Research On The Correlation Between SSE 50ETF Options And Spot Market

With the continuous expansion of the global financial derivatives market,options have also developed rapidly as an important part of it.As a financial derivative product based on stock index funds,ETF options play an extremely important role in price discovery,risk management and avoidance,and improving capital efficiency.In-depth study of its functional role and the method to develop stock index options have always been a matter of great concern to China's financial sector.In 2015,a series of violent “abnormal fluctuations” occurred in China's capital market,which made the Chinese securities industry's regulatory authorities strictly control financial derivatives such as stock index futures.The academic circles and the industry had controversial attitude toward the role financial derivatives played in the abnormal fluctuations.So,since the option was listed in China,how has it affected the spot market? Is it substantially enhancing the stability of the spot market? Or is it in turn contributing to speculation? Under the background of "abnormal fluctuations" in China's capital market,the interpretation and the answer of these questions are seemed very necessary.Therefore,the research between the SSE 50 ETF option and the spot market correlation can not only answer the above questions theoretically,but also play an important role in the long-term development of the option market.This paper uses the daily frequency data to discuss the impact of the SSE 50 ETF option on the volatility of the spot market and the price-guided relationship between the SSE 50 ETF option and the spot market.Specifically: First,the traditional research method for volatility is to use the GARCH family model,but the model is a single-mechanism volatility model,and does not consider the different states of the volatility of financial assets due to structural mutations.Therefore,this paper improves the GARCH family model by identifying and capturing the Markov-switching-GARCH model of endogenous fluctuation state.The MCMC estimation method is used to analyze the SSE 50 ETF market time series before and after the option launch.It is found that the price fluctuation of the SSE 50 ETF is agglomerated,and the abnormal fluctuations in 2015 and the fusing mechanism in early 2016 are eliminated.The spot market has shown a transition from high to low fluctuations after the option is launched.It shows that the launch of the SSE 50 ETF option has indeed introduced more mature investors,providing professionals with a wealth of risk management and asset allocation tools to improve the pricing efficiency of the market.Secondly,the PCP parity model is selected.The price time series of the above 50 ETF options is the initial data.The implicit spot price time series is deduced,and the error correction model is established with the actual spot price time series to analyze the pulse.Then got the response analysis and error decomposition results.Finally,there is a two-way price-guided relationship,but the spot price is more significant for the option price,leading by about 5 cycles;the ability of the option price to explain the spot price has been rising for a long time.This may be related to the immature structure of domestic investors and stricter control over the options market,so it is not possible to blame the “abnormal fluctuations” of the capital market on options.