我国原油期权上市对标的期货价格波动性影响研究

Research on the Impact of China’s Crude Oil Options Listing on the Volatility of Benchmark Futures Prices

作为一种高效灵活的风险管理工具,我国原油期权于2021年6月21日正式在上海期货交易所上市交易,对完善衍生品市场具有重要意义。为了研究原油期权上市对标的期货价格波动性的影响,本文运用引入虚拟变量的GARCH模型和TGARCH模型进行实证研究。结果表明:原油期权上市影响了原油期货价格的波动性,但是减弱了原油期货价格波动的非对称性。在原油期权上市前,市场中利空消息比利好消息对于原油期货价格波动影响更大,但在原油期权上市后,原油期货价格不存在非对称性。根据实证分析结果,应完善期权市场的交易和监管体制,鼓励实体企业和机构投资者运用期权进行风险管理,加强对投资者的风险教育。

As an efficient and flexible risk management tool,China’s crude oil options were officially listed and traded on the Shanghai Futures Exchange on June 21,2021,which is of great significance for impQroving the derivatives market.To investigate the impact of the listing of crude oil options on the volatility of benchmark futures prices,this paper conducted empirical research using the GARCH model and the TGARCH model with dummy variables.The results indicate that the listing of crude oil options has influenced the volatility of crude oil futures prices,but it has weakened the asymmetry of crude oil futures price fluctuations.Before the listing of crude oil options,negative news had a greater impact on crude oil futures price fluctuations than positive news.However,after the listing of crude oil options,there was no asymmetry in crude oil futures prices.Based on the empirical analysis results,it is recommended to improve the trading and regulatory systems of the options market,encourage physical enterprises and institutional investors to use options for risk management,and strengthen risk education for investors.