融资融券与上证50ETF期权收益  

Margin Trading,Short Selling,and the SSE 50ETF Options Return

作　　者：周亚萍 刁训娣[1] ZHOU Ya-ping;DIAO Xun-di

机构地区：[1]上海交通大学安泰经济与管理学院

出　　处：《中央财经大学学报》2024年第6期65-75,共11页Journal of Central University of Finance & Economics

基　　金：国家自然科学基金项目“上半方差、下半方差及其不对称性对期权定价的影响”(项目编号:71771147);国家自然科学基金项目“基于数据与行为的金融投资组合优化研究”(项目编号:72342023)。

摘　　要：基于我国融资融券交易不平衡的实际情况,本文利用2015—2021年我国上证50ETF期权市场数据,实证检验了融资融券交易活动对期权收益的影响。研究发现:由于市场上看多交易方式丰富,融资交易对看涨期权收益的影响不大;而受卖空限制影响,融券交易活动越活跃,未来一个月看跌期权的收益越低。此外,融券交易活动对看跌期权收益的影响在经济不景气、投资者情绪低迷以及标的市场收益率为负的子样本中更明显,但该影响并不是长期持续的。进一步分析表明,融券交易活动增加会显著提高看跌期权的持仓量,但对看涨期权收益并不会产生显著影响。研究结论为中国融资融券市场和期权市场之间的可能联系提供了证据,为后续的跨市场研究以及监管措施的制定提供了一定的参考价值。Based on the fact that margin trading and short selling are not balanced in China,this paper empirically investigates the effect of these two activities on the return of options by using the data of SSE 50ETF options from 2015 to 2021.We find that because there are so many different long trading strategies available,margin trading has little effect on the return of call options.The put option's return in the following month decreases with increasing short-selling activity due to short sale constraints.In addition,the effect of short-selling activity on put option returns is more pronounced in the subsample of economic depression,low investor sentiment,and negative underlying market returns;however,this effect is not sustained over the long run.Further analysis shows that the increase of short-selling activity will significantly increase the put option holdings,but will not have a significant impact on the return of call options.The conclusion of this study provides evidences for the possible connection between margin trading,short selling,and options market in China,and provides a point of reference for future cross-market analysis and the development of regulatory policies.

关 键 词：融资融券 50ETF期权 卖空受限 期权收益 

分 类 号：F832.5[经济管理—金融学] F832.48