中国金融学术研究网
CHINA FINANCIAL RESEARCH NETWORK

资本市场--资产定价
工作论文
2010-08-31 第3卷 第6期

编: 麻省理工学院斯隆管理学院金融学讲席教授,清华大学经管学院特聘教授。

执行主编: 杨之曙清华大学经济管理学院金融学副教授。


本期目录

Volatility Long Memory on Option Valuation

Yintian Wang Tsinghua UniversitySchool of Economics and Management

Evaluating Index Funds Performance in China

Zhao Yong China Merchants Group LimitedPostdoctoral Center
Ding Anhua China Merchants Securities.

Equity-link Momentum

Yulei Rao Central South UniversityBusiness School
Diefeng Peng Business SchoolCentral South University
Wenjing Jia Business SchoolCentral South University

GARCH Option Pricing Models, the CBOE VIX and Variance Risk Premium

Jinji Hao Peking UniversityHSBC School of Business
Jin E. Zhang The University of Hong KongSchool of Economics and Finance


论文摘要

Volatility Long Memory on Option Valuation

Yintian Wang Tsinghua UniversitySchool of Economics and Management

Volatility long memory is a stylized fact that has been documented for a long time. Existing literature have two ways to model volatility long memory: component volatility models and fractionally integrated volatility models. This paper develops a new fractionally integrated GARCH model, and investigates its performance by using the Standard and Poor’s 500 index returns and cross-sectional European option data. The fractionally integrated GARCH model signi?cantly outperforms the simple GARCH(1, 1) model by generating 37% less option pricing errors. With stronger volatility persistence, it also dominates a component volatility model, who has enjoyed a reputation for its outstanding option pricing performance, by generating 15% less option pricing errors. We also con?rm the fractionally integrated GARCH model’s robustness with the latest option prices. This paper indicates that capturing volatility persistence represents a very promising direction for future study.

Evaluating Index Funds Performance in China

Zhao Yong China Merchants Group LimitedPostdoctoral Center
Ding Anhua China Merchants Securities.

After the first index fund launched in 1999, the index fund market has been growing steadily in China. In this paper, we seek to measure and understand the tracking error of China based index funds. The results show that sample index funds exhibit an acceptable level of tracking error in general. Furthermore, by means of decomposition of tracking error variance we find that risk structure of sample funds keeps consistency with financial theory about indexing. While there is an exception such as Hua An MSCI China A share e.g., whole performance of the better run index funds suggests that indexing is practicable under China conditions.

Equity-link Momentum

Yulei Rao Central South UniversityBusiness School
Diefeng Peng Business SchoolCentral South University
Wenjing Jia Business SchoolCentral South University

This paper mainly finds that there is return predictability across equity-link firms in China’s stock market. By grouping the shareholder firms according to the shocks translated from their equity-link firms, we construct long-short momentum strategy to capture abnormal return of 2.01% per month, which we call “equity-link momentum”. After an array of adjustments based on risky factors and firm characteristics, the excess returns are still significant. However, the significance of equity-link momentum returns are sensitive to various attention proxies, such as firm size, past performance, turn over and mutual funds’ joint holding measurement, which is consistent with the hypothesis of limited attention.

GARCH Option Pricing Models, the CBOE VIX and Variance Risk Premium

Jinji Hao Peking UniversityHSBC School of Business
Jin E. Zhang The University of Hong KongSchool of Economics and Finance

In this paper, we derive the corresponding implied VIX formulas under the locally riskneutral valuation relationship proposed by Duan (1995) when various forms of GARCH model are proposed for S&P 500 index. The empirical study shows that the GARCH implied VIX is consistently and significantly lower than the CBOE VIX for all kinds of GARCH model investigated. Moreover, the magnitude of the difference suggests that the GARCH option pricing model is not capable of capturing the variance premium, which indicates the incompleteness of the GARCH option pricing under the locally risk-neutral valuation relationship. The source of this kind of incompleteness is then theoretically analyzed. It is shown that the framework of GARCH option pricing model fails to incorporate the price of volatility risk or variance premium.


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