On December 13, 2019, China officially launched the CSI 300 ETF option, which is the second option product after the listing of SSE 50 ETF option. Its launch further improves the development of China's financial derivatives market. This paper takes the daily closing price data of CSI 300 ETF as the research object one year before and after the listing of CSI 300 ETF options. Through ADF test, ARCH test and GARCH model analysis, it is concluded that CSI 300 ETF options can reduce the volatility of spot underlying yield, but the effect is weak. Based on the positive impact of the listing of CSI 300 ETF options on the spot target, this paper puts forward countermeasures and suggestions from the government, financial institutions and investors, in order to provide guidance for the development of financial derivatives.

Zhentao Hu. Impact of CSI 300ETF Options on Spot Target. Socio-Economic Statistics Research (2022), Vol. 3, Issue 4: 1-10. https://doi.org/10.38007/SESR.2022.030401.

[1] Roll Richard. An analytic valuation formula for unprotected American call options on stocks with known dividends. Journal of Financial Economics, 1977, 5(2):251-258. https://doi.org/10.1016/0304-405X(77)90021-6

[2] Hakansson Nils H. Changes in the Financial Market: Welfare and Price Effects and the Basic Theorems of Value Conservation. The Journal of Finance, 1982, 37(4):977-1004. https://doi.org/10.1111/j.1540-6261.1982.tb03592.x

[3] Damodaran, Aswath, Marti G.Subrahmanyam. The Effects of Derivative Securities on the Markets for the Underlying Assets in the United States A Survey. Financial Markets, Instution, and Instruments, 1992.(5):1-22.

[4] Raman Kumar, Atulya Sarin, Kuldeep Shastri. The impact of index options on the underlying stocks: The evidence from the listing of Nikkei Stock Average options. Pacific-Basin Finance Joumal, 1995, 3(2):303-317. https://doi.org/10.1016/0927-538X(95)00006-7

[5] Sahlstrm P. Impact of stock option listings on return and risk characteristics in Finland. International Review of Financial Analysis, 2002, 10(1):19-36. https://doi.org/10.1016/S1057- 5219(00)00046-6

[6] Shinhua Liu. The impacts of index options on the underlying stocks: The case of the S&P 100. The Quarterly Review of Economics and Finance, 2007, 49(3):1034-1046. https://doi.org/10.1016/j.qref.2007.10.001

[7] Julien Chevallier, Yannick Le Pen, Benoît Sévi. Options introduction and volatility in the EU ETSIJI. Resource and Energy Economics, 2011, 33(4):855-880. https://doi.org/10.1016/j. reseneeco.2011.07.002

[8] Peihwang Wei, Percy Poon, Susan Zee. The Effect of Option Listing on Bid-Ask Spreads, Price Volatility, and Trading Activity of the Underlying OTC Stocks. Review of Quantitative Finance and Accounting, 1997, 9(2):165-180. https://doi.org/10.1023/A:1008212525953

[9] George Filis, Christos Floros, Bruno Eeckels. Option listing, returns and volatility: evidence from Greece. Applied Financial Economics, 2011, 21(19):1423-1435. https://doi.org/10.1080/ 09603107.2011.577005

[10] Roll R. A note on an analytical valuation formula for unprotected American call options on stocks with known dividends. Journal of Financial Economics, 1977, 7(4):375-380. DOI：10.1016/0304-405X(79)90004-7

[11] Gukhal C R. Analytical Valuation of American Options on Jump-Diffusion Processes. Mathematical Finance, 2010, 11(1):97-115. DOI：10.1111/1467-9965.00109

[12] Choi B. Numerical methods for the valuation of American options under jump-diffusion processes. The University of Texas at Austin. 2002.

[13] Toivanen, Jari. Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model. SIAM Journal on Scientific Computing, 2008. DOI：10.1137/060674697

[14] Jun-Ling W U, Wang Y, Wang J X. The Effect of Warrant Listing on Bid Ask Spreads, Price Volatility, and Trading Activity of the Underlying Stocks. Journal of Hubei University of Technology, 2007, 34(6):403-412. DOI：10.1007/s10295-007-0210-z

[15] Ke P, Pei W N, Teo L. Price, volume and volatility effects associated with derivative warrant listing on the Singapore Exchange. 2007.