Abstract: This paper studies the SSE 50ETF option, and examines the effect of market sentiment on the skewness of the SSE 50ETF. Different from previous related studies, this paper decomposes the market sentiments that may lead to the left-skewed implicit distribution of options, and empirically examines the principal components of sentiments that are decomposed, the relationship between the components, and the characteristics of left-skewed distribution. It investigates irrational sentiment which crosses the market between the underlying market and the derivative market to further explore the root causes of market instability. The findings reveal that the risk-neutral skewness of daily SSE 50ETF return is more (less) negative when irrational sentiment becomes more bullish (bearish). These relations are still significant and robust when the realized volatility and relative demand on option etc. are controlled. It means that it is not feasible to extract information of expectations for the future only from the SSE 50ETF option at present.

Key words: left-skewed distribution, investor irrationality, cross-market sentiment, misvaluation

摘要： 以上证50ETF期权为研究对象，重点分析上证50ETF的隐含偏度与市场情绪之间的关系。与以往的相关研究不同，对于可能引致期权隐含分布左偏的市场情绪进行了分解，通过对所分解的情绪成分及其与左偏分布特征的关系进行实证检验，重点研究了情绪中的非理性成分在原生市场和衍生市场之间的跨市场传递，以进一步探究出影响市场稳定性的根源。研究表明：上证50ETF隐含分布的左偏程度与市场中的非理性情绪紧密相关，具体而言，非理性情绪越高涨，隐含分布越是呈现左偏；并且，在对已实现波动率、期权相对需求等变量加以控制以后，结论依然成立。这意味着，现阶段，仅从我国ETF期权市场中提取关于ETF未来预期信息的想法不可行。

关键词: 左偏分布, 投资者非理性, 跨市场情绪, 定价偏差