棉花期权推出对期货和现货价格的波动性影响研究  

Research on the Impact of Cotton Options on the Volatility of Futures and Spot Prices

作　　者：贾萌 熊学萍[1] 郭晨光 Jia Meng;Xiong Xueping;Guo Chenguang(College of Economics and Management,Huazhong Agricultural University)

机构地区：[1]华中农业大学经济管理学院 [2]广州期货交易所

出　　处：《金融发展评论》2022年第8期16-30,共15页Financial Development Review

基　　金：国家自然科学基金(72174069)的资助。

摘　　要：为做好农产品的“保供稳价”工作,进一步促进棉花价格体系的完善,落实中央一号文件“推进农产品期货、期权市场建设”的要求,棉花期权正式上市。棉花期权作为套期保值和风险对冲的工具,在平滑期货权益、服务实体经济方面取得了一定成效,但对期货和现货价格的影响并不明确。本文运用GARCH族模型,实证检验棉花期权对标的期货与现货价格波动性的影响。结果表明:棉花期权增大了期货和现货价格的波动;棉花期现货市场均存在显著的“杠杆效应”,该效应的主要作用是放大市场波动;棉花期权增强了期货与现货市场间的波动溢出效应。该结论的政策启示是:要发挥期权对期现货市场价格的平抑作用,应提升投资者期权知识水平,助其审慎决策;监管方仍需严格规范市场秩序。In order to do a good job in “guaranteeing supply and stable prices” of agricultural products,further promoting the improvement of the cotton price system,and implementing the requirements of the No.1 Central Document “Promoting the Construction of Agricultural Futures and Options Markets”,cotton options officially listed in 2019.As a tool for hedging and risk hedging,cotton options have achieved certain results in smoothing futures rights and interests and serving the real economy,but the impact on futures and spot prices is uncertain.Using the GARCH family models,this paper empirically tests the impact of cotton options on the volatility of the underlying futures and spot prices.The results show that:cotton options increase the volatility of futures and spot prices;cotton futures and spot markets have a significant “leverage effect”,and the main effect of the leverage effect is to increase market volatility;cotton options enhance the volatility spillover effect between futures and spot markets.The policy implications of these conclusions are:in order to give full play to the stabilizing effect of options on futures and spot market prices,investors should improve their knowledge of options and help them make prudent decisions;regulators still need to strictly regulate the market order.

关 键 词：棉花期权 期货价格 现货价格 非对称性 波动溢出 

分 类 号：F323.7[经济管理—产业经济] F724.5