The Empirical Research On The Impact Of Shanghai 50ETF Options On Spot Volatility

The Shanghai 50ETF options,the first intra-market option in China,was formally listed and traded on the Shanghai Stock Exchange on February 9,2015,marking the beginning of a new era of options in China.With the advent of the new era of options,the volatility factor has become a tradable object.China's capital market is equipped with trading tools corresponding to many basic factors,such as empty,leverage,return and volatility.China's capital market has become a fully fledged market.As we all know,options and warrants are options with many similarities.In view of the experience and lessons of warrant trading in China,the impact of Shanghai 50ETF options on spot volatility has become the primary concern of academia,industry and government regulatory authorities.In addition,in the first year of the listing of 50ETF options in Shanghai Stock Exchange in 201.5,China's capital market fluctuated sharply.Many researchers attribute the volatility of the capital market to the introduction of options.Does the introduction of options aggravate the volatility of the capital market?This paper will make an empirical study on the impact of Shanghai 50ETF options on the underlying spot volatility,and the results will help to answer the above questions.As a trial option,Shanghai 50ETF options can provide some reference for the subsequent launch of new ETF options,stock index options and other stock options in China,and provide theoretical reference and empirical support for risk prevention and in-depth development of China' s option market.Based on the logarithmic return series of Shanghai 50ETF closing price,this paper uses ARMA-GARCH model to empirically study the impact of Shanghai 50ETF options on the underlying spot volatility.In this paper,we use the time of option listing as the node to set virtual variables,and introduce virtual variables into the conditional variance equation of ARMA-GARCH model to study the impact of 50ETF options on the underlying spot volatility.In order to exclude the influence of external market factors on the underlying spot volatility and obtain more accurate results,Shenzhen Composite Index,which represents external market factors but does not include options,is added to the conditional mean equation of ARMA-GARCH model as a control variable to further study the effect of the introduction of Shanghai 50ETF options on the underlying spot volatility.The results show that the introduction of 50ETF options in Shanghai Stock Exchange has no significant impact on the underlying spot volatility.