Analysis Of Influencing Factors On The Deviation Of The Parity Relationship Of The Shanghai Stock Exchange 50ETF Options

The option pricing mechanism and its relationship with the stock market and interest rate market is one of the key contents of research in contemporary financial academic and practical fields.A reasonable option pricing mechanism,close connection between the option market and the basic financial product market are necessary for a mature financial market.The option parity relationship is a definite relationship for a complete non-arbitrage financial market.In reality,due to the imperfection of the financial market system,the option market is not closely linked to the stock market and interest rate market,resulting in the option parity relationship not being established,and there is a certain degree of deviation.This article first theoretically analyzes the factors that affect the deviation of the option parity relationship,including short selling restrictions and deposit and loan spreads.Then in the empirical analysis,this article examines the relevant data of China's Shanghai 50ETF options and 50ETF funds from February 9,2015 to December 31,2019,and find that there is a deviation in the relationship.Then use control variable method,event analysis method and other methods to analyze the impact of short selling restrictions and deposit and loan spreads on the deviation of the parity relationship of the Shanghai 50ETF option.The following conclusions are drawn:The deviation of the parity relationship of the Shanghai 50ETF options is related to the short selling restrictions and the deposit and loan spreads.Among them,the short-selling restriction has a significant effect on the negative deviation of the SSE 50ETF option parity relationship.When the short-selling restriction level is reduced,the negative deviation of the SSE 50ETF option parity relationship is significantly reduced.Among all short selling restrictions,margin trading restrictions have the greatest impact on the deviation of the SSE 50ETF option parity relationship.Deposit and loan spreads have a certain negative correlation with the price of the Shanghai 50ETF option.