The pricing mechanism between ETF option and spot markets in China

Da Dong, Qingfu Liu, Pingping Tao and Zhiliang Ying

Journal of Futures Markets, 2021, vol. 41, issue 8, 1286-1300

Abstract: This paper investigates the price discovery and volatility spillover effects between the exchange‐traded fund (ETF) option and spot markets in China. Employing a sample of China Securities Index (CSI) 300 ETF options and spots, we find that the CSI 300 ETF options interact with the spot markets, with the CSI 300 ETF options contributing more than the spots in terms of pricing efficiency, especially on the Shanghai Stock Exchange (SSE). We further find that the option markets on the SSE can dominate the option markets on the Shenzhen Stock Exchange, revealing investors' trading behaviors across different markets.

Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1002/fut.22205

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1286-1300

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().