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

人们试图解释1987年10月全球股市崩盘的原因，但由于当时缺乏可能引发股市崩盘的重大经济发展，人们试图解释这一点。对货币政策的预期变化，外国投资者对美元贬值的担忧，资产风险的增加--这些似乎都不足以解释崩盘的规模。这个项目的目的是确定崩盘前的投资者预期环境是否会导致这些预期本身成为导致崩盘的主要因素。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。这些数据在这方面应该特别具有信息性，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，市场崩盘的极大可能性将导致看跌期权的价格相对较高，而看跌期权只有在股市大幅下跌时才会获得回报。这个项目将从期权数据中收集有关市场崩盘预期的新见解。这项研究之所以重要，是因为它应该证实或否定这样一种假设，即股市崩盘是一种自我实现的预言--即市场崩盘是因为投资者认为它估值过高，并预计会发生崩盘。

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.