股指期权推出对股票市场和股指期货市场波动性影响:以KOSPI200股指期权为例

发布时间：2018-08-28 09:46

【摘要】：股指期权是以股票指数为标的期权类衍生产品,对于证券市场来说期权具有价格发现、活跃股票市场、增强市场的流动性与稳定性、促进资本形成、确保资本市场良性运行等功能.以韩国KOSPI200指数和KOSPI200指数期货为研究对象,使用GARCH(1,1)模型、TARCH(1,1)模型对韩国KOSPI200股指期权推出后KOSPI200指数和KOSPI200指数期货的波动性进行了研究.研究结果表明:KOSPI200指数期权推出对于KOSPI200指数和KOSPI200指数期货的波动性和非对称波动性都有显著的影响,KOSPI200指数推出后KOSPI200指数和KOSPI200指数期货的波动增大,同时股指期权推出后现货市场的不对称性加大,而股指期货市场的不对称性减小.结论对于新兴市场经济国家股指期权产品的设计和中国股指期权推出后的风险防范有着重要的参考价值.
[Abstract]:Stock index option is a derivative product with stock index as its target. For the stock market, options have price discovery, activate stock market, enhance the liquidity and stability of the market, and promote the formation of capital. To ensure the sound operation of the capital market and other functions. Taking Korea KOSPI200 index and KOSPI200 index futures as research objects, the volatility of KOSPI200 index and KOSPI200 index futures after Korea KOSPI200 stock index option was introduced was studied by GARCH (1K1) model. The results show that the introduction of the: Kop SPI200 index option has a significant effect on the volatility and asymmetric volatility of both the KOSPI200 index and the KOSPI200 index futures. After the introduction of the KOSPI200 index, the volatility of the KOSPI200 index and KOSPI200 index futures increases. At the same time, the asymmetry of the spot market increases and the asymmetry of the stock index futures market decreases after the introduction of stock index option. The conclusion has important reference value for the design of stock index option products in emerging market economy countries and the risk prevention after the launch of stock index options in China.
【作者单位】：天津大学管理与经济学部;
【基金】：教育部新世纪优秀人才支持计划项目(NCET-07-0605) 国家自然科学基金(70971096,70801043) 中国期货行业协会联合研究计划(GT200702) 天津社会科学基金(TJ05-TJ003)
【分类号】：F832.51

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