The Put-Call-Parity Deviation Of SSE 50ETF Option ——Cause Analysis And Application Test

This paper takes the put-call-parity（PCP）deviation of SSE50 ETF option as the theme.Through the analysis of general equilibrium model and empirical analysis,it is confirmed that in Chinese financial market with trading restrictions and investor segmentation,the PCP deviation is caused by investors’ heterogeneous beliefs.When the retail investors are relatively optimistic,the PCP deviation is positive.Vice versa.In the general equilibrium analysis,this paper constructs a two-stage general equilibrium model of discrete time,which includes two tradable assets:spot and options,and sets different representative investors facing corresponding trading restrictions and market access threshold,so as to capture the characteristics of the Chinese market as much as possible.Based on the definition of PCP deviation as lnSt/Ct+K/R∫-Pt,this paper finds that in Chinese market,when retail investors are relatively optimistic,PCP deviation is positive,which is caused by the undervalued call options and overvalued put options,and the positive deviation of PCP is directly proportional to the degree of optimism of retail investors;when retail investors are relatively pessimistic,the deviation of PCP is negative,which is caused by overvalued call option and undervalued put option,and the negative deviation of PCP is directly proportional to the degree of pessimism of retail investors.In the empirical analysis,this paper takes closed-end fund discount rate,important stock index turnover rate,trading volume and trading amount as retail investors’ sentiment,and then finds that PCP deviation and retail investors’ sentiment do show significant positive correlation,the two trends are highly consistent,which verifies the correctness of the analysis of PCP deviation by general equilibrium model.PCP deviation contains investor sentiment information.Based on the above analysis of the PCP deviation,this paper,from the perspective of investor sentiment,explores the application significance of PCP deviation of SSE 50ETF options in time series prediction power and cross-sectional pricing ability,and compares it with 16 derivatives sentiment indicators and 24 non derivatives sentiment indicators commonly used in China.In terms of time series forecasting power,this paper finds that the difference value of PCP deviation rather than its original value has significantly negative forecasting power on stock index excess return,and among many investor sentiment indices,the difference value of PCP deviation has the highest daily forecasting power.In monthly forecasting,its forecasting power also can not be ignored.It is also found that the difference value of PCP deviation has good prediction ability for the excess return of the size and book to market ratio characteristic portfolio.Small size companies and growth companies（low book to market ratio）have stronger sensitivity to the difference value of PCP deviation.When using bivariate envelope regression to compare the prediction power of PCP deviation with other sentiment indices,we find that PCP deviation difference value can not completely cover the prediction information provided by other sentiment indices,and different sentiment indices will provide different dimensions of sentiment information.In terms of cross-section pricing ability,we find that PCP deviation has pricing ability in cross-section.In single variable grouping,with the increase of PCP deviation Beta,the stock portfolio will have higher excess return.The return difference between high Beta portfolio and low Beta portfolio is significantly not equal to 0,and the long-short portfolio constructed according to the degree of PCP deviation risk exposure can obtain significant positive excess return.However,in Fama-MacBeth regression,it is found that Beta with PCP deviation can not provide cross-sectional pricing capacity that exceeds earnings-to-price ratio（EP）,liquidity market size（LiqSize）,revenue-to-equity ratio（RE）and turnover（Turn）.Wh en comparing the cross-sectional pricing ability of PCP deviation and other sentiment indicators by bivariate grouping and Fama-MacBeth regression,we find that PCP deviation can not completely cover the cross-sectional pricing ability information provided by other sentiment indicators,and different sentiment indicators will provide different dimensions of sentiment information.