金融学院知识库

  波动溢出效应可以揭示市场间的信息传导过程，信息在市场间的流动会导致资产价格的波动，了解波动溢出效应可以使投资者更好地防范市场风险。期权是金融衍生品市场向前发展的基石，对于一个国家金融体系的构建具有不可替代的作用。因此，研究期权与标的现货市场间的波动溢出效应较有实际意义。

  本文选取沪深300ETF期权为研究对象，分析其与标的现货市场间的波动溢出效应。并将研究对象进一步细化分为看涨期权与看跌期权，分别研究它们的波动溢出效应。研究此论题的目的是为了探究沪深300ETF期权的实施效果。本文主要从理论和实证的角度分析了沪深300ETF期权与标的现货之间的波动溢出效应。理论上，介绍了溢出效应的概念，分析了溢出效应产生的原因以及沪深300ETF期权与标的现货间波动溢出效应的传导机制。实证部分中，研究数据选取2019年12月23日—2020年12月31日期现市场上的5min高频数据。本文先对数据进行了平稳化处理，并对数据的基本特征进行了描述性统计分析，研究发现期现市场上的收益率序列都具备金融时间序列的典型特征。然后，运用VAR模型或者ARMA模型建立均值方程，剔除可被预期到的收益率部分仅留下未被预期的部分进行波动溢出效应的分析。对处理过的数据进行ARCH效应检验，通过检验的数据才可运用BEKK-GARCH模型建模。最后，运用BEKK-GARCH（1,1）模型分析得出沪深300ETF期权与标的现货之间波动溢出效应作用的大小和方向。

  本文研究发现，沪深300ETF期权与标的现货之间基本具有双向的冲击溢出和波动溢出，后者的溢出强度大于前者。沪深300ETF看跌期权的溢出强度大于看涨期权。本文的结尾部分对实证结果的产生原因进行了分析，并依据本文的研究结论从提升期权交易的活跃度、加强市场监管、推进金融创新三个角度提出了建议。

        Volatility spillover effect can reveal the information transmission process between markets, and the flow of information between markets will lead to the fluctuation of asset prices. Understanding the volatility spillover effect can make investors better guard against market risks. Option is the cornerstone of the development of financial derivatives market, which plays an irreplaceable role in the construction of a country's financial system. Therefore, it is of practical significance to study the volatility spillover effect between options and underlying spot markets.

        This paper chooses Shanghai Shenzhen 300etf option as the research object to analyze the fluctuation spillover effect between Shanghai and Shenzhen stock market. The research objects are further divided into call options and put options, and their volatility spillover effects are studied. The purpose of this thesis is to explore the effect of the implementation of the Shanghai Shenzhen 300etf option. This paper mainly analyzes the volatility spillover effect between Shanghai and Shenzhen 300etf options and the underlying spot from the perspective of theory and empirical. In theory, the concept of spillover effect is introduced, and the reasons for spillover effect are analyzed, and the transmission mechanism of volatility spillover effect between Shanghai and Shenzhen 300etf option and the underlying spot is analyzed. In the empirical part, the research data selects the high frequency data of 5min in the market from December 23, 2019 to December 31, 2020. This paper firstly deals with the data smoothly, and makes descriptive statistical analysis of the basic characteristics of the data. It is found that the yield series in the current market have the typical characteristics of financial time series. Then, the mean value equation is established by VAR model or ARMA model, and only the unexpected part of the expected return is eliminated for the analysis of volatility spillover effect. The arch effect test is carried out for the processed data, and only the data can be modeled by BEKK GARCH model. Finally, the paper analyzes the fluctuation spillover effect between Shanghai and Shenzhen 300etf options and the underlying spot by using BEKK GARCH (1,1) model.

        This paper finds that there are two-way impact spillover and volatility spillover between CSI 300 ETF options and CSI 300 ETF, and the spillover strength of the latter is greater than that of the former. The spillover strength of CSI 300 ETF put options is greater than that of call options. At the end of this paper, the reasons of the empirical results are analyzed, and according to the research conclusions, suggestions are put forward from three aspects: enhancing the activity of option trading, strengthening market supervision and promoting financial innovation.