An Empirical Study On The Influencing Factors Of The SSE 50ETF Option Price Based On Vector Autoregressive Model

With the acceleration of the diversification and globalization of economic development,the financial market is a very necessary part of the financial system of mart economy countries for all economies.In China,the need to prevent systemic risk is becoming more and more urgent,currently the most important risk management tool is financial derivatives,futures and options are the most representative.On February 9,2015,China listed on the first trading option--the SSE 50 ETF Option,which marked the capital market entering the era of the option.At present,China’s capital market is in the stage of development of new and transitional period,this move is undoubtedly epoch-making.Many investors have been concerned about the price trend of the 50 ETF option.The option price is the core of the option theory,the classical option pricing methods include the Black-Scholes pricing model and the binary tree model.However,the option pricing method which relies on the mathematical theory model often neglects many other factors,especially the influence of the actual situation and the realistic factors on the option price,which leads to the deviation of the price calculated by the model and the actual option price.There are already many empirical evidences that many economic factors in reality will have a certain impact on the option price.This paper has carried on the empirical research on the influencing factors of the actual price of the SSE 50 ETF option.The dependent variable is the daily closing price of the SSE 50 ETF option,the independent variable is the Shanghai Composite Index,the trading amount of the A shares,option day trading volume,implied volatility and theoretical option price.For the theoretical price,the relationship of the option theory price and the actual price is close.In this paper,the B-S model and the binary tree model are used to calculate price,the paper compares the option prices under the two models,and select the B-S model as the theoretical option price.Then,the vector autoregressive model is established on the basis of time series stationary test and Granger causality test,and it is analyzed by impulse response function as well as variance decomposition.The impulse response function is a good way to measure the influence of a standard deviation from a casual variable of an endogenous variable on the current and future values of all endogenous variables in the model.The variance decomposition is mainly to analyze the contribution of each new shock to the change ofendogenous variables.Finally,the conclusion is drawn that in the early stage,the effect of the Shanghai Composite Index on the option price is small,with the increase of the number of periods,the effect gradually increases,the Shanghai Composite Index represents the overall prosperity of the market,the empirical results show that the market boom has a lag effect on the impact of the 50 ETF option price.A shares daily turnover represents the investor sentiment,A shares daily transaction amount is the Granger reason of actual option price,there is a one-way causal relationship between them,the impact of investor sentiment variables on option prices is direct and rapid;the impact of daily trading volume is fast and strong,and the impact of the change of the option transaction will be reflected in the change of the option price fast,options trading represents the degree of activity in the options market,but also reflects the level of liquidity,investors are more willing to hold securities of high trading volume,so as to promote the price.The higher the implied volatility,the higher the option price.The relativity of B-S model’s option price and the actual option price is very high,the option theory price will affect the expectations of professional investors for future prices,professional institutional investors use the option theory price as the investment basis to make investment behavior,and causes a certain impact on the actual option price.In view of the research conclusion,this paper puts forward some policy suggestions,for example,it needs to continue the theoretical research on option pricing and persist the principle of the theoretical research before practice.Investor sentiment and market activity have obvious influence on the change of option price.Therefore,it is necessary to increase supervision,enhance the risk awareness of option market participants,strengthen investor education,guide investors to invest rationally,appoint professional supervision team to supervise the options market,establish a lasting and stable market trading system,which can guide investors to establish a reasonable investment philosophy and further establish and improve the laws and regulations of the option market.The study of this article also hopes to bring some valuable reference to the follow-up option price research.