Study On The Volatility And Spillover Effect Of ETF Options On The Spot Market Based On The Shanghai 50ETF Option

On February 9,2015,Shanghai stock exchange officially launched the first stock index option in China--Shanghai 50 ETF option,which marks a great step forward for China's financial market.Although the trading of stock index options started late in China,the market size and trading volume grew rapidly.In this context,it is of great practical significance to study the impact of the introduction and development of Shanghai 50 ETF options on China's financial market,especially on the underlying asset--Shanghai 50 ETF.This paper explores the influence of options on the spot market by combining theoretical research with empirical research.The empirical analysis is divided into two parts.In the empirical study of the first part,GARCH model was constructed by selecting the logarithmic return rate data of Shanghai 50 ETF from February 9,2013 to February 9,2018.In the variance equation,the dummy variable D representing the event of "listing of Shanghai 50 ETF options" and the dummy variable DD dividing the short and medium term interval after the listing of options were introduced to study the impact of listing of Shanghai 50 ETF options on the overall fluctuation of the return rate of the underlying spot market,and further analyze the impact on the short-term and medium-term return rate of the underlying spot market.The TGARCH model was constructed to judge whether there was asymmetric effect in the fluctuation of spot market rate of return in different time periods.The empirical results show that the listing of Shanghai 50 ETF options has a certain calming effect on the overall volatility of the spot market,but its short-term and medium-term effects on the volatility of the spot market yield are different.In addition,only in the short period after the listing of options,the asymmetric effect of the volatility of the spot market return rate is significant.In the second part of empirical study,selected the 5min high-frequency trading data of Shanghai 50 ETF from July to October 2018 and the 5min high-frequency trading data of Shanghai 50 ETF option contract in the same period,using the ADF test,Granger causality test,VAR model,impulse response analysis and BEKK GARCH model research the mean spillover effect and volatility spillover effect between the yields of Shanghai 50 ETF options and the yields of underlying spot market.The empirical results show that there is no obvious leading and lagging relationship between Shanghai 50 ETF yield and Shanghai 50 ETF option yield,but the volatility of yields in both markets mainly comes from the impact of spot market.There are significant ARCH effect and GARCH effect in the yield sequence of the two markets.Except for September,the data of other months show that there are significant two-way volatility spillovers between the two markets,but there are certain differences in specific types of volatility spillovers.