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莫尼塔(北京)–策略深度:從隱含波動率看股市未來走勢【投資策略】_研報(yanbao)

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【研究報告內容摘要】

波動率是資產價格偏離其均值的幅度。雖然波動率包含了相對較少的信息,但更能夠準確反映投資者分歧、風險偏好和羊群效應.我們用上證50ETF期權合約的隱含波動率與未來一期指數實現波動率進行擬合,結果顯示隱含波動率對股市未來波動有一定預測力。

目前,全球範圍內資產波動率處於歷史下沿,強勢美元正在壓縮美元資產價格的波動空間。飆升的新興市場貨幣波動率正在反映一個事實:這些國家將國內資產價格的壓力向外部釋放,以意圖平抑國內抵押品價格波動率的抬頭。布雷頓森林體系瓦解後,美元信心建立於不斷增加的美元儲備。貿易差額的再平衡將可能使新興市場資產波動向美元資產傳導,當前美股黑天鵝指數與VIX指數走勢的背離正在反映積聚的尾部風險。美國市場高波動率的回歸將制約未來國內資產波動率的下行空間。

中國股市波動率自去年三季度上台階,同期風險溢價結束下行趨勢開始回升。當前階段,波動率對風險偏好具有解釋力。在波動率放大後,A股夏普比率顯著地受制於預期收益率水平,資金向其他資產轉移。一個情況是,2011年股市大幅下挫後波動率開始企穩,但股市風險溢價繼續上升。我們認為這反映出市場平抑波動率機制的匱乏。中長期來看,市場風險偏好仍有繼續上行空間,市場波動率會在跟隨上升後回落,進入漫長的自我穩定階段。

通過隱含波動率,我們能獲得什麼?其一, 我們用信用利差、經濟政策不確定性和外部衝擊對中國市場2015年以來的波動率進行解釋,我們發現:雖然美股波動率與信用利差高度正相關,但在中國信用利差的解釋力非常有限;今年以來,上證50ETF隱含波動率主要跟隨中美貿易戰局勢的演進和人民幣匯率變動。例如,在3月貿易戰正式開打和5月貿易戰階段性緩和前,隱含波動率已提前上升和下降,反映出正確的市場預期。在一些關鍵時點前,我們可以通過隱含波動率的走向推測相關風險事件的結果。

其二,波動率具有均值回歸的特點,其在觸及區間上沿後大概率回落。中美貿易摩擦關鍵時點造成的波動率脈衝強度在逐次減弱,表明外部衝擊對A股的影響在邊際弱化。目前指數處於下行通道中,波動率高位回落意味着指數會逐步企穩。波動率能夠反映市場分歧。波動率先升後降的過程往往意味着市場分歧的產生和結束,市場短期底部形成。

其三,通過追蹤隱含波動率曲面形態,市場尾部風險可以被定量觀測。黑天鵝指數即是衡量市場尾部風險的一種指數。目前,上證50ETF隱含波動率曲面在陡峭化,反映市場出現極端分歧。

最後,通過判斷波動率所處的絕對水平和變化趨勢,我們可以判斷單邊行情的延續性。我們使用中信風格指數考察國內市場不同風格(板塊)間相關性與隱含波動率的關係,我們發現隱含波動率與板塊間聯動性正相關。隱含波動率的上升對應着板塊間漲跌幅的趨同,單邊行情難以為繼;當隱含波動率處於下行區間時,板塊最大漲跌幅走擴,市場風格變得鮮明。

從波動率的角度來看待市場:目前(指數下行通道中)高企的波動率決定配置上仍應以低Beta價值股為守,而波動率觸及上沿後均值回歸的過程將制約市場繼續下探的空間。

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關於牛牛網:

牛牛網是一個港股分享平台,由會員(專業港股投資者、草根資深港股投資者、香港投行專業人士、香港證券界投資大咖、香港財經公關高手和香港財經媒體資深專家)本着分享共贏的理念,將每日港股中最有價值的資訊、研報、研討會和調研資料、上市公司PPT、香港報刊股評等信息在牛牛網港股平台進行分享。我們希望彙集眾多專業人士的力量,本着“人人為我,我為人人”的精神,讓涓涓細水匯聚成河,通過會員們的努力打造一個港股專業資訊眾包平台,打造最專業和最齊全的港股投資資訊分享平台。我們倡導:發現港股投資價值。

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