中国的期权上市和相关商品期货波动性

IF 4.2 2区经济学 Q1 ECONOMICS

Economic Modelling Pub Date : 2024-10-29 DOI:10.1016/j.econmod.2024.106926

Jin Guo, Xiaoqian Wen

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引用次数: 0

摘要

本研究探讨了期权上市对中国标的商品期货市场波动率的影响，填补了期权交易效应研究的空白。我们构建了这些期权商品期货的反事实波动率，并估算了期权上市的平均处理效应。我们的研究结果表明，期权上市后相关商品期货的波动率有所下降，这一结果经得起各种稳健性检验。此外，我们还发现波动率的降低与这些市场交易量的减少有关。交易量下降的原因可能是知情交易者转向期权市场，以及噪声交易者对交易更加谨慎。我们的论文强调了期权上市的独特结果，尤其与新兴衍生品市场相关。

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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Option listing and underlying commodity futures volatility in China

This study examines the impact of option listing on the volatility of underlying commodity futures markets in China, filling a gap in research on the trading effects of options. We construct the counterfactual volatility for these optioned commodity futures and estimate the average treatment effect of option listing. Our findings reveal a reduction in the volatility of underlying commodity futures after the option listing, a result that withstands various robustness checks. Furthermore, we find the decreased volatility is associated with a lower trading volume in these markets. The declined trading volume may stem from informed traders diverting to option markets and from noise traders being more cautious about trading. Our paper highlights distinct outcomes of option listing, particularly pertinent to emerging derivative markets.

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来源期刊

Economic Modelling ECONOMICS-

CiteScore

8.00

自引率

10.60%

发文量

295

期刊介绍： Economic Modelling fills a major gap in the economics literature, providing a single source of both theoretical and applied papers on economic modelling. The journal prime objective is to provide an international review of the state-of-the-art in economic modelling. Economic Modelling publishes the complete versions of many large-scale models of industrially advanced economies which have been developed for policy analysis. Examples are the Bank of England Model and the US Federal Reserve Board Model which had hitherto been unpublished. As individual models are revised and updated, the journal publishes subsequent papers dealing with these revisions, so keeping its readers as up to date as possible.