Research On The Determinants Of Price Discovery For ETF Options And Futures Based On Sse 50 Index

The listing of SSE 50 ETF options marks the new era of diversified investment and risk management in China's financial markets,and the listing of SSE 50 index futures and CBI 500 index futures enrich the Chinese financial derivatives markets.However,during the stock market crash in 2015,a number of people said that the financial derivatives triggered the crash.For a while,financial derivatives have become the targets of criticism,and the reasonableness and function of derivatives are pushed to the cusp.The price discovery function is the most basic market function of the financial derivatives,and it is the basis of the existence and development of the derivatives market.Due to the latest listing of the SSE 50 ETF options and the SSE 50 stock index futures,it is need to test the market function of them.In addition,whether the financial derivatives triggered and accelerated the crash? Whether the price discovery function exhibited time varying and intraday pattern? And what's the determinants that cause the change of price discovery function? All of those problems need to be studied carefully.In view of this,this paper takes the SSE 50 derivatives market as the subject of research.Firstly,this paper analyzes and builds theoretical framework model of price discovery process and the determinants on price discovery function.Secondly,using 1-minute high frequency data to test the price discovery function of SSE 50 derivatives markets from lead lag relationship and contribution of price discovery aspects.Thirdly,this paper explores the time varying and intraday pattern of the price discovery function from three points of view,such as special interval,daily and intraday quotations.Then,this paper analyzes the impact of market quality,investors,transaction policies and macroeconomic information on price discovery function.Finally,this paper provides reference for the decision of the investors,and helps the regulatory authorities to perfect the supervision and development of the derivatives markets.First,using logical reasoning method and normative analysis method to analyze and build theoretical framework model of price discovery process and the determinants on price discovery function.After defining the connotation of price discovery function,this paper analyzes the mechanism and influence path of the option and futures price discovery function based on related theories and hypotheses.And then,from the perspective of market quality,investors,transaction policies and macroeconomic information,this paper builds theoretical framework model that affects the price discovery function.Second,using vector error correction model,generalized impulse response function and generalized information share model this paper analyzes the lead lag relationship and price discovery contribution of the four markets,namely,options,ETF,futures and index.The results show that there are bidirectional granger causality and cointegration relationship among the four markets.The impulse response of the futures market is faster and stronger than the other markets,and options,ETF and index are in the same level.All in all,the futures market leads to other markets,and the options market lags behind other markets.The contribution of futures price discovery is the largest,the index is following,and the options and the ETF market are relatively small.Both options and futures are much more contribution of price discovery than their underlying spots.It shows that the futures market plays a leading role in the process of price discovery,and also shows that the price discovery function of the SSE 50 ETF options market has been functioning normally.Third,vector error correction model,generalized information share model and wilcoxon rank sum test method are used to analyze the time varying and intraday pattern of the price discovery function.The results show that the impulse response of the futures market is still faster and stronger than the other markets,and both options and futures are lead their underlying spots during boom and crash period.The price discovery functions of options and futures are time varying,and present significantly intraday patterns.Fourth,using econometric analysis method to analyze the impact of market quality,investors,transaction policies on the price discovery function in options and futures markets.The results show that market volatility decreace the price discovery ability of options and futures markets.Investor sentiment and speculation significantly decreace the price discovery ability of futures,but have little effect on the price discovery ability of options.The change of transaction policies have significant impact on the price discovery ability of futures,but have little effect on the price discovery ability of options.Finally,this paper analyzes the impact of macroeconomic information on the price discovery function in options and futures markets.The results show that the announcement of macroeconomic information decreace the price discovery ability of options,but increace the price discovery ability of futures.In addition,different periods and different types of information announcement,as well as macroeconomic information indicators have significant impact on the price discovery function of options and futures.This paper analyzes the price discovery process and and the determinants on price discovery function,and builds the theoretical analysis framework for the first time,which is beneficial to enrich and develop the theory research of price discovery function.This paper analyzes the price discovery function of options and futures from the lead lag relationship and price discovery contribution perspectives.It is helpful to verify the market function of the SSE 50 ETF options and stock index futures,which will help investors to avoid risk and choose the appropriate way of investment.This paper explores the time varying and intraday pattern of the price discovery function from three points of view,such as special interval,daily and intraday quotations.It is helpful to explain the role of financial derivatives during the crash period of stock market and master the change characteristics of price discovery function.Research on the impact of market quality,investors,transaction policies and macroeconomic information on the price discovery function of options and futures is helpful to exlore the determinants of price discovery,and helps the regulatory authorities to regulate and develop the financial derivatives market.