50ETF期权引入对现货市场的影响研究
Research of the Impacts of 50ETF Option Listing on the Underlying Market
Abstract
本文主要研究了50ETF期权引入后对其现货市场即华夏上证50ETF交易市场的质量,包括交易量、有效买卖价差以及波动率的影响。本文首先采用配对样本t检验以及Wilcoxon秩和检验研究期权引入对50ETF交易量及有效买卖价差的影响。并得出结论认为,在期权引入前后不同的时间窗口,标的资产50ETF交易量有显著上升,有效买卖价差有显著下降。由于此方法缺少严格的理论基础,为确保结果的准确性,本文使用Hsiao等(2012)提出的基于面板数据的政策评估方法进行建模,研究结果表明,平均来看,期权推出使现货交易量提升了19.03个百分点,这一结果表明,期权上市交易不会导致标的交易量减少,从而不会分流资本市场... This paper mainly studies the impact of the 50ETF option on the market quality of its underlying market, namely, 50ETF market. These impacts including impact on trading volume, effective bid-ask spread and volatility. In this paper, we use the paired sample t test and Wilcoxon rank sum test to study the effect of 50ETF trading volume and effective bid / ask spread. And concluded that the introduct...