[1]张普,高传三,杨珺涵.信息不对称、期权博弈与股价波动[J].常州大学学报(社会科学版),2020,21(03):66-76.[doi:10.3969/j.issn.2095-042X.2020.03.008]
　Zhang Pu,Gao Chuansan,Yang Junhan.Asymmetric Information, Option Game and Stock Price Volatility[J].Journal of Changzhou University(Social Science Edition),2020,21(03):66-76.[doi:10.3969/j.issn.2095-042X.2020.03.008]
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信息不对称、期权博弈与股价波动()
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常州大学学报(社会科学版)[ISSN:2095-042X/CN:32-1821/C]

卷:
第21卷
期数:
2020年03期
页码:
66-76
栏目:
经济·管理学研究
出版日期:
2020-06-20

文章信息/Info

Title:
Asymmetric Information, Option Game and Stock Price Volatility
作者:
张普; 高传三; 杨珺涵
Author(s):
Zhang Pu;  Gao Chuansan;  Yang Junhan
关键词:
不对称信息;  期权博弈;  随机波动;  波动性价值
Keywords:
asymmetric information;  option game;  stochastic volatility;  volatility value
分类号:
F830.9
DOI:
10.3969/j.issn.2095-042X.2020.03.008
文献标志码:
A
摘要:
基于不对称信息假设和期权博弈思想构造股票波动性价值模型,从股票价格构成贡献率(即波动性价值)的视角描述股价波动,分析信息水平与波动的关系。研究结果表明:信息不对称程度能显著放大其他因素对波动性价值的影响,甚至带来波动性风险和波动性价值之间的转化; 现金红利率是影响股票波动性价值的首要因素,二者呈负相关; 较大的预期平均波动率导致波动性价值绝对值增大; 波动率的变化率作为反映波动率变异程度的指标,可能给市场参与者带来额外的交易机会,进而改变波动性价值的方向; 但它们都将受信息水平的影响和制约。研究结果进一步完善了资产定价领域关于股票波动性问题的研究,并为监管部门加强市场信息建设,制定规范上市公司信息披露行为等政策措施提供理论依据。
Abstract:
Based on the hypothesis of the asymmetric information and the idea of option game to construct the model of stock volatility value, from the perspective of the composition contribution rate of stock price(i.e. volatility premium)to describe the stock price volatility, the relationship between information and volatility is analyzed. The results show that the degree of information asymmetry significantly enlarges the effects of other factors on the volatility value, even causes the transformation between the volatility risk and the volatility value; cash dividend rate is the primary factor affecting the stock volatility value, and the two parts have a negative correlation; the larger expected average volatility rate leads to an increase in the absolute volatility value; the change rate of volatility, as an index reflecting the degree of volatility variability, may bring additional trading opportunities to market participants, thereby changing the direction of the volatility value; but they are all influenced and restricted by information. The research results further improve the study of stock volatility in the field of asset pricing and provide the theoretical reference for regulatory authorities to strengthen the market information construction and standardize the information disclosure policies of listed companies.

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备注/Memo

备注/Memo:
作者简介:张普,管理学博士,常州大学商学院教授、硕士研究生导师; 高传三,常州大学硕士研究生; 杨珺涵,美国南卡罗来纳大学商学院学生。
基金项目:国家社会科学基金一般项目“意外冲击、异质信念与中国股票市场波动性价值研究”(14BJY183 ); 江苏省研究生科研与实践创新计划项目“基于有限理性的中国股票市场波动性价值研究”(KYCX18_2637)。
更新日期/Last Update: 2020-06-30