期权市场价格发现能力的决定因素研究——基于上证50ETF期权高频数据的实证分析

Determinants of Price Discovery in Options Market——Empirical Research Based on High Frequency Data of SSE 50 ETF

本文采用上证50ETF期权、50ETF基金、上证50指数和上证50股指期货四个市场的超过4年的高频数据,按Hasbrouck(1995)估计了它们的价格发现贡献,并重点研究了上证50ETF期权市场价格发现能力的决定因素。结果表明,期权和股指期货具有较强的价格发现能力。进一步,对期权市场价格发现能力的影响因素分析表明,期权市场和现货基金市场的相对活跃程度、期权市场隐含价格与现货价格之差,以及休市期间的新信息对期权的价格发现能力有正面影响。而买卖价差相对值、现货市场波动性和期权市场的投机行为对期权的价格发现能力有负面影响。投资者情绪在市场上涨阶段正面影响期权市场的价格发现能力,而在下跌阶段对其有负面影响。

This paper studies the contribution of SSE 50ETF Options market to price discovery and the determinants of it with more than four-year high frequency data from index market, ETF market, ETF options market and index futures market. This paper applies information shares of Hasbrouck(1995) to measure the contribution to price discovery. Results indicate that the SSE50 option market and index futures market are more important in price discovery. Compared to the ETF market, the relative trading volume, new information and the basis are positively related to the option market price discovery. On the contrast, the relative bidask spread, volatility in spot market and speculation are negatively related to the price discovery. Higher investor sentiment leads to greater options’ contribution to price discovery when the SSE50 index is going upward but less contribution when the index decline.