The Impact Of Index Option Listing On Stock Market Jump Risk

The impact of index option listing on the jump risk of stock market is an important issue concerned by academia,investors and government regulators.This paper deeply analyzes the impact of index option listing on jump intensity and jump size of stock market,which provides both theoretical and empirical support for the development of index option market.Based on the 5-minute high-frequency data of SSE 50ETF price,this paper studies the impact of SSE 50ETF option trading on the jump risk of 50ETF.Firstly,this paper use nonparametric test to detect the Lévy jump of 50ETF log returns.On this basis,this paper decompose the Levy jump risk into big jumps and small jumps,and then estimate their respective intensity and size.This paper use two sample nonparametric test to investigate the changes of the big and small jumps’ intensity and size before and after the option listing.However,in the latter half of 2015,Chinese A-share market experienced a rare and serious stock disaster,which led to the huge fluctuation and jump risk of 50ETF price.Therefore,this paper need to use the policy effect evaluation method based on panel data to construct the counterfactual path of Levy jump intensity and size after the listing of 50ETF option,by using the extensive correlation between ETFs’ jump risk.Finally,based on the tick-by-tick transaction data of 50ETF option,this paper constructs the information indicators of option trading volume,and tests the nonlinear Granger causality between the jump risk and the information indicators of option trading volume through nonparametric Tn statistics,so as to investigate the impact of the trading information of index option market on the jump risk of Chinese stock market.The main findings are as follows:(1)The listing of 50ETF option has no significant effect on the Lévy big jump intensity of 50ETF,but it significantly inhibits the Levy big jump size,thus effectively reducing the big jump risk of 50ETF;(2)Similarly,due to the information trading behavior in the option market,the listing of 50ETF option also plays a positive role in restraining the intensity and size of Lévy small jump,thus effectively reducing the small jump risk of 50ETF;(3)On the contrary,the jump risk of 50ETF also have a feedback effect on the trading volume information of 50ETF option,and different types of jump have different effects.The results of this paper show that the jump risk of 50ETF in Chinese stock spot market has been significantly inhibited during the period of one year after the listing of 50ETF option,especially in the period of extreme risk such as stock disaster,and it is gradually playing an effective role in stabilizing the jump risk of the spot market.