Analysis On Fluctuation Characteristics And Spillover Effects Of Chinese Stock Index Options

Since Chinese reform and opening up,China has begun to develop a market economy.Chinese economic development has entered a period of rapid development.At present,China has already leapt to the second largest economy in the world.The healthy and sustainable development of the economy is inseparable from financial support.With the rapid economic growth,Chinese securities market and financial derivatives market have also been well developed.China's securities market and financial derivatives market have so far leapt to the top of the world.However,in recent years,our country has encountered frequent volatility in the securities market.Since 2015,Chinese securities market has suffered several "combustion" attacks,making China's investors and the overall economy suffer huge losses.According to statistics,only about 10% of investors in China can make profits from the securities market,which,on the other hand,exposes China's current lack of tools to control risk.Therefore,it is imperative to vigorously develop the financial derivatives market and enrich the categories of financial derivatives.As the world's most liquid financial option,stock index options are essential to the healthy development of China's financial industry.Our country has already launched 50 ETF options in 2015,but due to the short launch time,domestic academic circles have less research.Therefore,this paper will study volatility,one of the most important indicators in the options,which is of great significance to the healthy and sustainable development of Chinese option market.This paper first calculates the implied volatility of the 50 ETF option launched in China,constructs the volatility surface,and describes the volatility characteristics of China's stock index options.And further use DCC-GARCH model to analyze the volatility spillover effects of 50 ETF options on the Shanghai 50 Index.The empirical results show that China's current 50 ETF options have only a very small volatility spillover effect on the Shanghai 50 index.Finally,in conjunction with China's national conditions,it put forward policy recommendations.