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系统工程理论与实践 2011
Volatility risk premium in Hong Kong stock market
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Abstract:
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...
