Study On The Effects Of Information Acquirement Of Price Discovery In Options Market On The Forecast Of Share-price Volatility In A Stock Market

In February,2007 and June,2015,Chinese stock market suffered from collapse and as a result,domestic investors lost a considerable amount of money.In view of that market volatility index is important regarding measurement of market risks and investors' judgement on market trend,it is highly necessary to build a volatility index that able to effectively reflect the market risk in C hinese stock market.In this paper,based on the stock market of China and the United States as empirical research object,from the reality of significant difference between information set under the background of the market validity significant difference,explore how information set differences affect the level of stock market volatility forecast.On the basis of adopting mainstream volatility estimation model to estimate market volatility,this article uses the static forecast method to forecast the level of market volatility,and if necessary to index the volatility levels predicted.In order to study how information set differences influence on market volatility levels forecast,this paper first compares the differences in the level of stock market volatility forecast between Chinese and American,and verifies the importance of options information for stock market volatility level prediction by deletion method.Then,starting from the market linkage between Hong Kong stocks and A shares,this paper uses the VAR model to empirical test of the Hong Kong stock and A stock volatility spillover effect,and then extract the information of the Hong Kong option market.by taking advantage of Black-Scholes option pricing formulas,and at last it is verified that the Hong Kong option information is introduced to the optimization of the domestic stock market.By comparing the empirical test results of the stock market of C hina and the United States,the two main conclusions will be drew.O ne of them is that in view of significant difference in market efficiency,information set differences will affect market volatility levels predict,overall speaking,along with the market efficiency gradually improved,the content of the information set and the quality of information will change,and the forecast of volatility in the stock market will be more dependent on the expected information extracted from the options market.Another is that on the current terms,there is a significant volatility spillover effect between A shares and Hong Kong stocks,and in this context,the introduction of Hong Kong option information in the forecast on the domestic stock market volatility level,can improve the forecast effect of domestic stock market volatility level.Apart from two main conclusions above,additional conclusions such as that there not only exists a obvious leverage effect of C hina and the United States stock market volatility,but also good and bad news for the asymmetric shock effect of market volatility in the two countries are at opposite poles.