Margin Trading,Short Selling,and the SSE 50ETF Options Return
Based on the fact that margin trading and short selling are not balanced in China,this paper empirically investigates the effect of these two activities on the return of options by using the data of SSE 50ETF options from 2015 to 2021.We find that because there are so many different long trading strategies available,margin trading has little effect on the return of call options.The put option's return in the following month decreases with increasing short-selling activity due to short sale constraints.In addition,the effect of short-selling activity on put option returns is more pronounced in the subsample of economic depression,low investor sentiment,and negative underlying market returns;however,this effect is not sustained over the long run.Further analysis shows that the increase of short-selling activity will significantly increase the put option holdings,but will not have a significant impact on the return of call options.The conclusion of this study provides evidences for the possible connection between margin trading,short selling,and options market in China,and provides a point of reference for future cross-market analysis and the development of regulatory pol-icies.
Margin trading and short selling50ETF optionsShort sale constraintsOptions return
万方数据
维普
