Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258873 
Year of Publication: 
2022
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 15 [Issue:] 4 [Article No.:] 150 [Publisher:] MDPI [Place:] Basel [Year:] 2022 [Pages:] 1-19
Publisher: 
MDPI, Basel
Abstract: 
In this study, we examine the effect of introducing SSE 50ETF index options trading on stock market volatility using a panel data evaluation approach. Based on the cross-sectional dependence among international stock indices and macroeconomic indicators, we estimate the counterfactual volatility of the SSE 50 index and find that the introduction of index options reduces stock market volatility significantly in the long term. The primary findings are robust to alternative econometric models, including principal component analysis, GARCH-family model, and LASSO regression. The results of this paper suggest that the introduction of SSE index options provides investors with risk management tools and improves price discovery in the stock market.
Subjects: 
stock market volatility
panel data
GARCH
counterfactual
LASSO
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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