Research On The Leading Lag Relationship Between Option And Spot Of SSE 50ETF

Of Chicago in 1973,the world's first stock options,contracts in futures exchange to meet the world,the biggest characteristic is standardization,and this makes the securities market in the United States has a place soon,in the United States successfully accelerated the promotion and development of the stock options in the world.Although China's stock market has been established in the end of last century,but compared with Europe and the United States developed countries,the market development time is short,low maturity,derivatives options in the field until 2015 zero breakthrough.The Shanghai 50 etf options trading pilot this good start become booster of the options market forward,make the research to the domestic market possible options,broken only in both foreign and domestic simulation block of the plight of options research.These two markets are relatively obvious shortcomings,the former because of the system,the market situation and level of different investors and lead to the results of the study of differences,the latter because it is the simulationgives the investor psychology and reality is different.In order to promote the development of the options market and the stock market,the initial research on options is very important.This article take the Shanghai 50 etf options as the research target,the main focus is on the lead lag on the derivatives and the spot price,the research consists of two parts: 1,focus on the Shanghai 50 etf options and the Shanghai 50 etf(hereinafter referred to as 50 etf)on the price movements of the forerunner,namely to 50 etf approximation as stock options,empirical scope between the stock option and the underlying asset;2.Focus on the lead of Shanghai 50 etf options and Shanghai 50 index on price changes,which is to limit research to options and indexes.In the study of options,it is refined into call options and put options,to study the relationship between the two.In this paper,we use the model includes the VAR and VECM,Granger causality test,cointegration test and impulse response,the research result shows that for low frequency data,call option and put option on the yield fluctuations lead lag,call yields and 50 etf has a two-way lead lag yields,50 etf yields before put option and the change of rate of return on call option and the Shanghai 50 index exists bidirectional lead lag,put options and the Shanghai 50 in yield fluctuation as well;For 5 minutes of high-frequency data,call option and put option,call option and with 50 etf,options,and 50 etf,call option and the Shanghai 50 and put options and the Shanghai 50 index,the five groups on the yield fluctuations at the same time there are bi-directional lead lag relationship.