%0 Journal Article
%T Volatility risk premium in Hong Kong stock market<br>波动率风险溢酬: 时变特征及影响因素
%A CHEN Rong
%A FANG Kun-ming
%A <br>陈蓉
%A 方昆明
%J 系统工程理论与实践
%D 2011
%I 
%X This paper estimated the volatility risk premium in Hong Kong stock market by examining the returns of delta-hedged option portfolio of Hang Seng Index call options and investigated its time-varying behavior.We find that there exists negative volatility risk premium in Hong Kong stock market,which shows that the volatility is stochastic and risk-averse investors hedge the volatility risk by investing index options.Index options are not redundant securities.Moreover,the volatility risk premium is time-varyin...
%K stochastic volatility
%K volatility risk premium
%K delta-hedged option portfolio<br>随机波动率
%K 波动率风险溢酬
%K 动态
%K delta
%K 中性期权组合
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=16524ECECD813043200B704917EB9C28&yid=9377ED8094509821&vid=4AD960B5AD2D111A&iid=E158A972A605785F&sid=A67EE05E56DA7F45&eid=BDEE8BA20F4733DB&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=15