Tail risk aversion and backwardation of index futures
研究发现，以期权市场隐含的偏度风险溢价衡量的尾部风险厌恶，解释了2015年中国股市崩盘期间股指期货异常深度现货溢价的很大一部分，而传统因素如非同步交易、现货收益、波动率和流动性均无法解释。
We show that tail risk aversion, proxied by the skewness risk premium implied from the SSE 50 ETF options market, explains a significant proportion of the unusually deep backwardation of index futures during the 2015 Chinese stock market crash, while traditional factors such as non-synchronous trading, spot return, volatility and liquidity, all fail to explain the backwardation. These empirical results imply that investors' concern over the crash risk causes speculators to charge a high ‘insurance premium’ on hedgers. On the other hand, short-sale constraints, namely high security borrowing costs and other barriers, prevent reverse arbitrage such that the deep backwardation of index futures persists.