Research On Implied Liquidity Of Stock Based On Option Market

Liquidity is an important factor that determines the quality and stability of the securities market.Meanwhile,the lack of liquidity often causes huge risks to the stock market.But Recalling the previous domestic and foreign scholars' studies of liquidity,especially liquidity measurement methods,both the price method and the volume method use the stock market's own information to get a liquidity indicators.So,these indicators of liquidity have less predictive ability to the actual liquidity in the future.In view of this,the purpose of this paper is to explore a measurement method that can effectively predict market liquidity based on previous research.From the point of view of investors' behavior,if rational investors in the market predict that the liquidity of the stock market will drop drastically in the near future and the asset prices fall sharply,then they will immediately take hedging measures.At present,due to the earnings of options are asymmetric,most investors with long positions of stocks buy put options to lock in their own returns.As the demand of put options suddenly enlarges,it inevitably leads to a rise in the price of put options while a small change in underlying asset prices.Therefore,this paper thinks that the option price will contain market forecast information for liquidity.Further,referring to the concept of Implied Volatility of Options",this paper proposes the "Implied Liquidity"(IL)indicator,which refers to information that is predictive of the future liquidity of underlying assets implied in option prices.In terms of theoretical calculations,Feng et al.successfully derived an option pricing analysis formula that includes liquidity factors in 2016,and empirically shows that the pricing effect is better than the traditional BS Model.This research result lays a theoretical foundation for the solution of the Implied Liquidity indicator.With reference to the calculation method of Implied Volatility,this paper uses the actual option trading price and successfully pushes down the Implied Liquidity indicator according to the analytical formula containing the liquidity factor.And the Implied Volatility is substituted by the Model-Free Implied Volatility.Finally,this paper selects the 50-ETF option,the only stock option in the A-Share Market,as the empirical object.The empirical sample range is the data of the 1038 option contracts from the date of the official listing of the option to the end of 2017.Firstly,the Model-Free Implied Volatility is obtained by referring to the calculation method of the SSE 50 ETF Volatility Index(iVX).Then,the Implied Liquidity indicator(IL)is calculated and the predictability of IL is finally tested.Through the analysis of empirical results,this paper has obtained the following conclusions:(1)The Model-Free Implied Volatility ?MF2 obtained from the option contracts in recent months and secondly recent months is better than that ?MF1 by only contracts in recent months.(2)The Implied Liquidity indicator(IL)obtained by inversing the weighted option price calculated by the option trading volume is more stable,and has a better early warning effect on the slumping market.(3)Implied Liquidity indicator calculated in this paper has certain predictability for the actual liquidity of the stock market in the future period of time.(4)Implied Liquidity indicator has a certain degree of predictability for the future yield of the 50ETF.The four-factor model that adds the IL factor has a certain degree of explanatory power compared to the classical Fama-French three-factor model.In summary,the Implied Liquidity indicator(IL)derived and calculated in this paper has great significance both for academic research and practical investment decisions.