原油期权对原油市场波动非对称性影响研究  

Research on Volatility and Asymmetric Effect of Crude Oil Options on of Crude Oil Market

作　　者：高天辰 高辉 GAO Tianchen;GAO Hui(University of Sydney,Australia,NSW 2006;Shang Hai Futures Exchange,Shanghai 200122,China)

机构地区：[1]悉尼大学,悉尼NSW2006 [2]上海期货交易所,上海200122

出　　处：《中国证券期货》2023年第3期23-44,共22页Securities & Futures of China

摘　　要：本文基于日数据采用GARCH模型族实证研究了原油期权推出对原油期货市场变量(价格、成交量、持仓量、库存)波动性及非对称杠杆效应的影响。结论如下:不考虑疫情影响下原油期权推出除了对成交量,对价格、持仓量及库存波动均产生较长时间波动性影响;考虑疫情影响下仅对价格产生长时间波动性影响。无论是否考虑疫情影响,原油期权推出后均加剧了价格收益波动性,降低了成交量、持仓量、库存波动性,考虑疫情影响下原油期货价格收益波动增强程度减弱,成交量波动减弱程度降低。不考虑疫情影响下原油期货价格、成交量、持仓量、库存波动率均存在负的非对称杠杆效应,利空消息的影响均大于利多消息的影响;考虑疫情影响下原油期权推出前后,原油期货价格收益波动均由负的非对称性转变为正的非对称性杠杆效应,原油期货成交量波动负的非对称性杠杆效应在原油期权上市后变小且减小的幅度小于不考虑疫情影响下的杠杆效应,持仓量及库存的波动在原油期权推出后负的非对称性杠杆效应均减弱。最后,针对国内期权市场建设给出相关政策建议。Based on daily data,this paper uses the GARCH model family to empirically study the impact of crude oil option launch on the volatility and asymmetric leverage effect of crude oil futures market variables(futures price,trading volume,open position,inventory).The conclusion is as follows:Regardless of the impact of the COVID-19,the launch of crude oil options has a long-term volatility impact on price,position and inventory volatility in addition to trading volume,and only has a long-term volatility impact on prices under the influence of COVID-19.Regardless of whether the impact of COVID-19 is considered,the launch of crude oil options has intensified the volatility of price returns,reduced the volatility of trading volume,position and inventory,and Considering COVID-19 influence,the volatility of crude oil futures prices yield has weakened,and the degree of weakening of trading volume fluctuations has decreased.Regardless of the impact of COVID-19,crude oil futures prices,trading volume,positions,and inventory volatility all have negative asymmetric leverage effects,and the impact of negative news is greater than the impact of bullish news.Considering the introduction of crude oil options under the influence of COVID-19:the fluctuation of crude oil futures prices yield has changed from negative asymmetry to positive asymmetric leverage effect.The asymmetric leverage effect of negative fluctuations in crude oil futures trading volume becomes smaller and decreases less than the leverage effect without considering the impact of COVID-19 after the listing of crude oil options.Fluctuations in position and inventory have weakened the negative asymmetric leverage effect after the launch of crude oil options.Finally,relevant policy suggestions are given for the construction of the domestic options market.

关 键 词：原油期权 GARCH模型族 波动率 非对称性 杠杆效应 

分 类 号：F83[经济管理—金融学]