波動風險溢酬之決定因素及交易波動風險溢酬的影響:以臺灣指數選擇權市場為例

Abstract

本研究主要在探討兩個波動風險溢酬(volatility risk premium)的重要議題。第一個議題分析指數選擇權的需求壓力對波動風險溢酬的影響，因買賣委託單不均衡(order imbalance)是可被觀測且以此作為淨需求測度的結果可應用於選擇權流動性提供者(liquidity providers)的買賣報價上，所以本研究使用買賣委託單不均衡(order imbalance)替代真實選擇權的淨需求，其結果發現指數選擇權需求可以解釋動態的波動風險溢酬，選擇權需求的壓力與波動風險溢酬存在正向的關係。特別的是，當市場價格出現大幅的變動(jump)時，選擇權需求的壓力效果變的更大。 第二個議題則是在探討交易波動風險溢酬對市場波動的影響，大的波動風險溢酬會吸引波動交易者從事波動交易(volatility trading)，本研究主張如此的波動交易會產生一個回饋的效果加劇市場的波動，使用線性及非線性的因果測試(linear and nonlinear Granger causality tests)，結果發現波動風險溢酬與市場波動間存在雙向的因果關係，而其中大的波動風險溢酬伴隨較高的市場波動的證據支持回饋效果的存在。非線性因果測試結果亦發現波動風險溢酬的回饋效果存在於連續波動(continuous volatility)、負波動跳躍 (negative jump volatility)與正波動跳躍(positive jump volatility)，即使控制在會產生波動的訊息的衝擊下，此回饋的效果亦維持顯著。

This dissertation consists of two separate essays on the volatility risk premium (VRP). The first essay is to examine the impact of option demand pressure on the volatility risk premium. The order imbalance in options is used to proxy for option net demand because this measure is easily observable from public order flows and the result based on this demand measure can be applied to the adjustment of the bid-ask quote of options for liquidity providers. Our empirical results show that demand in options can help to explain time-varying VRP. A positive (negative) demand pressure for an index option raises (decreases) the VRP. In particular, this effect of demand pressure on VRP becomes stronger at the arrival of market jumps. The second essay is to investigate the feedback effect of trading volatility risk premium. Large VRP attracts volatility trading that seeks to benefit from the temporary mispricing in volatility. This study suggests that such trading generates a feedback effect that subsequently raises the market volatility. Using linear and nonlinear Granger causality tests, the bidirectional influence between VRP and market volatility is documented. The finding of higher volatility following large VRP supports the existence of feedback effect. In the nonlinear test, the VRP is found to Granger cause the three volatility components: continuous volatility, negative jump volatility, and positive jump volatility. The feedback effect remains significant after controlling for information shocks that may lead to persistence in volatility.