Research on the Impact of China's Crude Oil Options Listing on the Volatility of Benchmark Futures Prices
As an efficient and flexible risk management tool,China's crude oil options were officially listed and traded on the Shang-hai 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.
crude oil optionsprice volatilityGARCH modelTGARCH model
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