Research On The Effect Of Shanghai 50 ETF Options On The Spot Market

With the continuous reform of China's economic marketization and opening up,China's securities market has developed rapidly.On the one hand,the market system was initially established,the market scale continued to expand,and the variety was continuously enriched;on the other hand,the market system was not sound enough,the mechanism was not perfect,and the market pricing efficiency was relatively low.It is generally believed that the innovation of financial products and the improvement of trading mechanisms can not only improve the market price discovery function,but also promote asset price fluctuations to accurately reflect market information changes and stabilize market volatility.A large number of studies have shown that options,as an important financial derivative,theoretically have the function of price discovery and easing the volatility of the spot market.In February 2015,China Securities Market launched the SSE 50 ETF option for the first time.The introduction of new financial derivatives and trading methods has brought new development opportunities to the Chinese securities market.The impact of the launch of the SSE 50 ETF option on the spot market,that is,whether the ETF option improves the spot market price discovery function and whether it affects the volatility of the spot market,is the main research content of this paper.This paper first reviews and reviews related research literatures,expounds the effective market theory and its evolution,the price discovery and volatility mechanism of the spot market,and the measurement methods.Then,the development of SSE 50 ETF and SSE 50 ETF options in China The characteristics are described and analyzed.Based on Summers' theoretical methods and models for market price mean regression test,the nonlinear STAR model and the GARCH model with dummy variables are used to analyze the price discovery and volatility of SSE 50 ETF options.Impact;through the comparison of the SSE 50 ETF options and before the launch,check whether the price discovery and volatility indicators have changed.The empirical finding that before the introduction of the option,compared with the SSE 50 ETF,the SSE 50 index was weak in price discovery;after the option was launched,the price discovery efficiency of the SSE 50 index improved significantly and was superior to the SSE 50 ETF.In the past,the ETF market price discovery efficiency was higher than the empirical evidence of the stock market;after adjusting the parameters,the test showed that the launch of the SSE 50 ETF option improved the spot market price discovery function.In addition,by measuring the coefficient of the dummy variable,the introduction of the SSE 50 ETF option has an impact on the volatility of the SSE 50 ETF and the SSE 50 Index.The empirical evidence shows that the launch of the SSE 50 ETF option has an inhibitory effect on the degree of volatility of the SSE 50 ETF and the SSE 50 Index.The research in this paper shows that the launch of the SSE 50 ETF option not only provides new derivative financial instruments and trading methods for China's securities market,but also improves the price discovery function of the spot market;at the same time,the option transaction cost is lower,and the option price information is transmitted.The fast and convenient market to the spot market helps investors manage the expected rate of return,thereby reducing the volatility of the spot market.This paper provides empirical evidence for the introduction of new financial derivatives in China's securities market.