上证50ETF期权推出对股票市场波动性的影响研究
A Study on the Impact of Shanghai Stock Exchange 50 ETF Option Launch on Stock Market Volatility

随着我国股票市场的不断发展，市场投资者规模逐年递增，市场交易量逐年扩大，金融衍生品的种类也随之增多。2015年2月9日上海证券交易所推出了我国第一个股指期权，上证50ETF期权，由于其出色的风险管理能力以及高杠杆性被广泛投资者高度关注。对于期权上市对股票市场的影响，一些学者认为其能够降低股票市场波动性，也有一些学者认为它对股票市场波动性没有显著影响。在此背景下，本文通过选用2009年2月9日至2021年2月9日上证50指数、沪深300指数、东方财富全A指数的日收盘价数据作为研究对象，并对数据进行分组，同时结合GARCH模型对比分析上证50ETF期权上市前后股票市场波动性的变化，最终得出上证50ETF期权上市后能够降低股票市场波动性这一结论，并给出相应建议。
With the continuous development of China’s stock market, the scale of market investors has been increasing year by year, the market trading volume has been expanding year by year, and the types of financial derivatives have also increased. On February 9, 2015, the Shanghai Stock Exchange launched China’s first stock index option, the Shanghai Stock Exchange 50ETF option, which has attracted widespread attention from investors due to its excellent risk management capabilities and high leverage. Some scholars believe that option listing can reduce stock market volatility, while others believe that it has no significant impact on stock market volatility. In this context, this article selects the daily closing price data of the Shanghai Stock Exchange 50 Index, Shanghai Shenzhen 300 Index, and Oriental Fortune All A Index from February 9, 2009 to February 9, 2021 as the research object, and groups the data. At the same time, combined with the GARCH model, it compares and analyzes the changes in stock market volatility before and after the listing of the Shanghai Stock Exchange 50 ETF option. Finally, it concludes that the listing of the Shanghai Stock Exchange 50 ETF option can reduce stock market volatility, and provide corresponding suggestions.