| The CSI 300 stock index options were listed on the China Financial Futures Exchange on December 23,2019,becoming a milestone in the development of China’s options market and the deepening reform and opening up of the capital market,enriching the country’s derivatives market.In recent years,many scholars have devoted themselves to studying how the introduction of derivatives will affect the underlying asset market,mainly focusing on whether there is a price guiding effect between the derivatives market and the underlying asset market,and whether the listing of derivatives will increase the volatility of the underlying market.It is of great practical significance to study these problems for the sustained and healthy development of Chinese financial market and to guide the decisions of investors and decision-makers.In view of the importance of these issues,this paper will study the price guidance relationship and volatility pass-through relationship between the newly listed CSI 300 stock index options and the underlying index market,namely the spillover effect between the two markets.In the theoretical research part,this paper firstly analyzes the connotation of spillover effect.In order to explain the existence of spillover effect,this paper further introduces the market information transmission theory and behavioral finance theories,and briefly introduces the concepts of CSI 300 stock index and CSI 300 stock index options.Finally,combined with the theoretical analysis,this paper puts forward the research hypotheses.In the empirical research part,the empirical preparation is mainly to collect the daily closing price sequence of CSI 300 index and CSI 300 stock index option,and based on the bullish and bearish parity theorem,carry out the processing of the option implied underlying price continuous series.The sample number is based on the option launch date(December 23,2019)as the starting point and December 23,2021 as the end point.When conducting sub-sample estimation,the time span of the first part of the sample is from December 23,2019 to December 23,2020.The second part of the sample spans from December 24,2020 to December 23,2021.This paper mainly adopts VAR-BEKK-MVGARCH model for empirical research,and draws the following conclusions.(1)In the preliminary analysis,there is a long-term co-integration relationship and two-way Granger causality between the two markets.In the empirical analysis of return spillover effect,there is a significant two-way return spillover effect between the CSI 300 stock index options and the underlying index,indicating that the price guidance between the two markets is mutual,which echoes the theoretical analysis above and proves the first research hypothesis.At the same time,combined with the estimation coefficient of the revised VAR model,it can be seen that the CSI 300 index plays a dominant role in the price guidance relationship with the CSI 300 stock index option market,and the results of sub-samples can also support this conclusion.(2)In terms of the research results of volatility spillover,there is only one-way volatility spillover effect of CSI 300 index on stock index options,which indicates that,on the whole,the listing of options does not increase the volatility of the stock market,but shares the volatility of the stock market.The empirical results of subsamples can also support this conclusion.(3)In the robustness test,In this paper,the asymmetric term joins the VARBEKK-MVGARCH model,The results essentially support the three expected hypotheses presented here,And,under the full-sample estimation,Asymmetrical spillover effect between the two markets,The estimation results of the subsamples are different,In subsample T1,There is no asymmetric overflow in the subsample T2;In a further dynamic analysis,Rolling window measurement results image tracking records the record of the CSI 300 stock index options since the listing,Dynamic characteristics of the spillover effect between the option market and the underlying index market,And the dynamic measurement results of the rolling window are a good supplement to the conclusion of the first part,That is,the results in some times are different from the analysis results of the whole sample.This conclusion will help investors and decision-makers to judge the situation in time and take corresponding measures flexibly under different circumstances to ensure the healthy development of China’s financial market. |
