中文摘要：

本文以沪深两市相关证券的高频交易数据为样本,运用双重差分模型,首次深入考察和分析了指数ETF期权上市对其标的指数成份股市场质量的影响。通过构造反事实路径,本文研究发现：指数ETF期权上市交易有助于平抑其标的指数成份股的波动性,有助于提升其标的指数成份股的流动性,但对其标的指数成份股的价格效应并不显著。本文还进一步将处理期拆分为股市的上涨时段和下跌时段来进行实证检验,进而发现指数ETF期权上市对其标的指数成份股产生了逆市场趋势的价格效应,即在股市的上涨时段产生了负向的价格效应、在其下跌时段产生了正向的价格效应。

英文摘要：

Studying the high frequency data on the relevant equities listed on the SHSE and the SZSE and applying the DID model, this paper pioneers an in-depth analysis of the effects of the index ETF option introduction on the market quality of the component equities of the underlying index. On the basis of counterfactual assumptions, this paper discovers that the introduction of the index ETF option smoothes the volatility of the component equities of the underlying index and increases their liquidity, but has no significant price effects on them. The paper further divides the treatment period into the rising sub- period and the falling sub-period, and conducts empirical studies in the two sub-periods, discovering that the introduction of the index ETF option produces positive price effects in the falling sub-period and negative price effects in the rising sub-period.