The Impact Of Shanghai Stock Exchange 50ETF Option Listing On A-share Market Yield And Volatility Spillover ——Based On VAR-BEKK-GARCH Model

This article mainly studies the impact of the listing of Shanghai 50 ETF options on China's A-share market from an empirical perspective.In the course of research,there are relatively few theoretical analyses,mainly quantitative analysis through empirical research.After sorting out the influence of the introduction of option products at home and abroad on the stock market,the development history of SSE 50 ETF options and the development of China's A-share market are briefly described.In the introduction of the A-share market,it mainly analyzes its development history and the trading scale of the Shanghai Composite Index,the Shenzhen Stock Exchange Index,and the Shanghai and Shenzhen 300 Index.When introducing the Shanghai Stock 50 ETF options market,it mainly introduces its development and scale in the past 5 years.Secondly,it describes the functions of the SSE 50 ETF options product,and studies how it affects the mean equation of China's A-share market,the pulse effect on China's A-share market,and the spillover effect.Option products,as derivatives,are more mature in the international financial market than in the domestic market.And for China,the options market has developed relatively late,but in terms of development speed and scale,China's options market has generally developed well,especially in the last two years.On February 9,2015,China's SSE 50 ETF options were officially introduced into the market.Compared to foreign options markets,it was considered very late.Although the SSE 50 ETF options have been studied by many domestic and foreign scholars since listing,they have used different models and methods,and studied the impact of the SSE50 ETF options from different perspectives and financial markets.In the research of many scholars,most scholars mainly study the impact of the listing of SSE50 ETF options on the volatility of the spot market,stock market and financial market,and draw various conclusions from it.Based on this,this paper mainly uses the data of China's A-share market to analyze the empirical research on the impact of the listing of the SSE 50 ETF options on the mean equation of China's stock market,the analysis of impulse effects,and the effects of spillover effects(volatility spillover and yield overflow).It is hoped to find out in the conclusion of the study how the listing of SSE 50 ETF options affects the mean equation of each index,analyzes the pulse effect of each index,and analyzes the spillover effect and transmission direction of SSE 50 ETF options listing on the A-share market.In view of the fact that the domestic A-share market is mainly divided into the Shanghai Stock Exchange and the Shenzhen Stock Exchange market,and considering that the level of volatility and yield will affect the development trend of each index,this article selects the Shanghai Composite Index to represent the Shanghai Stock Market and the Shenzhen Stock Index to represent The Shenzhen market and the Shanghai and Shenzhen 300 Index represent the Shanghai and Shenzhen markets,and will be explained from a comprehensive perspective of the A-share market.This paper uses a multivariate linear regression model to study the impact of the launch of the SSE 50 ETF option on the mean equation of the A-share market.Secondly,it uses the VAR vector autoregressive model to analyze the effects of impulse and long-term equilibrium.Finally,it uses the BEKK-GARCH model to analyze the spillover effect.First,the article uses a multiple linear regression model with dummy variables to analyze the impact of the listing on the average equation of the Shanghai and Shenzhen 300 Index,the Shenzhen Stock Index,and the Shanghai Composite Index.How and which factors are affected to draw conclusions;Secondly,by modeling the volatility and yield of each index,establishing a VAR model,analyzing the impulse effect of the listing of the Shanghai 50 ETF options on the three major indexes,whether it has a positive impact on the A-share market;The GARCH model models the three major indexes of the stock market(Shanghai and Shenzhen 300 Index,Shenzhen Component Index,Shanghai Composite Index),and studies the volatility and return rate of the A-share market through the SSE 50 ETF option yield and the return of each index Influenced by the listing of SSE 50 ETF options.This article uses low-frequency data to analyze the long-term impact of the introduction of the Shanghai 50 ETF options.After empirical research in this paper,it is concluded that after the listing of the Shanghai 50 ETF options,the volatility of my country's cross-border market has been reduced and the effectiveness of the A-share market has played a positive role and has long-term effects.Based on the above conclusions,this paper selects the long-term development and short-term impact of the Shanghai Stock Exchange 50 ETF options on the Chinese stock market after the introduction of the market.It mainly uses the BEKK-GARCH model and the VAR model to analyze the conclusion.Looking at it,it will improve the structure of the stock market to a certain extent,and provide a good foundation for the stable development of the stock market,so that the stock market can develop steadily for a long time.