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The Chinese Exchange of risk control system of stock options

Author: YuHongBo
Tutor: LuAiQin
School: Shanghai Normal University
Course: Industrial Economics
Keywords: Stock options Volatility Circuit breaker system
CLC: F832.51
Type: Master's thesis
Year: 2009
Downloads: 169
Quote: 0
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Abstract


From December 19, 1990, since the establishment of the Shanghai Stock Exchange, China's securities market has ups and downs through the past 19 years. China's stock market in July 2005 to carry out a vigorous reform of the split share structure, completely solve the institutional problems that hinder market development, from the development of China's stock market into the fast lane. However, after the 2008 bear market seriously diminished, making the national financial assets, in this context, the demand for financial derivatives in a big bear market is greatly inspired. Stock index futures due to the high starting point, not easy to be small and medium-sized investors operate in many financial derivatives, which comes as stock options most suitable for China's national conditions. Low starting point, risk control, suitable for the operation of small and medium investors, once launched will not only be able to end the unilateral market in China's history, allows medium and small investors to avoid risks. In this case, China's financial derivatives must speed up the steps of the research and development, launched as soon as possible, to meet our domestic small and medium investors hedging demand, In addition, the introduction of the related financial derivatives, can be added to the global financial derivatives market competition. The introduction of exchange-traded options is to our country to prepare specific risk control system. In this paper, the method of combining theory and empirical overview, first of all the risks that may be encountered in the introduction of the entire financial derivative products, then, to learn the essence of one of the other mature financial market risk control system, and improved as suited to China's specific national conditions risk control system. Second, China is in the split share structure reform which, this unique event brings risks, but also the specific and appropriate risk control system to cope. The most critical of various factors that affect the option price volatility and covariance model and one-factor model of influence is an empirical analysis of volatility factors. Factors affecting the volatility include: changes in our country's real economic growth, foreign exchange management system, the stock market value of size differences as well as the impact of the big bull market worldwide, as well as the current lifted influence; including our country's real economic growth, foreign exchange management system changes, stock market capitalization size differences as well as the world within the big bull market of the impact attributed to the broader market, that is, the Shanghai index, I Renwei the impact of these macro-factors of the will by the Shanghai index performance out, and the lifting of the ban impact due to the lifting of the ban time for each stock, can not form a concerted effort on the broader market, thus only sporadic manifestations of the ups and downs of individual stocks, and thus reflects the changes in the volatility. On this basis, we first made a correlation analysis on the broader market changes and changes in individual stock volatility, the results show that a strong correlation between the two, the changes in stock volatility great one because of the broader market fluctuations caused, but also share component of macroeconomic factors. So that we separate visits lifted events volatility, it is necessary to adopt a covariance model, exclude the impact of the broader market, lifted event separately investigated the impact of changes in volatility. The results are as follows: the impact of this event on the volatility in the gradual process of full circulation of stocks, in general, the lifting of the ban is limited to changes in volatility is mainly influenced by other external factors. However, in individual cases, the lifting of the ban will be the key factor around changes in volatility. Whether the lifting of the ban of this event will produce substantial changes in the volatility, but also separate visits stocks, CITIC stock options (non-existing assumptions just Shanghai Stock Exchange launched in this period of time, is to assume that the introduction of derivative stock at CITIC Securities options), in accordance with BS formula, then the option fee of this series of stock options because of the high volatility and high volatility began to fall after the end of the lifting of the ban, the option premium will fall, resulting in a market risk need transactions are good considering the most effective use of the circuit-breaker system to avoid this risk.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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