期权市场对现货市场波动率影响的实证分析——基于上证50ETF期权上市前后的比较

An Empirical Analysis on the Influence of Option Market on the Volatility of Spot Market:Based on the Comparison of before and after 50ETF Option′Listing

上证50ETF期权于2015年2月9日正式推出,这是中国第一只场内期权,对推动中国金融衍生品市场的进一步发展有重要的示范意义。结合ARMA-GARCH模型和TGARCH模型对上证50ETF在期权上市前后现货市场的波动情况进行建模分析,发现上证50ETF收益率的波动在期权上市后平均有所减小,但是在期权上市后的第一年波动率增加,第二年比较小;另一方面上证50ETF的收益率在期权上市后的第一年存在显著的非对称波动现象,但是在第二年不明显。

The SSE 50ETF option was officially launched in February 9,2015,which is the first exchange-traded option in China,It has important demonstration significance to promote the further development of China＇s financial derivatives market.Based on ARMA-GARCH model and TGARCH model,we analyze the impact of 50ETF option before and after its list.We find in 50ETF stock market the volatility average decreased after the option was listed,but increased in the first year and in the second years the volatility is relatively small.On the other hand,the phenomenon of asymmetric volatility is significant in the first year after the listing of options,but in second years it is not obvious.