摘要
对于金融市场，波动性是其最重要的特性。波动性无论是在市场风险的控制、交
易策略的制定还是在相关金融衍生品的定价当中都起着极其重要的作用。在金融市场
当中波动性这一特质是必不可少的，但波动性过大又会使得投资者面临巨大的风险，
从而导致市场当中的投资者产生恐慌情绪并对金融市场失去信心从而退出市场交易。
因此，衡量市场的波动性程度，并把握投资者恐慌情绪的程度就显得十分必要。目前
全球市场当中，美国芝加哥期权交易所推出的 VIX恐慌指数，是衡量投资者恐慌情绪
以及市场波动性的重要标杆。该指数现已在美国金融市场中扮演核心基准指标的角
色，投资者利用其可以达到风险预判的目的。本文尝试基于我国期权市场真实情况，
并参照美国 VIX恐慌指数编制方法，以此来构建一个能够衡量国内金融市场波动性以
及投资者情绪的恐慌指数。本文的整体研究思路都将围绕 VIX恐慌指数的编制原理、
市场功能以及统计特征展开。首先对本文的选题背景进行介绍，并交代研究目的与意
义，随后对全文的整体研究脉络和以美国芝加哥期权交易所 VIX恐慌指数的编制方法
为核心的相关理论基础进行详细阐述。并在此基础上，融合国内期权市场的特征来编
制符合我国金融市场的恐慌指数（KVIX）；进而分析我国恐慌指数（KVIX）和国内
相关指数及其收益率的关系，并与美国 VIX恐慌指数在功能特性上进行对比分析，以
此来研究该恐慌指数（KVIX）的特征和预测效果，并提出相关对策与建议。
关键词：上证 50ETF期权；波动率指数；恐慌指数；预测效果
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ABSTRACT
Volatility is the most important characteristic of financial markets.Volatility plays an
important role in the control of market risks, the formulation of trading strategies and the
pricing of related financial derivatives.Volatility is essential in the financial market, but if
the volatility is too large, investors will be exposed to huge risks, which will lead to panic
and loss of confidence in the financial market and withdrawal from market
transactions.Therefore, it is necessary to measure the volatility of the market and grasp the
degree of investor panic.At present, in the global market, the VIX fear Index launched by
the Chicago Board Options Exchange is an important benchmark to measure investor panic
and market volatility.The index now serves as a central benchmark for U.S. financial
markets, allowing investors to predict risk.Based on the real situation of the option market
in China, this paper tries to construct a fear index that can measure the volatility of the
domestic financial market and investor sentiment by referring to the compilation method of
the VIX fear index in the United States.The whole research idea of this paper will focus on
the compilation principle of VIX fear index, market function and statistical
characteristics.Firstly, the background of this paper is introduced and the purpose and
significance of the research is explained. Then, the overall research context and the
theoretical basis of the cBOE VIX fear index are described in detail.On the basis of this, the
author integrates the characteristics of the domestic options market to compile the fear
index (KVIX) in accordance with China's financial market.Then analyze the relationship
between China's fear index (KVIX) and domestic related indexes and their rates of return,
and compare with the U.S. VIX fear index in functional characteristics, in order to study the
characteristics and prediction effect of the fear index (KVIX), and put forward relevant
countermeasures and suggestions.
Key words: SSE 50ETF option;volatility index; panic index;forecasting effect
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