D.S.The Crash of 87:Was It Expected?The Evidence from Options Markets[J].The Journal of Finance,1991,46(3):1009-1044.
[3]Andersen,T.G.,Bondarenko,O.,Gonzalezperez,M.T.Exploring Return Dynamics via Corridor Implied Volatility[J].Review of Financial Studies,2015,28(10):2902-2945.
[4]Leung,T.,Sircar,R.Implied Volatility of Leveraged ETFOptions[J].Applied Mathematical Finance,2015,22(2):162-188.
[5]Manela,A.,Moreira,A.News Implied Volatility and Disaster Concerns[J].Journal of Financial Economics,2017,123(1):137-162.
[6]Feng,S.P.,Hung,M.W.,Wang,Y.H.The Importance of Stock Liquidity on Option Pricing[J].International Review of Economics&Finance,2016,43:457-467.
[7]Liu,H.,Yong,J.Option Pricing with an Illiquid Underlying Asset Market[J].Journal of Economic Dynamics and Control,2005,29(12):2125-2156.
[8]Cetin,U.,Jarrow,R.,Protter,P.,et al.Pricing Options in an Extended Black Scholes Economy with Illiquidity:Theory and Empirical Evidence[J].Review of Financial Studies,2006,19(2):493-529.
[9]Feng,S.P.,Hung,M.W.,Wang,Y.H.Option Pricing with Stochastic Liquidity Risk:Theory and Evidence[J].Journal of Financial Markets,2013,18(1):77-95.
[10]Brunetti,C.,Caldarera,A.Asset Prices and Asset Correlations in Illiquid Markets[J].Computing in Economics and Finance.2006,(9):1-24.
[11]Chou,R.K.,Chung,S.L.,Hsiao,Y.J.,et al.The Impact of Liquidity on Option Prices[J].Journal of Futures Markets,2011,31(12):1116-1141.
[12]Amihud,Y.,Mendelson,H.Liquidity,Asset Prices and Financial Policy[J].Financial Analysts Journal,1991,47(6):56-66.
[13]Black,F.Fact and Fantasy in the Use of Option[J].Financial Analysts Journal,1975,31(4):36-41.
[14]Easley,D.,O'Hara,M.,Srinivas,P.S.Option Volume and Stock Prices:Evidence on Where Informed Traders Trade[J].The Journal of Finance,1998,53(2):431-465.
[15]Patel,S.A.,Sarkar,A.Crises in Developed and Emerging Stock Markets[J].Financial Analysts Journal,1998,54(6):50-61.
[16]Li,W.X.,Chen,C.S.,French,J.J.Toward an Early Warning System of Financial Crises:What Can Index Futures and Options Tell Us?[J].Quarterly Review of Economics&Finance,2015,55(3):87-99.
[17]刘逖.市场微观结构与交易机制设计[M].上海:上海人民出版社,2012:62-65.
[18]王茂斌,冯建芬.大额交易与市场流动性研究:来自中国证券市场的经验证据[J].证券市场导报,2008,(11):17-24.
[19]郦金梁,雷曜,李树憬.市场深度、流动性和波动率:沪深300股票指数期货启动对现货市场的影响[J].金融研究,2012,(06):124-138.
[20]应展宇.中国股票市场流动性研究[J].证券市场导报,2001,(07):63-68.