Research On The Volatility And Spillover Effect Of Shanghai 50ETF Option On The Underlying Spot

On February 9,2015,Shanghai 50ETF options,China's first floor option,was officially listed on the Shanghai Stock Exchange.Therefore,China's financial market has officially entered the "option era".Although the options market in China started trading relatively late,the market size and trading volume grew rapidly.Especially in 2019-"the year of good harvest of options",many new options have been listed.In the current capital market environment of China,it is of great practical significance and reference significance to study the impact of the introduction of the first option on the spot market of Shanghai Stock Exchange 50ETF so as to obtain the actual economic function performance of Shanghai Stock Exchange 50ETF option.The purpose of this paper is to explore the impact of Shanghai 50ETF options on Shanghai 50ETF spot from two perspectives.Firstly,the paper studies the impact of Shanghai 50ETF option on the fluctuation of the spot market,and obtains the risk management ability of option listing by testing the fluctuation of the return rate of the spot market before and after the option launch;in addition,it further explores the spillover effect between Shanghai Stock 50ETF spot market and Shanghai Stock 50ETF option market,so as to obtain the linkage of the two markets and the option market to spot market information transmission performance.The main part of this paper.is based on the above two angles.Firstly,we study the impact of the event of "Shanghai 50ETF option launch" on the spot volatility.In this study,the daily return series of the subject spot for ten years is selected,which is divided into two-year short-term samples and ten-year long-term samples.In the variance equation,the dummy variable D representing the event of "option listing" is introduced.By using ARMA-GARCH model,the different effects of the introduction of Shanghai Stock 50ETF option on the volatility of the return of the subject spot market in the short and long term are explored.The empirical results show that the listing of Shanghai 50ETF option will aggravate the fluctuation of the spot market in the short term,but it will have a stabilizing effect on the fluctuation of the spot market in the long term.The second part studies the spillover effect between Shanghai Stock 50ETF options and the underlying spot market.Select the five minute high-frequency trading data of two markets in the "first year of options"2019,first use the call put option parity formula to reverse the implied spot price of options,and then match the underlying spot price in time order to study.In the part of mean spillover,VEC model is selected to fit the logarithmic price series.The results show that the spot market has a guiding role in the option price,that is,the spot market is in a price leading state.In the volatility spillover part,VEC-BEKK-GARCH model is used to test the impact spillover and volatility spillover between the two markets.The results show that there is a two-way volatility spillover effect between the option and the underlying spot,and the volatility spillover effect of the spot on the option is more obvious.Based on the above research results,this paper combines the industry reports of stock option market in recent five years and the latest institutional adjustment of Shanghai 50ETF option market.And according to the analysis of the reasons,the corresponding policy suggestions and future prospects are given,which provide reference for the healthy development of the option market.