{"title":"经济政策不确定性与期权市场参与:对冲还是投机?","authors":"","doi":"10.1016/j.bir.2024.04.006","DOIUrl":null,"url":null,"abstract":"<div><div>Using data from the Shanghai Stock Exchange 50 exchange-traded fund (SSE 50 ETF) options, we examine the impact of economic policy uncertainty (EPU) on options market participation. We find that increased EPU significantly induces investor participation in the options market, and this positive effect remains significant over the following three months. Further investigation shows that EPU significantly increases the ratio of trading volume to open interest in SSE 50 ETF options but has no significant impact on the demand for bearish hedging. Moreover, EPU's stimulatory effect on investor participation is stronger during periods of higher investor sentiment. These findings suggest that increased investor participation in the options market during periods of high economic uncertainty is due to speculative trading rather than hedging.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 ","pages":"Pages 50-59"},"PeriodicalIF":6.3000,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Economic policy uncertainty and options market participation: Hedge or speculation?\",\"authors\":\"\",\"doi\":\"10.1016/j.bir.2024.04.006\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>Using data from the Shanghai Stock Exchange 50 exchange-traded fund (SSE 50 ETF) options, we examine the impact of economic policy uncertainty (EPU) on options market participation. We find that increased EPU significantly induces investor participation in the options market, and this positive effect remains significant over the following three months. Further investigation shows that EPU significantly increases the ratio of trading volume to open interest in SSE 50 ETF options but has no significant impact on the demand for bearish hedging. Moreover, EPU's stimulatory effect on investor participation is stronger during periods of higher investor sentiment. These findings suggest that increased investor participation in the options market during periods of high economic uncertainty is due to speculative trading rather than hedging.</div></div>\",\"PeriodicalId\":46690,\"journal\":{\"name\":\"Borsa Istanbul Review\",\"volume\":\"24 \",\"pages\":\"Pages 50-59\"},\"PeriodicalIF\":6.3000,\"publicationDate\":\"2024-10-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Borsa Istanbul Review\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S2214845024000590\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Borsa Istanbul Review","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2214845024000590","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Economic policy uncertainty and options market participation: Hedge or speculation?
Using data from the Shanghai Stock Exchange 50 exchange-traded fund (SSE 50 ETF) options, we examine the impact of economic policy uncertainty (EPU) on options market participation. We find that increased EPU significantly induces investor participation in the options market, and this positive effect remains significant over the following three months. Further investigation shows that EPU significantly increases the ratio of trading volume to open interest in SSE 50 ETF options but has no significant impact on the demand for bearish hedging. Moreover, EPU's stimulatory effect on investor participation is stronger during periods of higher investor sentiment. These findings suggest that increased investor participation in the options market during periods of high economic uncertainty is due to speculative trading rather than hedging.
期刊介绍:
Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations