Did China’s Option Market Aggravate the Severe Shock of the Stock Market in 2015?
The Shanghai 50ETF options,Chinas first exchange-traded options,were listed for transactions on February 9,2015.Just in 2015,the running of Chinas capital market was not smooth,so various individuals including the regulators researched on the reason for the violent fluctuations of stock markets and aimed to find out whether there was direct or inevitable link between the violent fluctuations and the Shanghai 50ETF options.Therefore,this paper uses the relevant data of Shanghai 50ETF options to test the impact of options on Chinas capital market.The empirical researches of this paper can be divided into two parts.The first part is about the impact of the introduction of Shanghai 50ETF options on the underlying spot volatility; the second part is about the spillover effect between the options and the spot market.
Shanghai 50ETF Option VAR Model GARCH Model BEKK-GARCH Model
Li Chongzheng Fan Zhiyong
School of Economics and Business Administration,Heilongjiang University,Harbin,China,150001
国际会议
大连
英文
120-126
2018-07-06（万方平台首次上网日期，不代表论文的发表时间）