The Empirical Study On The Impact Of Shanghai 50ETF Options On The Volatility Of Its Underlying Assets

Since the 50 ETF options were listed on the Shanghai stock exchange in 2015,the market has been formally established for three years.So far,the options market has been relatively smooth,trading volumes and trading volumes have continued to increase.In theory,the option of begin development is helpful to perfect our country's multi-level capital market,improve market trading activity,develop the market of deep breadth,strengthen market price discovery ability and improve the efficiency of the market,to increase investors' trading strategies and methods of risk management.However,it is necessary to carry out empirical research on whether the option can play its theoretical function.The index of volatility is an important index which reflects the price behavior of securities market and measures the degree of market risk.By studying the stock market volatility,the domestic researches on the existing 50 etf option is helpful to enrich the related content,provide relevant theory and empirical support for the management and investors,maintain the stable development of the securities market.This article reviews the domestic and foreign scholars research achievements,on the basis of related concepts of the Shanghai 50 etf options,trade situation and introduces the theory of option on the underlying market volatility influence,selected the Shanghai 50 etf fund share from 2012 to 2018 including 1466 daily closing price data,using GARCH model to empirical research,comparative analysis of 50 etf options listed after the short-term and long-term range of underlying asset volatility and the effect of asymmetric.The study found that the first,the 50 ETF option will increase the volatility of the 50 ETF fund in the short term,and will suppress the volatility level of the 50 ETF fund in the long run.Among them,the cumulative effect of old information is the most important cause of market fluctuation.Meanwhile,the impact of new information on market volatility is relatively slow.Second,after the options are listed in the short and long term,it will speed up the market information.Thirdly,after the listing of 50 ETF options,the asymmetric fluctuation of the 50 ETF market is affected.Specifically,contrast coefficient change in the short term and long term TGARCH model,can find that option in the short term market after its release in the existence of information asymmetry is leverage,weakened the options listed after a long period the phenomenon of the market.This paper provides some suggestions for the healthy development of the options market in China.First,we will establish a sound capital market and establish a complete system of laws,regulations and rules.Second,strengthen risk prevention and control and self-regulation.Third,we will improve the relevant supporting mechanism of the options market and build a more abundant option product system.Fourthly,we should do a good job in marketing publicity and promotion,increase the coverage of investors,improve the professional ability of investors,and optimize the structure of investors.