文献类型：期刊文献

中文题名：上证ETF50期权上市对标的股票的影响——基于流动性和波动性的视角

英文题名：The Impact of 50ETF Option Listed on the Underlying Stocks——Based on the Perspective of Liquidity and Volatility

作者：张静[1];宋福铁[1]

机构：[1]华东理工大学商学院,上海200237

年份：2016

期号：3

起止页码：59

中文期刊名：金融发展研究

外文期刊名：Journal Of Financial Development Research

收录：北大核心:【北大核心2014】；

语种：中文

中文关键词：ETF50期权;标的股票;波动性;流动性

外文关键词：50ETF option, underlying stock, volatility, liquidity

摘要：随着中国金融市场首只场内期权——上证ETF50期权于2015年2月9日上市,期权市场的作用及其对现货市场的影响引起广泛关注。本文利用流动性、波动性等指标和GARCH、TGARCH模型分别对比研究该期权的宣布和上市对其标的成分股流动性和波动性的影响。结果表明,在期权宣布日之后样本股的波动性和流动性立即发生变化,期权的宣布和上市可提高样本股的流动性、降低样本股的波动性,且上市日对样本股的影响显著强于宣布日;在期权宣布后利空消息导致样本股的波动更大。最后本文建议政府应当适当推动和促进衍生品市场的发展。
The SSE 50ETF Option, the first exchange traded option in China＇s financial market, has been listed on February 9, 2015. The role of the option market and its influence on the spot market are worth exploring. By using the liquidity, volatility, GARCH model, TGARCH model and other indicators, we make a comparative study on the influences of the announcement and listing of the 50ETF Option on the liquidity and volatility of its underlying constituent stocks respectively. The results show that the liquidity and volatility of the sample stock change immediately after the announcement date of the option. The announcement and listing of option can increase the liquidity of the sample stocks and decrease their volatility, and their influences on the listing date are significantly greater than those on the announcement date. Bad news result in the greater volatility of the sample stocks after the announcement of option. Finally, we suggest that the China＇s government should vigorously promote and facilitate the development of the derivatives market.