经济政策不确定性与期权市场参与：对冲还是投机？

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review Pub Date : 2024-10-01 DOI:10.1016/j.bir.2024.04.006

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引用次数: 0

摘要

利用上海证券交易所 50 交易所交易基金（上证 50 ETF）期权的数据，我们研究了经济政策不确定性（EPU）对期权市场参与的影响。我们发现，经济政策不确定性的增加会明显诱导投资者参与期权市场，并且这种积极影响在随后的三个月内仍然显著。进一步的研究表明，EPU 大幅提高了上证 50 ETF 期权的交易量与未平仓合约的比率，但对看跌套期保值的需求并无明显影响。此外，EPU 对投资者参与的刺激作用在投资者情绪高涨时更为明显。这些研究结果表明，在经济不确定性较高的时期，投资者参与期权市场的增加是由于投机交易而非套期保值。

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Economic policy uncertainty and options market participation: Hedge or speculation?

Using data from the Shanghai Stock Exchange 50 exchange-traded fund (SSE 50 ETF) options, we examine the impact of economic policy uncertainty (EPU) on options market participation. We find that increased EPU significantly induces investor participation in the options market, and this positive effect remains significant over the following three months. Further investigation shows that EPU significantly increases the ratio of trading volume to open interest in SSE 50 ETF options but has no significant impact on the demand for bearish hedging. Moreover, EPU's stimulatory effect on investor participation is stronger during periods of higher investor sentiment. These findings suggest that increased investor participation in the options market during periods of high economic uncertainty is due to speculative trading rather than hedging.

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来源期刊

Borsa Istanbul Review Multiple-

CiteScore

7.60

自引率

3.80%

发文量

130

审稿时长

26 days

期刊介绍： Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations