| At present,along with the gradual deepening and acceleration of financial liberalization and economic globalization,stock index options have entered a stage of rapid development.Their product categories are becoming richer and richer,and the scale of transactions is increasing.Relevant data show that in 2000,the trading volume of the stock index option for the first time beyond the stock options,by the end of 2008,there are South Korea,Japan,India,Singapore,Taiwan and Chinese China Hongkong stock exchange stock index options for investors to trade a variety.Even now,for investors,the stock index option still belongs to a class of financial derivatives is relatively small,but because of the complexity of the economic system and the correlation between financial markets and other reasons,it appears often on other related markets,especially the far-reaching impact of price volatility of the underlying index,thereby affecting the entire the financial system.Therefore,it is no exaggeration to say that stock index options are playing an increasingly important role in financial derivatives,which is important for the whole financial market.Therefore,the key period in China’s Shanghai and Shenzhen 300 index options will be listed transactions,whether there is a relationship will have what effect,volatility of stock market and the relationship between the two kind of questions on the launch of stock index options for a systematic analysis and research,has become very necessary.In this paper,and the mainland of China financial market environment is similar to the China Hongkong as an example,choose a longer time to market,trading volume is larger,the more mature Hongkong Hang Seng stock index option and the Hang Seng Index as the research object,from the two aspects of the impact of stock options on stock spot market’s volatility.On the one hand,in recent years the same selection in a period of time the stock index option market and stock market closing price return series,to study the relationship between the two rate of return volatility by Copula-GARCH model,first of all the process of using GARCH were fitted for two time series to get the marginal distribution,using five different Copula The function depicts the approximate joint distribution of the two residual sequence,and analyzes the correlation between the volatility of the rate of return between the two markets.;On the other hand,using the GARCH-t model,the Hang Seng Index options listed before and after the equal time Mini Hang Seng Index options listed before and after the equal time period of the stock market price return series are fitted,and through the variance function method to increase the dummy variable to distinguishthe volatility of the spot market stock index returns option before and after listing,observed significant and the estimated value of the parameters of the virtual variables,analysis of fluctuation of stock index options listed on the stock market by what effect.Through empirical analysis,we can draw a conclusion that,for Hengsheng index,the listing of stock index options has a significant impact on the volatility of stock spot market,which can play a role in slowing down the volatility of underlying stock spot market to a certain extent.At the same time,there is a significant positive correlation between the price fluctuation of the two markets,especially in the tail of the distribution,the degree of which is more obvious. |
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