The pricing mechanism between ETF option and spot markets in China
研究中国沪深300 ETF期权与现货市场之间的价格发现和波动溢出效应，发现期权市场在定价效率上贡献更大，且上海证券交易所的期权市场主导深圳证券交易所。
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.