The Research On The Relationship Between The Shanghai 50ETF Options And The Underlying Assets

After three years of development,the SSE 50 ETF options rose from 0.427 million monthly transactions at the end of 2015 to 28.43 million at the beginning of 2018.The overall operation of the 50 ETF was stable and the development was rapid.The development of option is conducive to enriching investors' trading strategies and risk management measures,attracting more funds into the market,and improving the price discovery mechanism in the capital market.The relationship between option and the underlying asset has also become a research hotspot.Further,research on whether there are differences between call option and put option and differences between In-the-Money Option(ITM)and Out-of-the-money option(OTM)can provide investors with investment decisions and regulators with improvement of the market.In order to study the relationship between the option and the underlying asset,this paper theoretically analyzes the lead-lag relationship between the option's price and the underlying asset's price and the Fluctuation effect between them.Based on this,this article carries out two parts of empirical research.The first part studies the lead-lag relationship between the SSE 50 ETF options price and the underlying assets' price.The second part studies the Fluctuation effect between the SSE 50 ETF options and its underlying assets' price volatility.In the first part of the study,this paper strictly controls the time interval,and chooses 7 options per kind of option,constructs the VEC model to compare the lea-lag relationship between different options.The study found that the option price is ahead of the underlying asset's price.Compared with call option and put option,call option have a positive impact on its underlying asset's price,while put option have a negative impact on its underlying asset's price,and call option have a greater influence on the underlying asset than put option.Compared with ITM and OTM,ITM have a slightly greater influence on the underlying asset than the OTM.In the second part of the study,this paper constructs the BEKK-GARCH model to analyze the shock spillover effect and the volatility spillover effect between different options and underlying assets.The study found that there exist bi-direction relationships between the option and the underlying asset in shock spillover effect and volatility spillover effect,what's more,the option has a stronger spillover effect on the underlying asset.Contrast call option and put option,the former has a stronger shock spillover effect and volatility spillover effect on the underlying asset.However,there is no significant difference between ITM and OTM.In addition,this paper use VAR model which including call option,put option and underlying assets to study and find that the call option has greater impact on the underlying asset than the put option.The contribution of this paper as follow,Firstly,it is the innovation of the research perspective.The paper supplements and refines the existing researches on the relationships between option and underlying asset by comparing call option with put option and comparing ITM with OTM.Investors can analyze the price trend of option and underlying asset more specifically when investing.Secondly,most of the existing studies on option are based on the option of developed countries.This paper take 50 ETF options as research objects to better study the domestic markets.