A Empirical Research On The Lead-lag Relationship Between The SSE 50 ETF Options Market And Spot Market

In recent years, the innovation and development of financial derivatives has a profound impact to the international financial markets. Meanwhile, the degree of our financial market is deepened gradually, the development of financial derivatives market is accelerating and the understanding of financial derivatives is more and more deep.On April 2012, the CSI 300 index futures listed two years later, China financial futures exchange started the simulation trading CSI 300 index options. On February 9, 2015, the SSE 50 ETF option has been launched, and from now on our country into stock index options era, so it is important for us to study the relationship between stock index options and its spot market. Whereas the study of stock index derivatives mainly takes the stock index futures and spot price as the research object, few of study focus on the relationship between stock options and spot market.This article takes the SSE 50 ETF and options as the research object. According to the degree of the volatility of SSE 50 ETF and options, we use MS-VAR nonlinear model to study the lead-lag relationship between stock options and its spot market, in order to provide theoretical support and improvement for the development of Chinese stock derivatives market. And then put forward suggestions to participants on the basis of the combination of China’s economy, stock market present situation and the possible influence factors of the China stock options.