上证50ETF期权市场上的平价关系偏离

Deviation from Put-Call Parity of the SH50 ETF Option Market

期权平价关系是金融市场理论重要的组成部分,期权市场定价偏离平价关系的程度可以衡量期权市场的定价效率。本文从欧式期权平价关系出发,探索了上证50ETF期权市场的定价效率,发现了上证50ETF期权市场上存在相当大比例的偏离欧式平价关系的情况。进一步研究发现,我国金融市场上较高的交易成本解释了其中接近一半的观测偏离,另外一半的观测偏离则主要由股票市场上缺乏有效的卖空机制来解释。除此之外,市场情绪因素也是市场偏离平价关系的重要原因,尤其是对于短到期期限的合约而言。

Put-call parity is a very important asset pricing theory.The degree to which the option market pricing deviates from the theoretical parity relationship can measure the pricing effiency of a option market.Starting from the European put-call parity,this paper explores the pricing efficiency of the SSE 50ETF option market and finds that there is a considerable amount of the deviation from the European put-call parity relationship.After further research,we found that the high transaction cost of China's financial market explains about half of the deviations,and the short sale restrictions on the stock market accounts for the other half.In addition,we also found that the market sentiment factors also have a significant impact,espicially for short term contracts.