An Empirical Study On The Impact Of The CSI 300 ETF Options On The Volatility Of The Underlying Market

In recent years,the market effectiveness of China’s capital market has been continuously improved.As a mature financial derivative instrument,stock options can not only meet the diversified risk appetite needs of investors,but also significantly reduce the volatility of the underlying securities and improve the size and liquidity of the underlying securities.The issuance of options will provide investors with more efficient tools to avoid and diversify risks.On the basis of fully absorbing the relevant experience and lessons of the SSE 50 ETF option,the 300 ETF option was listed on the Shanghai Stock Exchange and Shenzhen Stock Exchange in 2019.Since then,China’s stock options have officially entered the era of multiple targets.The launch of CSI300 ETF options provides a one-stop ETF option investment carrier that connects the Shanghai and Shenzhen stock markets,and further complements the threedimensional and non-linear derivatives asset allocation system map of China’s capital market.In the future,China’s options market will continue to introduce new options Before that,it is necessary to review the launch of CSI 300 ETF options,how will it affect the volatility of the underlying market? Does this impact meet the requirements of the initial opening? Is the impact sustainable? These issues need to be paid close attention by academics,investors and regulators in order to seek effective ways and measures to improve the financial derivatives market.This article takes Huatai Pineapple CSI 300 ETF as the research object,and selects high-frequency trading data from December 21,2018 to December 27,2021.Firstly,the Realized HAR GARCH family model is used to conduct an empirical study on the intraday high-frequency data of the CSI 300 ETF,and the changes in the volatility of the underlying market before and after the launch of the CSI 300 ETF option are compared and analyzed.In order to eliminate the interference of external market factors,this paper also uses the double-difference model to conduct an empirical study on the volatility of the CSI 300 ETF.The empirical results show that the launch of CSI 300 ETF options increases the volatility and aggregation of the underlying market returns;strengthens the short-term memory of the underlying market,while weakening the medium-term memory;enhances the leverage of the underlying market;stabilizes the underlying market fluctuation.