The Impact Of SSEC 50ETF Option Introduction On The Volatility Of Stock Market

Option is one of the most important financial innovations since the 1980 s,it has become one of the most effective risk management tools of the capital market.Whether the introduction of the option will affect the stock market? What is the impact on the stock market? This has been a problem that both financial academics and practitioners concerned.The introduction of options will impact the volatility,liquidity and stocks premiums of stock market.The market volatility reflects the market risk,so when countries introduce new financial products,they attach importance to the impact on the volatility of capital market,even of the whole economy.On February 9,2015,the SSEC 50 ETF option launched officially.About the impact of options introduction on the stock market volatility,although there is relevant theoretical and empirical study abroad,its findings are not necessarily applicable to the Chinese market,while in China there is still a lack of relevant research.This paper takes SSEC 50 ETF options as an example,making an empirical analysis of the impact of the option introduction on the stock market volatility,and analyzes the reasons,with great theoretical and practical significance.The paper selects the SSEC 50 Index daily return series sample of the interval from January 1,2014 to September 1,2015,and the sample SSEC 50 ETF options daily return series of interval from February 9,2015 to September 1,2015,using GARCH model to analyze the impact of the SSEC 50 ETF option introduction on the stock market volatility,and using TARCH model for verification.The main conclusions are as follows: First,in terms of the impact of the option introduction on the stock market volatility,after SSEC 50 ETF option launched,the volatility of the stock market has increased,the SSEC 50 ETF option introduction increases the stock market volatility,but this effect is limited.Second,in terms of the impact of options introduction on the information transmission speed,after SSEC 50 ETF option launched,the continued impact of old information on the stock market has increased,while the impact of new information has been reduced,indicating that SSEC 50 ETF options introduction slows the information transmission speed.Third,in terms of the impact of options introduction on the stock market information asymmetry effects,after SSEC 50 ETF option launched,the information asymmetry effects of stock market reduced.The main innovations of this paper are as follows: First,the literatures about the impact of option on stock market volatility mostly analyze the foreign markets,but not the situation of our country.This paper analyzes the impact of the option introduction on the stock market volatility in China,using SSEC 50 ETF options data,with great theoretical and practical significance.Second,we use GARCH model and TARCH model with dummy variables to analyze the impact of SSEC 50 ETF option introduction on stock market volatility.The different assignments of dummy variables distinguish the two periods of before and after SSEC 50 ETF option launched,making the model more accurate and reasonable.Third,this paper makes empirical analysis of the impact of SSEC 50 ETF options on the stock market volatility,and deeply analyzes the information transmission speed and information asymmetry,making the study more deeply.