Research On The Effect Of SSE 50ETF Option Listing On The Underlying Spot Market Volatility

Derivatives play an important role in the development and improvement of financial markets.Existing research shows that the listing of stock index options can reduce the volatility of the underlying stock market and stabilize the underlying stock market.But unlike the mature securities market,China's securities market is at the stage of development,in which many individual investors participate,so it is difficult to apply the research results of the mature market to China's market.This paper studies the impact of the listing of Shanghai 50 ETF option,the first stock index option in China,on the volatility of the underlying stock market,and expects to draw a conclusion applicable to the Chinese market.For this reason,we first introduce the basic concepts,sort out the existing research results,and theoretically analyze the internal and external mechanism of the volatility of the underlying market affected by the option listing.Then the empirical verification is carried out from the two aspects of the underlying index ETF and the underlying stocks.Firstly,we divide the sample into short-term,medium-term and long-term GARCH model and TARCH model.We measure the volatility of the sample stock with the return heteroscedasticity of Shanghai 50 index,analyze the impact of the listing of stock index options on the volatility of the underlying stock market.Then,taking each single stock of the sample stocks as the research object,we measure the volatility of the 50 sample stocks of Shanghai 50 index by the variance of return rate,and study the influence of the introduction of stock index options on the volatility of the return rate of the sample stocks by analyzing the AVAR symbolic test and GARCH model regression method.At the same time,both results show that the listing of Shanghai 50 ETF option reduces the volatility of the underlying stock market to a certain extent and is conducive to market stability,which is in line with the conclusions of some scholars in the mature market.It is also found that the listing of SSE 50 ETF option increases the efficiency of information transmission in the underlying market,and the impact on information asymmetry increases first and then decreases.