中国原油衍生品市场的价格发现

IF 1.8 4区经济学 Q2 BUSINESS, FINANCE

Journal of Futures Markets Pub Date : 2025-03-02 DOI:10.1002/fut.22578

Zhini Yang, Andrew Lepone

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引用次数: 0

摘要

本研究首次对中国原油期权市场进行了考察。利用高频数据和三种不同的价格发现方法，我们进行了严格的分析，发现中国原油期权市场在运行前8个月后，对价格发现做出了有意义的贡献。包括波动性、价差和投机水平在内的因素会影响其价格发现能力。我们还发现中国原油衍生品市场的一个独特现象是，与期权市场相比，投机行为对期货市场的价格发现作用更大，这与之前芝加哥商品交易所天然气衍生品市场的研究结果一致。

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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Price Discovery in China's Crude Oil Derivatives Market

This study is the first to examine China's Crude Oil options market. Using high-frequency data and three different price discovery measures, we undertake a rigorous analysis and find that after its first 8 months of operation, China's Crude Oil options market contributes meaningfully to price discovery. Factors including volatility, spread, and speculation levels are shown to impact its price discovery ability. We also find a unique phenomenon in China's Crude Oil derivatives markets in that speculation adds more to the price discovery of the futures market compared with the options market, which is consistent with previous findings for the Chicago Mercantile Exchange Natural Gas derivatives market.

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来源期刊

Journal of Futures Markets BUSINESS, FINANCE-

CiteScore

3.70

自引率

15.80%

发文量

期刊介绍： The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.