期权对标的股价暴跌影响的理论和实证研究

In recent years, the fluctuation of stock price because of crashes in the absence of material adverse information has a severely negative impact on the stability and development of global economy. With the explosion of option market, the influence of option market on the stock price crash draws a great attention across the society. Currently, very few literature studies this issue. There is no theoretical model and the related empirical studies focused on the US market only. Since there are big differences between the Chinese and the US financial markets in term of short-selling restriction, market efficiency, heterogeneous belief and information transparency, how to build a theoretical framework and quantitative model as well as conduct an empirical analysis in the context of Chinese financial market becomes to be an important and urgent scientific issue. This project proposes to present a theoretical framework to examine the impact of options on the stock price crashes and construct a quantitative model by establishing the horizontal and vertical channels for information flow. Empirically, this project proposes to construct a multivariate regression model in the context of Chinese stock warranty as well as CSI 50 ETF option to test the authenticity and validity of the theoretical hypotheses. This project also tries to provide a theoretical support for accelerating the building of financial derivative markets, such as option, as well as guidance and advice for perfecting multi-level financial market system of modern socialism in China.

近年来，在无重大负面信息情形下的股票价格暴跌所引起的资产价格大幅波动对宏观经济稳定造成了严重负面影响。随着全球期权市场爆炸式的发展，期权对股价暴跌的影响也随之引起了社会各界的广泛关注。目前，国内外的相关文献极少，在理论模型方面还是空白，实证研究也仅集中在美国市场。由于我国金融市场在卖空限制、市场效率以及异质信息程度上与美国市场存在较大的差异，如何构建理论框架和数理模型、并结合我国金融市场的具体情况展开实证分析已成为亟待解决的科学问题。本项目拟从理论上通过构建期权和股票两市场下信息横向和纵向流动的立体通道，搭建期权对标的股价暴跌的影响的理论框架并构建数理模型。从实证上，拟结合我国个股权证和上证50ETF期权数据，构建适用于我国金融市场的多变量回归模型，并分析验证理论模型推论的真实性和有效性。为加快我国期权等金融衍生品市场的建立提供理论支持，为健全多层次现代社会主义金融市场体系提供指导性建议。

本项目通过构建多市场的理论模型首次系统揭示了期权交易对于标的股价暴跌风险的影响机制和作用原理，并将此研究成果拓展到其它金融衍生品市场，包括股指期货和信用衍生品市场。然后，本项目运用国内外多个金融衍生品市场（包括期权市场，期货市场以及信用衍生品市场）的实证数据检验了理论推论的有效性。最后，从我国金融市场的实际情况出发，运用我国金融衍生品的交易数据证实了我国股指期货和股指期权的推出可以有效的降低标的成分股（基金）的价格暴跌的概率。本项目中的重要研究成果形成了六篇高质量的英文工作论文，其中四篇英文工作论文已发表在了多个国际知名英文期刊上，包括Journal of Financial Markets, Journal of Futures Markets, Journal of Financial Stability和European Financial Management. 此外，这些工作论文还获邀在全球多个著名国际金融学术会议上宣读共12次。..本项目的研究成果具有很强的应用价值和政策指导意义。一方面加深了投资者对于金融衍生品市场对股票市场上股价波动影响机制的理解，另一方面为金融监管机构在制定政策推动我国金融衍生品市场发展、维护股票市场稳定以及构建多层次社会主义金融市场体系提供了宝贵的指导性建议。