Abstract：In comparison to the US market, we use several methods to study the volatility risk and the volatility risk premium in China's market. We find that there exist anomalies in China's market. First, unlike the US market, the volatility risk in China's market is not a systematic risk on the whole. It is time-varying, and shows significantly negative during crash period while significantly positive during non-crash period. Second, the option-implied volatility risk premium in China is negative although the volatility risk is not a systematic risk, which differs from the US market and does not match the principles of finance. That might mean the options should be continuously overpriced in China. It is proved by the simulation of the Buy-Write strategy.
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2019, Vol. 39 
