上证50ETF期权对股票市场的波动性影响
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摘要
基于GARCH(1,1)和TGARCH(1,1)模型,通过剔除国内外经济形势的影响,实证分析上证50ETF期权的推出对中国股票市场的波动性影响。研究结果表明,上证50ETF期权的推出减小了股票市场的波动,加大了信息对股票市场的影响,改善了股票市场的非对称性效应,投资者对利好消息和利坏消息的判断也越趋理性;但上证50ETF期权推出后,新消息减少了股票市场的波动,旧消息加大了股票市场的波动,说明信息的传递效率降低。
Based on GARCH(1,1)model and TGARCH(1,1)model,analyzes the price volatility of Chinese stock market before and after the launch of the 50ETF options.The results show that:the launch of Shanghai 50ETF option volatility reduces the stock market,increases the influence of information on the stock market,improve the effect of asymmetry of the stock market,and investors' perceptions of good news and bad news is more rational;but after the launch of the 50ETF options,old news on the stock market price's fluctuations increase,the new news on the stock market price's fluctuations reduces,that means it decreases the efficiency of the information transmission.
Based on GARCH(1,1)model and TGARCH(1,1)model,analyzes the price volatility of Chinese stock market before and after the launch of the 50ETF options.The results show that:the launch of Shanghai 50ETF option volatility reduces the stock market,increases the influence of information on the stock market,improve the effect of asymmetry of the stock market,and investors' perceptions of good news and bad news is more rational;but after the launch of the 50ETF options,old news on the stock market price's fluctuations increase,the new news on the stock market price's fluctuations reduces,that means it decreases the efficiency of the information transmission.
引文
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[3]Raman Kumar,Atulya Sarin,Kuldeep Shastri.The impact of index options on the underlying stocks:The evidence from the listing of Nikkei Stock Average options[J].Pacific-Basin Finance Journal,1995,(3).
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[5]Peihwang Wei,Percy Poon,Susan Zee.The effect of option listing on bid-ask spreads,price volatility and trading activity of the underlying OTC stocks[J].Review of Quantitative Finance and Accounting,1997,(2).
[6]熊熊,张宇,张维,张永杰.股指期权推出对股票市场和股指期货市场波动性影响---以KOSPI200股指期权为例[J].系统工程理论与实践,2011,(5).
[7]林苍祥,闫慧.股指期权价格发现的动态过程研究---基于台湾股指期权高频数据的实证研究[J].厦门大学学报:哲学社会科学版,2014,(5).
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