“稳定”还是“扰动”——基于上证50ETF期权的实证分析  

Stabilizer or Perturbator:An Evidence Analysis Based on SSE 50ETF Option

作　　者：吕雪岭 熊熊[1,2] 严雨萌 许克维 LYU Xueling;XIONG Xiong;YAN Yumeng;XU Kewei(College of Management and Economics,Tianjin University,Tianjin 300072,China;Key Laboratory of Computation and Analytics of Complex Management Systems,Tianjin 300072,China)

机构地区：[1]天津大学管理与经济学部,天津300072 [2]天津市复杂管理系统重点实验室,天津300072

出　　处：《管理科学》2020年第4期149-157,共9页Journal of Management Science

基　　金：国家自然科学基金(71532009,71320107003,71271145);天津市教委社会科学重大项目(2014ZD13)。

摘　　要：2015年2月9日,中国第一只期权产品正式推出。期权作为重要的金融衍生品,高杠杆和低成本的优势使其成为一种高效的风险管理工具,可以帮助投资者对现货市场头寸实现套期保值和风险对冲。同时期权的复杂程度更高,对投资者的准入门槛也更高,因此能否在中国尚不成熟的金融市场中有效发挥期权的功能是值得关注的问题。选取2015年2月9日至2018年5月31日上证50ETF期权及其标的基金的日内5分钟交易数据作为研究样本,将当日所有期权合约的交易额之和与其标的基金交易额之比作为当日期权交易相对活跃程度的代理变量,从期权交易对现货市场异常收益率和波动性的影响两个角度入手,通过递归回归方法,以动态视角研究中国50ETF期权上市以来的功能发挥和功能演化情况。研究结果表明,在活跃度方面,上证50ETF期权在上市初期活跃度较低,而后逐渐上升,到2016年交易活跃程度开始稳定并持续至样本期结束;在期权功能发挥方面,从整体看,活跃的50ETF期权交易可以降低其标的基金收益的波动性,具有稳定市场的功能;但在2015年股灾期间,上证50ETF期权功能发生转变,在一定程度上加剧了其标的现货基金收益的波动性,成为股灾的"助推器",这一现象主要是由极端市场环境中机构投资者的行为发生变化所导致。研究结果为期权在中国金融市场中的功能发挥及演化情况提供了动态视角的证据,并建议监管机构加强对机构投资者的监管,加大对衍生品市场的支持力度,加强投资者的金融素养教育,只有这样,中国金融市场才能健康有序发展。On February 9,2015,China’s first option product was officially launched.On the one hand,as an important kind of financial derivatives,options have the advantages of high leverage and low cost,and these advantages make options an efficient kind of risk management instrument that can help investors hedge their risk in spot market.On the other hand,however,the complexity of options is higher and the entry threshold for investors is also higher.Therefore,whether the functions of options can be brought into play effectively in China’s immature financial market is a matter of concern.In this study,we selected 5-minute trading data of the SSE 50 ETF option and its underlying fund from February 09,2015 to May 31,2018 as our research sample.We used the ratio of the sum of the transaction amount of all option contracts to the underlying fund transaction amount on ordinary trading days,ln O/S,as the proxy for the relative trading activity of the SSE 50 ETF option.Starting from the influences of the transactions of SSE 50 ETF on abnormal return rate and volatility in the spot market,this study studies the function exertion and function evolution of SSE 50 ETF in China from a dynamic perspective through recursive regression method.We find:①from the view of relative trading activity,the SSE 50 ETF option was less active at the initial stage of the listing,then gradually increased,and the relative trading activity began to be stable in 2016 and has continued till now;②in terms of the function of SSE 50 ETF option,on the whole,active transactions of SSE 50 ETF can reduce the volatility of its underlying fund returns and stabilize the market;and③during the stock market crash in the middle of 2015,however,the function of the SSE50 ETF option to stabilize the market became the opposite,which increased the volatility of returns of its underlying fund,implying that the SSE 50 ETF option seemed to act as a booster’during the stock market crash.We propose that the results are mainly induced by changes in the behavior of ins

关 键 词：50EFT期权 递归回归 功能演化 异常收益 波动性 

分 类 号：F830.9[经济管理—金融学]