本文研究了中证500ETF期权推出对中国股票市场波动性的影响。通过对2011年6月1日至2023年6月30日的中证500指数收益率序列进行分析,分别建立GARCH和Markov-Switching-GARCH模型,比较期权推出前后的市场表现。结果表明,期权的推出显著增...本文研究了中证500ETF期权推出对中国股票市场波动性的影响。通过对2011年6月1日至2023年6月30日的中证500指数收益率序列进行分析,分别建立GARCH和Markov-Switching-GARCH模型,比较期权推出前后的市场表现。结果表明,期权的推出显著增强了市场的稳定性,减小了波动持续性,降低了对信息的过度敏感性。此外,期权市场的存在为投资者提供了风险规避的工具,使得市场对信息冲击的反应更加理性。最后,基于实证结果,提出了对投资者和监管者的建议,以进一步推动金融市场的发展。This paper investigates the impact of the launch of the CSI 500 ETF options on the volatility of the Chinese stock market. By analyzing the return series of the CSI 500 Index from June 1, 2011, to June 30, 2023, we establish both GARCH and Markov-Switching-GARCH models to compare market performance before and after the introduction of options. The results indicate that the introduction of options significantly enhances market stability, reduces volatility persistence, and diminishes over-sensitivity to information. Furthermore, the presence of the options market provides investors with tools for risk hedging, leading to more rational responses to information shocks. Finally, based on the empirical findings, recommendations are made for both investors and regulators to further promote the development of the financial market.展开更多
20世纪80年代,美国从堪萨斯城市期货商品交易所开始发行第一支股指期货合约,股指期货市场就开始引起了大家的重视。21世纪10年代,我国证券市场开始推出了沪深300、中证500指数以及上证50。自美国堪萨斯城期货商品交易所推出首个股指期...20世纪80年代,美国从堪萨斯城市期货商品交易所开始发行第一支股指期货合约,股指期货市场就开始引起了大家的重视。21世纪10年代,我国证券市场开始推出了沪深300、中证500指数以及上证50。自美国堪萨斯城期货商品交易所推出首个股指期货合约以来,股指期货市场便引起了广泛关注。2020年1月11日,国家卫健委正式宣布普通公民可以获得信息,因此以北京时间2020年1月11日为时间节点,研究该时间节点对沪深300波动性的影响。本文首先用沪深300的每日收益率做时序图,检验其是否存在异方差效应,然后用单位根检验序列的平稳性,由此可以建立回归公式以此证明存在ARCH效应,加入虚拟变量后对其进行估计。本文基于GARCH模型研究2020年1月11日前后沪深300波动性的影响,主要使用研究方法是GARCH模拟方法和衍生期权模型方法,最后对此得出结论。In the 1980s, the United States began to issue the first stock index futures contract from the Kansas City Futures Exchange, and the stock index futures market began to attract everyone’s attention. In the 21st century, China’s stock market began to launch the CSI 300, CSI 500 index and SSE 50. Since the launch of the first stock index futures contract by the Kansas City Board of Trade, the stock index futures market has attracted widespread attention. On January 11, 2020, the National Health and Health Commission officially announced that ordinary citizens can obtain information, so January 11, 2020 Beijing time as the time node, to study the impact of this time node on the CSI 300 volatility. In this paper, the daily return rate of CSI 300 is used to make a time series chart to test whether there is heteroscedasticity effect, and then the stationarity of the series is tested by unit root. Therefore, a regression formula can be established to prove the existence of ARCH effect, and it is estimated after adding dummy variables. Based on GARCH model, this paper studies the influence of CSI 300 volatility around January 11, 2020. The main research methods are GARCH simulation method and derivative option model method, and finally draw a conclusion on this.展开更多
Va R法是目前金融机构广泛采用的风险管理工具。文章选取最新的上证综指和深证成指的日收盘价作为数据样本,基于GARCH类模型,探讨其在不同置信水平下,在分别服从正态分布、t分布和GED分布的假设下的Va R值,并通过回测检验对模型的有效...Va R法是目前金融机构广泛采用的风险管理工具。文章选取最新的上证综指和深证成指的日收盘价作为数据样本,基于GARCH类模型,探讨其在不同置信水平下,在分别服从正态分布、t分布和GED分布的假设下的Va R值,并通过回测检验对模型的有效性进行检验。实践证明,非对称的GARCH模型能够更好地拟合股票指数序列。展开更多
文摘本文研究了中证500ETF期权推出对中国股票市场波动性的影响。通过对2011年6月1日至2023年6月30日的中证500指数收益率序列进行分析,分别建立GARCH和Markov-Switching-GARCH模型,比较期权推出前后的市场表现。结果表明,期权的推出显著增强了市场的稳定性,减小了波动持续性,降低了对信息的过度敏感性。此外,期权市场的存在为投资者提供了风险规避的工具,使得市场对信息冲击的反应更加理性。最后,基于实证结果,提出了对投资者和监管者的建议,以进一步推动金融市场的发展。This paper investigates the impact of the launch of the CSI 500 ETF options on the volatility of the Chinese stock market. By analyzing the return series of the CSI 500 Index from June 1, 2011, to June 30, 2023, we establish both GARCH and Markov-Switching-GARCH models to compare market performance before and after the introduction of options. The results indicate that the introduction of options significantly enhances market stability, reduces volatility persistence, and diminishes over-sensitivity to information. Furthermore, the presence of the options market provides investors with tools for risk hedging, leading to more rational responses to information shocks. Finally, based on the empirical findings, recommendations are made for both investors and regulators to further promote the development of the financial market.
文摘20世纪80年代,美国从堪萨斯城市期货商品交易所开始发行第一支股指期货合约,股指期货市场就开始引起了大家的重视。21世纪10年代,我国证券市场开始推出了沪深300、中证500指数以及上证50。自美国堪萨斯城期货商品交易所推出首个股指期货合约以来,股指期货市场便引起了广泛关注。2020年1月11日,国家卫健委正式宣布普通公民可以获得信息,因此以北京时间2020年1月11日为时间节点,研究该时间节点对沪深300波动性的影响。本文首先用沪深300的每日收益率做时序图,检验其是否存在异方差效应,然后用单位根检验序列的平稳性,由此可以建立回归公式以此证明存在ARCH效应,加入虚拟变量后对其进行估计。本文基于GARCH模型研究2020年1月11日前后沪深300波动性的影响,主要使用研究方法是GARCH模拟方法和衍生期权模型方法,最后对此得出结论。In the 1980s, the United States began to issue the first stock index futures contract from the Kansas City Futures Exchange, and the stock index futures market began to attract everyone’s attention. In the 21st century, China’s stock market began to launch the CSI 300, CSI 500 index and SSE 50. Since the launch of the first stock index futures contract by the Kansas City Board of Trade, the stock index futures market has attracted widespread attention. On January 11, 2020, the National Health and Health Commission officially announced that ordinary citizens can obtain information, so January 11, 2020 Beijing time as the time node, to study the impact of this time node on the CSI 300 volatility. In this paper, the daily return rate of CSI 300 is used to make a time series chart to test whether there is heteroscedasticity effect, and then the stationarity of the series is tested by unit root. Therefore, a regression formula can be established to prove the existence of ARCH effect, and it is estimated after adding dummy variables. Based on GARCH model, this paper studies the influence of CSI 300 volatility around January 11, 2020. The main research methods are GARCH simulation method and derivative option model method, and finally draw a conclusion on this.
