Series Vol. 13 , 13 September 2023
* Author to whom correspondence should be addressed.
The purpose of this paper is to investigate the yield and the degree of overlap of Snowball and its underlying asset, especially under the volatile financial market in recent China. China’s snowball product market has grown rapidly since 2018 and the outstanding size of such product is around 150 billion yuan in 2022. In this report, structure of Snowball product is divided into four typical situations, which are briefly introduced through a hypothetical case. In addition, this report reviews the historical data of the CSI 500 Index and digs into the trends of the stock market in China, hoping to find supporting evidence for the relationships between the yield and the degree of overlap, followed by the comparison of the yields of direct invest in CSI 500 Index and invest in Snowball products in different market conditions. The discussion of the returns and degree of overlap for different investment choices is limited; therefore, some possible suggestions and solutions are provided for market participants.
the snowball product, CSI 500 index, Chinese financial market, derivatives
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The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.