期权上市对期货市场价格波动聚集性的影响——基于我国豆粕市场的实证分析

Effect of options listing on price fluctuation clustering of futures market——Based on empirical analysis of soybean meal market in China

基于大连商品交易所2013年3月-2018年12月豆粕等期货合约价格的日度数据,利用GARCH模型和合成控制法分析了豆粕期权上市对于豆粕期货价格波动聚集性的影响.结果显示在豆粕期权上市初期,豆粕期货价格波动并未受到太大的影响;但是随着时间的推移豆粕期权对于豆粕期货价格波动聚集性的抑制效应逐渐显现.因此,相关部门应当加强期货市场和期权市场的联动性建设,有序的降低期权市场交易的门槛,更好的发挥期货及期权市场价格发现和规避风险的功能.

Based on the daily data of soybean meal and other futures contract prices in Dalian Commodity Exchange from March 2013 to December 2018,the effect of soybean meal options listing on price fluctuation clustering of futures market were analyzed using GARCH model and synthetic control method.Results showed that the price fluctuation of soybean meal futures had not been greatly affected in the early stage of soybean meal options listing,but the inhibitory effect of soybean meal options on the clustering of soybean meal futures price fluctuation gradually appears over time.Therefore,relevant departments should strengthen the linkage construction of futures market and options market,orderly reduce the threshold of options market transactions,and better play the function of futures and options market price that to discover and avoid risks.