Research On The Pricing Efficiency Of 50ETF Options In Shanghai

The 50ETF option is the first on-floor trading option in Mainland China.The emergence of this financial instrument has filled the blank of hedging inst ruments in China.It has a milestone in enriching the financial market level,sa tisfying diversified financial needs and perfecting the market resource allocation function.The significance,but also for the future of further financial innovati on provides valuable experience.As an important part of China's multi-level fi nancial market,the degree of hedging,arbitrage,speculation and other function s of SSE 50ETF can play a high degree of concern in the industry and acade mia.In order to study this problem,according to the definition of effective mar ket and its theory expansion,the risk-free arbitrage opportunity frequency of st atistical market is used to evaluate the 50ETF option pricing efficiency,and cr eatively add the effect of arbitrage hedging effect in the evaluation standard,The core logic of this article:If a market less arbitrage opportunities,the bette r the hedging effect,the higher the market pricing efficiency.In this paper,we calculate the number of risk-free arbitrage,arbitrage yiel d and hedging effect by computer programming.In the arbitrage aspect,this p aper identifies the risk-free arbitrage opportunities of the 50ETF option market based on the three arbitrage theories of option combination,futures option parit y and option boundary,and finds that the market arbitrage opportunities exist a lmost every day and the arbitrage opportunities The total number of samples a bout the total price of 0.06,so the market is invalid.It is also observed that t he number of arbitrage in the 50ETF market in the second half of 2015 is mu ch larger than that in other time horizons,and there is a possibility that the ar bitrage opportunities are concentrated.The possible reason is that the volatility of the whole market affected the pricing efficiency of the option market.By c omparing the arbitrage strategies,we find that the arbitrage opportunities are m ost likely to be recognized by the convexity strategy,the arbitrage times identif ied by the option boundary strategy are the least,and the vertical spread strate gy is the most profitable.In the aspect of hedging,this paper calculates the he dging effect of the 606 options under the static Delta neutral equivalent hedgin g strategy from the perspective of ex post analysis,and obtains that the averag e of the 50ETF options on the SSE can be reduced by about 19.7%Material price risk,hedging effect is poor.For the sake of prudent consideration,this p aper makes a sensitivity analysis of the empirical results by adjusting the slidin g points and the risk-free interest rate parameters several times.The above-men tioned qualitative conclusions are basically stable.Since the number of arbitrage opportunities depends largely on the size of the observing market(this observation period is one minute),it is of little sig nificance to evaluate the efficiency of market pricing in isolation.Therefore,th e same empirical method is applied to the CSI 300 ETF(simulation)The pape r finds that the 50ETF option market is more efficient than the CSI 300 ETF(simulation)market in terms of the arbitrage opportunity and hedging effect.This paper not only gives a scientific and objective evaluation on the prici ng efficiency of the 50ETF option market in Shanghai,but also provides the e valuation criterion of option pricing efficiency,which makes the different mark ets be comparable and market efficient.,Pricing efficiency and other topics to provide a new paradigm.