CAJ | 학술논문

随着上证50ETF期权的推出，期权交易能否提高标的资产定价效率的问题显得愈发重要。本文从对定价效率影响最大的套利机制入手，研究上证50ETF期权推出前后，其对应标的——华夏上证50ETF市场价格和净值的偏差所带来套利机会的多少，进而得出期权交易对标的资产定价效率的影响。研究发现：期权交易在刚推出的一定时间内降低了标的资产的定价效率，但是随着时间的推移，标的资产的定价效率会重新提高并且超过初期。因此从长期看，期权交易能够提高标的资产的定价效率，期权交易对标的资产的定价效率的影响是一条“J”形曲线。
수착상증50ETF기권적추출，기권교역능부제고표적자산정개효솔적문제현득유발중요。본문종대정개효솔영향최대적투리궤제입수，연구상증50ETF기권추출전후，기대응표적——화하상증50ETF시장개격화정치적편차소대래투리궤회적다소，진이득출기권교역대표적자산정개효솔적영향。연구발현：기권교역재강추출적일정시간내강저료표적자산적정개효솔，단시수착시간적추이，표적자산적정개효솔회중신제고병차초과초기。인차종장기간，기권교역능구제고표적자산적정개효솔，기권교역대표적자산적정개효솔적영향시일조“J”형곡선。
The issue whether options trading can improve the pricing efficiency of underlying assets is becoming more and more important with the launch of SSE 50ETF option. Starting from the mechanism of arbitrage which has the greatest impact on the pricing efficiency,this study researches on how much arbitrage opportunity is brought by the de-viation between the corresponding subject-SSE 50ETF’s market value and net value and thereby proves the impact of options trading on pricing efficiency of underlying assets after the launch of SSE 50ETF options. The study found that the options trading would reduce the pricing efficiency of underlying assets at the earlier time after the launch of op-tion,but the pricing efficiency of underlying assets would be re-raised over time and exceed the initial expectation,so the option trading can improve the pricing efficiency of underlying assets in the long term and the impact of options trad-ing on pricing efficiency of underlying assets is a“J”shaped curve.