商品期权推出对其标的期货市场波动性的影响--基于豆粕期权的实证研究  

The Impact of Deriving Commodity Optionson the Volatility of the Underlying Futures Market--An empirical study based on soybean meal options

作　　者：梁朝晖 李波 刘媛嫄 LIANG Zhao-hui;LI Bo;LIU Yuan-yuan(School of Economics and Management,Tianjin Polytechnic University,Tianjin 300387,China)

机构地区：[1]天津工业大学经济与管理学院,天津300387

出　　处：《数学的实践与认识》2020年第7期46-53,共8页Mathematics in Practice and Theory

基　　金：国家自然科学基金:“基于利差结构的信用违约互换研究”(71371136);国家自然科学基金:“基于多标的、多重复合实物期权的价值研究”(70971098);2019年度天津工业大学“研究生科技创新活动计划”。

摘　　要：近年来,我国金融衍生品市场快速发展,上市了多个期货品种之后,又推出其对应的期权交易,由于期权的推出和交易有可能增加该品种整个交易市场的流动性,改善市场的信息不对称,降低其标的期货市场的波动性,使其更好地实现价格发现功能,从而市场的完备性和有效性有望增强.本文选取2014年1月2日到2018年12月28日大连交易所的豆粕主力连续合约收盘价的日数据,结合引入虚拟变量的ARMA-GARCH模型和EGARCH模型以豆粕期权为例进行了实证分析.研究表明,豆粕期权的推出会减小标的期货市场的波动性,增加非对称性,有利于价格发现.据此建议扩大金融衍生品交易范围,增强市场的完备性和有效性.In recent years,China’s financial derivatives market has developed rapidly,withgradual listings for a number of futures products,and then the introduction of its corresponding options trading follows.Because the introduction and trading of options may increase the liquidity of the whole trading market and improve the information asymmetry of the market,besides they may also reduce the volatility of the underlying futures market,and make it better for realizing the function of price discovery.Thus the completeness and efficiency of the market is expected to be enhanced.Therefore,this paper uses the daily data of the closing price of soybean meal continuous contracts on Dalian Stock Exchange from January 2,2014 to December 28,2018,and makes an empirical analysis of the volatility of the underlying futures market by combining the ARMA-GARCH model and the EGARCH model with the introduction of virtual variables.The research shows that the introduction of soybean meal option will reduce the volatility of the underlying futures market,but increase the asymmetry.Accordingly,we should expand the range of financial derivatives trading and enhance the completeness and efficiency of the financial derivatives market.

关 键 词：豆粕期权 波动率 ARMA-GARCH模型 EGARCH模型 

分 类 号：F832.5[经济管理—金融学]