沪深300ETF期权推出对标的现货波动性影响的实证分析  

Empirical Analysis on the Impact of CSI 300 ETF Options on the Underlying Spot Volatility

作　　者：封文丽[1] 贾子丁 FENG Wen-li;JIA Zi-ding(Hebei University of Economics and Business,Shijiazhuang Hebei 050061)

机构地区：[1]河北经贸大学,河北石家庄050061

出　　处：《天津商务职业学院学报》2020年第5期23-29,共7页Journal of Tianjin College of Commerce

摘　　要：沪深300ETF期权的正式推出,为证券市场带来了更为多样化的风险管理工具,对推动中国金融衍生品市场的进一步发展有重要意义。本文选取2019年5月6日至2020年7月31日的沪深300ETF收盘价作为研究的基础数据,运用Eviews软件分别建立GARCH和TARCH模型,通过模型分析沪深300ETF期权推出前后对现货波动的影响。研究显示,从短期来看,沪深300ETF期权推出后较推出前在较小程度上增强了标的现货的波动程度,并且增加了波动的非对称效应,使得市场对利空消息更为敏感。最后,本文分别从加强对沪深300ETF期权的认识、树立正确客观的风险意识、完善风险监管措施以及健全法律法规体系等方面为我国期权市场的健康发展提供了相关的参考建议。The formal launch of CSI 300 ETF options has brought more diversified risk management tools to the securities market,which is of great significance to the further development of China's financial derivatives market.Based on the closing prices of CSI 300 ETF from May 6,2019 to July 31,2020,the author uses Eviews software to establish GARCH and TARCH models respectively and analyzes the impact of the launch on spot volatility.The results show that in the short run,CSI 300 ETF options can enhance the volatility of underlying spot to a small extent and increase the asymmetric effect of the volatility,thus making the market more sensitive to bad news.For the sound development of China's options market,this paper provides some suggestions such as deepening our understanding of CSI 300 ETF options,establishing a correct and objective risk awareness,improving risk supervision measures and relevant legal and regulatory system.

关 键 词：沪深300ETF 沪深300ETF期权 波动性 

分 类 号：F832.5[经济管理—金融学]