Research On The Impact Of Shanghai And Shenzhen 300 Stock Index Options On The Quality Of The Stock Market

The quality of the stock market,which refers to the degree to which the corresponding functions of the stock market are played,has always been a topic of concern for financial market investors and regulators.In recent years,with the gradual expansion of the trading scale of financial derivatives on the market,scholars have begun to pay attention to the impact of futures,options and other derivatives trading on the spot market.However,most studies only use a single equation to measure a single aspect of stock market quality.Based on this background,this article takes the first stock index option-the Shanghai and Shenzhen 300 stock index option as the observation object,and focuses on examining the impact of stock index options on the overall quality of the stock market rather than the specific dimensions of stock market quality.In the research process of this article,factors such as the maturity of measurement methods are fully considered,and liquidity and volatility indicators are used as proxy indicators to measure the quality of the stock market.Firstly,the mechanism of stock index options affecting the stock market is analyzed,and the research hypotheses of this article are proposed.The analysis of relevant mechanisms fully demonstrates that the impact of stock index options on the quality of the stock market has both advantages and disadvantages,and has a dual nature.Based on mechanism analysis,this article proposes the following research hypothesis:the listing of stock index options will bring about an increase in liquidity and volatility,and this volatility is asymmetric.Subsequently,in the empirical analysis section,this article constructs a double difference DID model containing time dummy variables to test the impact of stock index options on liquidity,constructs an ARMA-GARCH model to test the impact of stock index options on volatility,and uses the TGARCH model to explain the asymmetric characteristics of volatility.The main research conclusions of this article are as follows:firstly,stock index options have a significant enhancement effect on the liquidity of the stock market,which is the result of stock index options participating in market trading;The second is that the introduction of stock index options exacerbates the volatility of the existing market,and the impact is greater in the short term than in the long term,which has obvious asymmetry and leverage.The above research results provide new empirical evidence for the impact of stock index options on the quality of China’s stock market.Based on the results of all analyses,this article proposes relevant policy recommendations from different groups,in order to promote the better development of the derivatives market and the stock market.