我国股指期权对现货市场的波动性影响研究

2015年2月9日,上证50ETF期权在上交所正式上市交易,我国资本市场进入期权时代.股指期权推出是否会使我国现货市场大幅波动直接影响着我国证券市场的发展和稳定,首次以我国上证50ETF期权为研究对象,使用GARCH模型和TARCH模型对我国股指期权推出后现货市场的波动性进行了研究.实证结果表明,我国股指期权的推出使现货市场的波动性增大,并且波动存在非对称性;在上证50ETF期权推出后利好消息对现货市场的波动性影响减小而利空消息对现货市场的波动性影响增大,即不对称性加大.最后,基于实证分析结果分析我国股指期权推出后导致现货市场波动增大的原因,并为我国现货市场的风险管理以及沪深300指数期权的正式推出提供参考意见.

The Impact of Stock Index Option on the Volatility of the Spot Market

SSE 50ETF option was listed for transactions in the Shanghai Stock Exchange on February 9,2015,it is indicated that China's capital market has entered the era of options.Whether the introduction of stock index options makes China's spot market volatility or not,it will directly affect the China's securities market development and stability.The volatility of the spot market after the launch of stock index options in China was studied,firstly choosing 50ETF option as the research object and using the GARCH (1,1) model and TARCH (1,1) model.It is showed that the volatility of spot market increases after the introduction of the 50ETF option,and fluctuations is asymmetry.The good news reduces the volatility of spot market and the bad news increases the volatility of spot market after introduces the 50ETF option,namely,the asymmetry has increased.Finally,the reason why introducing stock index options resulted in the increasement of spot market volatility was analysed based on empirical analysis results.And the consulting opinions on the risk management of spot market as well as the launch of the SHSZ300 index options was put forward.