Empirical Study On The Information Of The Shanghai 50ETF Option Market

Since the reform and opening up,the development of Chinese economy has provided great opportunities for the financial market.Meanwhile,we have also experienced a continuous expansion of the economic crisis.The market is devoted to the research of innovative financial products no matter for economic development or risk aversion.On February 9,2015,the Shanghai 50 ETF option was listed on the Shanghai stock exchange as the first exchange-traded option in China.As a milestone in financial market,this marks the further improvement of Chinese capital market and closer linkage with related capital markets abroad.Thanks to the rapid prosperity of the option market,a lot of researches on options have mushroomed.However,scholars have not reached a consistent conclusion on the relationship between option market and stock market.The spread of the global financial crisis in 2008,which has a far-reaching impact on the world,has aroused many doubts and disputes over financial innovation.The scholars' debates mainly focus on the relationship mentioned above,that is whether derivatives can effectively avoid risk or aggravate the volatility of the underlying assets.Actually,the market transaction is the most direct embodiment of information.Therefore,it is of special significance to conduct in-depth research on the relationship between option market and stock market.The object of this paper is to analyze the volume of the 50 ETF option,and to analyze the information content in the emerging option market by constructing the related option trading volume index and information trading index.This paper uses trading datas of 50 ETF option from February 9,2015 to March 13,2017,which is subdivided into various indicators,and the income status of Shanghai 50 ETF fund and the SSE 50 index to empirically test the prediction ability of the option market to the underlying assets market.Subsequently,the information asymmetry index is introduced as a mediator to examine the mediating effect of option trading volume on stock returns.Based on the above research,we draw two conclusions: first,option trading volume has certain prediction ability to the trend of the underlying fund and stock market.Second: the information asymmetry index has the ability of pricing interpretation to a certain extent.As a medium variable,it can partly affect the forecasting ability of the option trading volume to the stock returns.