An Empirical Analysis Of The Impact Of Stock Index Options On The Spot Market

Option is a kind of mature financial derivatives in the international stock markets,which own a significant influence to the steady development of the financial market.Stock options can be derived from in the United States as early as the 1870 s,followed by rapidly development,has become one of the most important members in the international derivatives market.The development of options market in China is relatively slow,it is February 9,2015 since our Shanghai 50 etf options began to be listed for trading,which contributes to perfecting our country's financial derivatives market,especially in the area of better achieving its price discovery,reducing market volatility and cultivating institutional investors to improve the competitive ability of the industry,and other functions as well.On the data selection,this article selects the 5 mins high frequency data of Shanghai 50 etf closing price from October 15,2014 to September 30,2015,with a total number of 11472,aims at analyzing the volatility between index options and the underlying asset price.And 5 mins high frequency data of Shanghai 50 etf option closing price which owns the largest trading volume of continuous contracts,with a total number of 3840(near delivery day automatically jump to the same contract next month)from May 5,2015 to September 30,2015,9 am to 3pm,aims at analyzing the correlation between the above two assets.This paper choose the above data aims at analyzing the variance volatility of index options and the underlying asset,through stationarity test,cointegration test,Granger causality test,lead lag relationship test,impulse response model from multiple dimensions analysis the correlation.According to the analysis,we found that the yield of Shanghai 50 etf index volatility increases as the result of the list of options,moreover,the decrease of share prices fluctuates greater than the same amount of increase,and the list of options failed to offset this asymmetry.At the same time,the lead lag relationship in correlation analysis shows that under 5%significance level,Shanghai 50 etf leads the underlying index options from lagging first to the lagging six order,so it is not appropriate for many researchers blaming the outbreak of stock crash on financial derivatives such as the options.