上证50ETF期权与现货价格关系的实证研究

The Empirical Study on the Relationship between the SSE 50ETF Option and Spot Price

基于上证50ETF期权和现货市场的30分钟高频数据,研究两者价格的领先与滞后关系.实证研究表明:上证50ETF现货市场对期权市场具有超前效应,领先看涨期权约3小时,领先看跌期权约4小时,而上证50ETF期权对现货市场不具有超前效应.最后,结合分析结果提出适合我国期权市场发展的建议.

This article studies the lead lag relationship based on the 30 minute high frequency data of the SSE 50ETF option and the spot market. The empirical research shows that the SSE 50ETF spot market has a leading effect on the option market, leading calls for about 3 hours, leading the put option for about 4 hours, while the SSE 50ETF option has no leading effect on the spot market. Finally, combining with empirical analysis, this article gives some suggestions for the development of China＇s options market.