研究文章
期权的隐含信息可以预测股市的流动性?数据驱动的研究基于SSE 50 etf选项
|
|
150 d |
180 d |
210 d |
240 d |
270 d |
300 d |
330 d |
360 d |
|
| 四世 |
0.015 (1.18) |
0.007 (0.54) |
0.023(1.84) |
−0.020(−1.64) |
−0.010 (−0.78) |
−0.005 (−0.40) |
−0.018 (−1.45) |
−0.033(−2.52) |
|
| RF |
3.878(7.11) |
4.279(7.84) |
5.937(11.04) |
4.961(9.05) |
5.565(9.92) |
5.316(9.38) |
4.999(8.81) |
3.367(5.80) |
|
| 先生 |
0.022 (0.36) |
0.033 (0.53) |
0.009 (0.15) |
−0.063 (−1.05) |
−0.054 (−0.89) |
−0.017 (−0.27) |
−0.017 (−0.27) |
−0.135 (−2.12) |
|
| 呃 |
0.015(2.98) |
0.021(3.99) |
0.036(6.98) |
0.030(5.85) |
0.039(7.50) |
0.043(8.21) |
0.044(8.32) |
0.039(7.25) |
|
| 圆形的 |
−0.003 (−0.25) |
0.008 (0.67) |
0.008 (0.73) |
0.009 (0.82) |
−0.010 (−0.87) |
−0.012 (−1.03) |
0.012 (0.95) |
0.006 (0.50) |
|
| 调整R2(%) |
4.28 |
5.92 |
10.92 |
12.78 |
15.40 |
15.70 |
17.47 |
15.00 |
|
|
