融资融券交易对50ETF期权市场有效性的影响

Has margin trading enhance the effectiveness of the 50ETF options market?

对于50ETF指数期权合约来说,有效的融资融券交易是PCP等式成立的重要保障。但是整体而言,融资融券交易并没有使50ETF指数期权PCP等式成立。分位数回归分析表明,小规模的融资交易和大规模的融券交易有助于PCP等式成立,这说明为了保证期权市场有效,融资交易应保证市场有充足的流动性,而融券交易应具有规模效应,这提示我们应保证融资市场的流动性充足,引导投资者理性进行融资交易,防止出现对融资需求产生剧烈冲击的事件发生。同时,应降低融券成本,实现融券交易的规模效应,加强对投资者的教育培训,提高投资者理性投资水平。

For European call and put options,if the option has the same expiration date and strike price,an effective option market means that the option put-call parity relationship is established. Once the equation does not hold,the capital market needs effective financing and margin trading to help investors realize arbitrage,which eventually converges to the establishment of the equation. This article takes the Chinese 50ETF index options as the research object,and uses the European option put-call parity relationship as a carrier to study the effect of margin trading and margin trading on the efficiency of the 50ETF index option market. The conclusions are as follows:Firstly,overall,margin trading and short term financing have not made the European option put-call parity relationship equation;second,quantile regression analysis shows that small scale financing and large scale securities lending have help the European options put call parity equation to be established,which shows that in order to ensure the option market is effective,financing transactions should ensure that the market has sufficient liquidity;and securities lending transactions should have scale effects to reduce costs.