The Crash of '87: Was it Expected? The Evidence from Options Markets.

试图解释1987年10月全球股市崩盘原因的努力受到了影响，因为当时没有出现可能引发崩盘的重大经济发展。货币政策预期的转变、外国投资者对美元贬值的担忧、资产风险的增加——这些因素似乎都不足以解释此次崩盘的严重程度。该项目的目的是确定崩盘前投资者的预期气氛是否如此，这些预期本身可能是导致崩盘的主要因素。在芝加哥商品交易所交易的股票期权期货的交易数据将被分析以调查这些预期的性质。在这方面，这些数据应该特别有用，因为从理论上讲，期权价格和标的资产价格之间应该存在密切的关系。例如，市场崩盘的可能性很大，将导致看跌期权的价格相对较高，只有在股市大幅下跌时才能获得回报。该项目将从期权数据中收集有关市场崩溃预期的新见解。这项研究很重要，因为它应该证实或质疑崩盘是一个自我实现的预言的假设。他认为，股市崩盘只是因为投资者认为股市估值过高，并预期股市会崩盘。

Attempts to explain what caused the stock market crashes around the world in October, 1987 have suffered from the paucity of major economic developments occurring around that time that could have triggered the crashes. Shifting expectations regarding monetary policy, foreign investors' fears of a dollar decline, increasing riskiness of assets--none of these appeared major enough, if at all, to explain the magnitude of the crashes. The purpose of this project is to determine whether the climate of investor expectations before the crash was such that these expectations, in and of themseleves, could have been a major factor in causing the crash. Transactions data for stock-option futures traded on the Chicago Mercantile Exchange will be analyzed to investigate the nature of these expectations. These data should be especially informative in this regard because, theoretically, there should be a close relationship between option prices and underlying asset prices. For example, a significant probability of a market crash will lead to relatively high prices for put options that pay off only when the stock market falls substantially. This project will glean new insights from the options data about expectations of a market crash. This research is important because it should corroborate or discredit the hypothesis that the crash was a self-fulfilling prophesy--i.e., that the market crashed because investors simply viewed it as over valued and expected a crash.