上证50ETF期权对标的证券市场波动性影响实证研究

Empirical Study on the Effect of SSE 50ETF Options on the Volatility of Underlying Securities Market

基于华夏上证50ETF基金2012—2019年共1703个日度收盘价数据作为波动率数据,引入虚拟变量来表示上证50ETF期权的推出,建立GARCH模型和TGARCH模型实证研究期权的推出对标的证券市场的波动率产生的具体影响。通过对波动水平和非对称性两个方面的研究得出结论。一方面,通过分析GARCH族模型中虚拟变量系数的正负值发现,在上证50ETF期权上市初期标的证券市场波动率有一定程度的增加。其中,ARCH项系数小于GARCH项系数,说明信息传递速率的减缓是导致波动率增加的主要原因,但在期权上市四年后,对标的证券波动率起到了一定的抑制作用。另一方面,上证50ETF期权上市初期标的证券市场中存在负杠杆效应,通过分析TGARCH项系数的显著性发现这种信息非对称性有所减弱。

Based on China’s Shanghai 50 ETF’s closing price of 2012-1703,2019 degrees data as the volatility,the introduc-tion of virtual variables to represent the Shanghai 50 ETF options,GARCH model is established and TGARCH model empiri-cal study options for the specific impact of the volatility of the underlying securities market,based on the asymmetry volatilitylevels and two aspects of the research conclusion:on one hand,through the analysis of the family of GARCH model in the vir-tual variable coefficient of the positive and negative value found that initial underlying securities listed on the Shanghai 50 ETFoptions market volatility has a certain degree of increase. Among them,the ARCH term coefficient is less than the GARCHterm coefficient,indicating that the slowing down of information transmission rate is the main reason for the increase of volatili-ty,but four years after the listing of options,it has a certain inhibitory effect on the volatility of underlying securities. On theother hand,there is negative leverage effect in the underlying securities market at the initial stage of SSE 50 ETF option list-ing,and the significance of TGARCH coefficient shows that this information asymmetry is weakened to a certain extent.