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Research Paper | Finance | China | Volume 9 Issue 10, October 2020 | Popularity: 6.7 / 10

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An Empirical Study on the Impact of CSI 300 Index Options on Stock Market Volatility

Shuyao Liu, Meihua Wang

Abstract: In order to further improve the risk management system and stimulate the vitality of the financial market, CICC officially listed and traded CSI 300 stock index options on December 23, 2019. This means that my country's options market has further developed. The CSI 300 index covers the stocks with high market capitalization and high liquidity in the Shanghai and Shenzhen stock markets. This article discusses the impact of the launch of stock index options on the volatility of the stock market, and uses the closing price data to establish a GARCH model to compare CSI 300 index options. Empirical analysis of the impact of the launch of the stock market on the volatility of the stock market. The conclusion reached is that the introduction of stock index options has increased market volatility, but the overall impact is not significant.

Keywords: Stock Market, Volatility, GARCH Model, CSI 300 Index

Edition: Volume 9 Issue 10, October 2020

Pages: 234 - 236

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