The Impact Of The 50 ETF Options On The Market

Options is a mature product in the international financial market,comparatively,China's options market development is latter,the SSE 50 ETF option has introduced into the market until February 9,2015.Although domestic and foreign scholars has done mounts of researches about the impact of options listing on volatility of market,the conclusions are not consistent,so this paper presents an empirical analysis of China's financial market data in order to find out whether the option has played a positive role in reducing the volatility of the market or not.At the same time,taking domestic special investor structure into account,on the basis of the above research,the impact of option listing on the market's investor structure were studied.In this paper,the GARCH / EGARCH model with dummy variables is used to model the volatility of different assets at different frequencies to study whether market volatility is affected.High-frequency data are used to study the short-term impact of options listing,and low-frequency data for the long-term effects.Taking into account the comprehensiveness of the study,we select the underlying assets of the SSE 50 ETF as the object of study,at the same time,a small market value of the combination is also selected,and after the initial study and option listing has played a positive role in the short term both on the volatility of the SSE 50 ETF and portfolio of small corporations has played a positive role.In the further study the impact of the introduction of options is differentiated in the long term,though volatility of the SSE 50 ETF has reduced,volatility of portfolio of small corporations is not significant.In the conclusion of this paper,we explain the reasons for the impact of options on short-term and long-term market volatility.Then on the basis of the above research,this paper explores the impact of the introduction of the SSE 50 ETF option on investor structure.The SSE 50 ETF is used as the research object,and the adjusted positive feedback model obtains conclusion that option improves investor structure of the 50 ETF market.Finally,a HAR-RV-J model with jump is used to model realized volatility,which strengthens the conclusion of the above research and explores the reasons for the change of investor structure in the underlying asset market.