An Empirical Research On The Lead-lag Relationship Between The Shanghai 50ETF Stock Options And The Underlying Assets

Stock option is one of the most important financial derivatives, first appeared in 1973, the Chicago Board Options Exchange in the United States, then was referenced quickly and promoted exchanges in the United States. Due to the standardization of stock option trading securities market was a great success in the United States, many countries began to follow the United States, introduced the standardization of stock options, contracts, stock options, and obtained the unprecedented development. Along with the rapid development of the overseas stock option market, the domestic capital market development is relatively lagging, stock option market until February 9, 2015 for the first time the Shanghai 50 ETF stock options trading pilot.The launching of the Shanghai 50 ETF stock options opens the new page of the options market development in our country, and it is a good start to further promote the development of domestic options market. At the same time, traded of the Shanghai 50 ETF stock options also provides conditions for the study of domestic options market. We can study the options market is no longer limited to the simulation study abroad options market or domestic options market. Overseas options market and domestic options market have a different system, the market environment and the structure of investors. They tend to lead to quite different results, and the simulation trading market has significant differences with real trading market because of investors’ psychological factors. The study of options market will help us further to understand the options market, and continuously to promote the healthy development of options market, so as to further promote the development and perfection of the stock market.This paper takes the Shanghai 50 ETF stock options as the research object, research lead-lag relationships between the Shanghai 50 ETF stock options and the underlying assets. Research of lead-lag relationship between the Shanghai 50 ETF stock options and the underlying assets is divided into two parts: one is the research of lead-lag relationship between the Shanghai 50 ETF stock options and Shanghai 50ETF(referred to as 50ETF), namely, research of lead-lag relationship between the stock options and the underlying assets; another is the research of lead-lag relationship between the Shanghai 50 ETF stock options and Shanghai 50 index(referred to as Shanghai 50), namely, research of lead-lag relationship between the stock options and the underlying assets. At the same time, this paper also study the lead-lag relationships between call options and put options.This article selects the Vector Autoregressive model or Vector Error Correction model and the Granger causality test to analyze the data. The study found: Under the low frequency data, call options yields ahead of put options yields; call options yields and Shanghai 50 ETF yields, and put options yields and Shanghai 50 ETF yields are no lead-lag relation; call options yields ahead of Shanghai 50 index yields, and Shanghai 50 index yields ahead of put options yields. Under the high frequency data of 5 minutes, call options yields and put options yields, call options yields and Shanghai 50 ETF yields, put options yields and Shanghai 50 ETF yields, call options yields and Shanghai 50 index yields, and put options yields and Shanghai 50 index yields are have bi-directional lead-lag relationship.