A Study Of Positive Feedback Trading Based On Options Of CSI 300 Stock Index

Compared with the developed countries in the world,the financial derivatives market in China has been developing more slowly.Until April 16,2010,the futures contract of CSI 300 index was launched,and China's financial derivatives market achieved a breakthrough development.On November 8,2013,CFIX decided to launch the simulated trading of stock index options,and the time before the stock index options were listed in the mainland market of China was numbered.On December 23,2019,CSI 300ETF options were listed on the Shanghai and Shenzhen stock exchanges,and CSI 300 stock index options were listed on the CICC,which was the first expansion of A-share derivatives market.Stock index option,as anew financial derivative tool,plays a unique role in risk measurement,risk management,price discovery and other aspects,and plays an important role in promoting the smooth operation of spot market and futures market.After the stock market crash in 2015,a large number of positive feedback trading phenomena gradually appeared in the market,and more and more investors played games with rational traders in the market,which is bound to lead to price deviation from value and affect the formation of stock prices and the stability of the market.The launch of stock index options attracted a large number of investors in the spot market and also had a certain impact on the investor structure of the futures market.Under this background,this paper extended the positive feedback trading effect of the spot market to the.futures market,aiming to make the research scope more comprehensive and the research results more accurate.This paper takes CSI 300 stock index options as the research subject,and CSI 300 stock index futures in the spot market and CSI 300 stock index futures in the futures market as the research object.Firstly,according to the basic assumptions of the SSW model,a revised mathematical model of positive feedback trading behavior is obtained by constructing the demand function of the two types of investors.Secondly,the general GARCH model is introduced.In order to better describe the characteristics of volatility aggregation and asymmetry presented by the market,the EGARCH model is introduced to determine the conditional variance of return volatility in the positive feedback trading model.Finally,a positive feedback trading model based on the EGARCH-GED model is established for empirical analysis.The empirical results show that,firstly,there are irrational positive feedback traders in both the spot market and the futures market whether the option of CSI300 stock index is listed or not;Second,the positive feedback effect of stock index options decreases in both markets after listing,but the positive feedback effect of stock index options is more significant in the spot market,but not in the futures market.Third,the launch of CSI 300 stock index options is beneficial to restrain the market friction and the influence of asynchronous trading;Fourth,asymmetric effect is significant in the research market,and the same degree of good news will cause greater market volatility.