商品期货和期权是否存在日内反转效应？来自中国市场的证据

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal Pub Date : 2024-09-19 DOI:10.1016/j.pacfin.2024.102534

Luyuan Zheng , Xingguo Luo

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引用次数: 0

摘要

本文基于2017年至2022年中国商品期货和期权市场的高频数据，研究了中国商品期货和期权的日内效应。本文研究发现，中国商品期货和期权具有显著的盘中反转效应，且隔夜开盘因子和盘中动量因子更为显著。此外，本文还检验了期货与期权的交叉预测能力。检验发现，期货对期权的交叉预测能力较强，而期权对期货的交叉预测能力较弱。针对这一现象，我们进行了多项测试。我们考虑了做市商的伽马对冲行为、维加对冲行为和流动性等因素。我们的新证据表明，上述因素都与中国市场的日内反转效应有关。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Is there an intraday reversal effect in commodity futures and options? Evidence from the Chinese market

Based on the high-frequency data of China's commodity futures and options markets from 2017 to 2022, this article examines the intraday effect of China's commodity futures and options. The research of this article found that China's commodity futures and options have significant intraday reversal effects, and the overnight opening factor and intraday momentum factor are more significant. In addition, this article tests the cross-predictive ability of futures and options. The tests found that futures have a strong cross-predictive ability for options, while the cross-predictive ability of options to futures is weak. In response to this phenomenon, several tests are conducted. We consider the market makers' Gamma Hedge behavior, Vega Hedge behavior, and liquidity as factors. Our novel evidence indicates that all these aforementioned are related to the intraday reversal effect in the Chinese market.

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来源期刊

Pacific-Basin Finance Journal BUSINESS, FINANCE-

CiteScore

6.80

自引率

6.50%

发文量

157

期刊介绍： The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.