The Study On Leap And Leverage Effect Of Chinese Option Market And Its Expand Models Evidence On The Shanghai 50ETF High-frequency Data

The option market is a kind of mature, representative derivatives, has over 30 years of successful operations in a foreign country, in the financial market plays an irreplaceable positive role. China’s option market has ten years of history, but there is still not perfect. Option market mechanism of the system still has a lot of unreasonable place, still need to continue to improve; Futures products development, compared with advanced foreign futures market, also has very big disparity. With the further advance of China’s financial system reform, and gradually deepening of China’s socialist market economic system, China’s option market in the role played by more and more important in the financial system. Although option market has the very big development potential in China, but face the test of futures market development in our country is very much also. First of all, the view from China’s specific national conditions, China’s social and economic uncertainties are more and more complex and changing environment; Secondly, from the development experience of the foreign futures market, the development of the futures market in many countries have faced a variety of various kind of obstacles and difficulties,their development is not easy. Therefore, the development of China’s futures market, certainly will not be easy. In order to make our country’s futures market continue to in-depth development, a lot of practice and theory must be effectively solved, one very important aspect of China’s option market is volatility asymmetry theory.In order to make our country better options market development, we must first focus on solving practical and theoretical issues, the most important aspect is that the market volatility of options research.The study of volatility in financial markets is the basis of analyzing financial practices problems like financial risk measuring, asset pricing, and financial derivatives pricing.Because of the volatility only correct measure and forecast to continue to finance the substantive issues related to research, that is, on the volatility of an accurate study of the financial risk measurement and pricing of financial assets based on the premise. In recent years, with advances in electronic information technology, which greatly reduces the transaction data recording and storage costs, so that the data becomes more and more convenient to obtain high frequency, resulting in research volatility of financial assets, the scholar they increasingly using high-frequency data to conduct empirical research, and the role of volatility in the study played increasingly important.The study of volatility in financial markets is the basis of analyzing financial practices problems like financial risk measuring, asset pricing, and financial derivatives pricing. Andersen and Bollerslev (1998) kick-started a flurry of research on the use of high-frequency of intraday data for measuring and forecasting daily volatility-Realized Volatility (RV), compared to the daily returns of the financial assets, the RV may measure the volatility more precisely. According to the heterogeneous market hypothesis proposed by Muller(1993), the Heterogeneous Auto-Regressive Realized Volatility model(HAR-RV model) has been proposed by Corsi(2004), utilized volatility components of different time resolutions derived from representing some different trade strategy of the particular traders make their relevant yet marginal contribution on the whole volatility to capture the empirical memory persistence of volatility in a straightforward and parsimonious manner.Leverage effect and volume-volatility relations are the main characteristics of the stock market fluctuation. Volatility with Volume model (LHAR-RV-V model). The proposed model is applied to empirical analysis with the 2 minute high frequency data of Shanghai 50ETF. The empirical results show that the model can well capture the long memory and the leverage effect characteristics, and the leverage effect has certain sustainability.Jumping and leverage effect are two main features of the option market rate of return.In this paper, we propose an extended version of the HAR model which considers both asymmetric responses of the realized volatility to previous negative returns and the rice-volume relationship at all the considered frequencies, which has not been done by the extant researcher as far as the author’s knowledge, and we called it Leverage Heterogeneous Auto-Regressive Realized.Then, on the basis of existing HAR-RV model, to build a new HAR-WRV model, empirical analysis of the options market heterogeneity sex. Then, the Weighted realized volatility and decomposition of continuous fluctuations and volatility jumps constructed HAR-WRV-CJ model, a detailed analysis of the impact of market volatility jumps options. Finally, in order to more fully characterize the characteristics of stock market volatility, but also to improve the ability to predict stock market fluctuations, constructed containing a continuous and jump components leverage heterogeneous autoregressive (LHAR-WRV-CJ) model, and the Chinese stock market jumping and leverage empirical research. The results showed that, LHAR-WRV-CJ model has good predictive power,China market volatility options have significant jump, while leverage has significant presence in the volatility options market, the regression results LHAR-WRV-CJ model show the impact of the leverage effect of options market volatility is continuous occurrence, empirical results also effectively verify the heterogeneous market hypothesis theory. The study also found that there is a significant jump positive impact on the Chinese stock market volatility, which short-term fluctuations in the options market by jumping Chinese influence loudness is relatively large, and the impact of fluctuations in long-term options market is relatively small by the jump in the same manner leverage effect on short-term stock market fluctuations, but the impact on long-term stock market volatility is very small.This essay first introduces the fundamental theory about the Realized Volatility and weighted Realized Volatility.Then, we improve existed the Heterogeneous Regressive with Realized Volatility (HAR-RV) model and Heterogeneous Auto-Regressive with Continuous Volatility and Jumps (HAR-CJ) model. And on the basis of the new HAR-WRV model, we put forward the Heterogeneous Auto-Regressive with Continuous volatility and jumps (HAR-WRV-CJ) model What’s more, using Shanghai 50ETF 2-minute high-frequency data as samples, we estimate the parameters of the HAR-RV, HAR-WRV,HAR-RV-CJ and HAR-WRV-CJ model. In addition, we test the robustness of these four models by three different forms which are respectively two common forms of expression, a sample length and reference price. Finally, the results showed that HAR-WRV model and HAR-WRV-CJ are better predictive ability.