The Effect Of Stock Index Options On The Index's Volatility

This paper make the research of the impact of SSE 50 ETF option on the SSE 50 index volatility from two aspects of theory and empirical.After reviewed the relevant research dynamic about options affect on the spot market at home and abroad, the paper briefly stated the development process of the options and got an overview of the SSE 50 ETF options contracts in our country, and then from the angle of the general theory introduced the function of options and the transmission mechanism of the spot market fluctuations from options. According to the time of the SSE 50 ETF options listing, the SSE 50 index futures listing and the stock-market crash, 5 minutes of high-frequency data of SSE 50 index were divided into multiple samples, and used the original GARCH model and the improved GARCH model with a virtual variables studied the fluctuation of the index, and then checked the information asymmetric characteristics in Shanghai Stock Exchange with the EGARCH model. Research results show that the SSE 50 ETF options reduced the volatility of SSE 50 index in both short-term and mid-and-long term, and increased the transfer efficiency of the market information. And in the aspect of information asymmetric showed that market have different characteristics in different stages, the specific performance is that good news has a greater impact to market than bad news before and after the listing of SSE 50 ETF options in short term, but on the contrary,the market has a greater impact from bad news than good news after the SSE 50 index futures and during the stock market crash and the whole study period. Finally, the paper offered some referential suggestions aimed at the capital market especially the derivatives market in China, including strengthen risk control and supervision,accelerate the derivatives market legal system construction, rich the varieties of options contracts, and optimize the structure of investors.