熊海芳,黄超

• 1:东北财经大学金融学院

摘要(Abstract)：

本文利用上证50ETF期权市场上市以来至2020年10月的日度数据研究期权市场短期内MAX异象。实证结果显示:上证50ETF期权市场中短期内无论全期权市场还是单个期权合约,MAX指标对期权的超额收益率存在显著的动量效应,短期之后呈现显著的反转效应,中国期权市场短期内博彩心理占主导;高MAX组合与低MAX组合平均期权超额收益率之差达到17.55%。在投资者博彩性投机心理作用下,MAX指标无论在短期内还是长期内都具有明显的正向传递现象。长期看,期权市场中MAX指标对期权超额收益率的动量效应逐渐减弱,"彩票型"投资者对价格的影响逐渐降低。MAX动量效应与衰减可以从期权买卖双方保证金差异以及时间价值衰减角度解释。期权的"末日轮"行情与期权市场的"博彩型"投资心理无关。

关键词(KeyWords)： 上证50ETF期权;MAX动量;博彩偏好;末日轮

Abstract:

Keywords:

基金项目(Foundation): 国家自然科学基金面上项目“股市极端波动中流动性螺旋的微观机制与治理研究”(71873023);; 辽宁省教育厅青年科技人才“育苗”项目“公司债券信用溢价的共同因子与结构变化:基于机器学习算法(LN2019Q53)”;; 辽宁省社会科学规划基金项目“融资冲击、风险叠加下辽宁金融支持实体经济的创新路径研究(L19AJY004)”;; 东北财经大学2020年度校级科研项目(DUFE2020Y21)的资助

作者(Author): 熊海芳,黄超

DOI: 10.16513/j.cnki.cje.20210420.001

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• (1)中信证券卖出开仓的保证金制度见网址:http://www. cs. ecitic. com/newsite/bdp/gpqq/jygz/