The Influence Of Soybean Meal And Sugar Futures Options On The Volatility Of The Underlying Market

Market volatility is a measure of the value of the transaction price of the assets and the assets of the deviation degree,reflects all kinds of information flow of the market,the structure of the trading system and investor sentiment changes and other factors.The uncertainty of market price changes,that is the degree of the market risk.Volatility is very important for market operation efficiency and is closely related to market information efficiency.Therefore,all countries in the world pay much attention to its influence on market volatility when they spin out financial derivatives.The main function of the futures option is to provide an effective tool for investors to avoid and disperse the risk.In March 2017 and April,the soybean meal futures and sugar futures options start to trade.How will they affect the volatility of the sugar futures and soybean meal futures market? The exploration of this problem is of great theoretical and practical significance to the future development of multilevel futures market in China.Under this background,chose the soybean main meal and sugar continuous contract return series from DEC and ZCE as a starting point,based on modern financial theory and doctrine,using the method of qualitative analysis and mathematical combination,describes the relationship between the futures market volatility and futures option trading shocks.In this paper,the sample space is from January 2,2014 to March 14,2018,the logarithmic difference yields reflect the characteristics of the market volatility,GARCH model of soybean meal and sugar main continuous contract daily incoming sequence processing,using non symmetric TGARCH verify the results of GARCH,so as to reflect changes in soybean futures and sugar futures market volatility.In this paper,we studied and analyzed the volatility changing of soybean meal and sugar futures market after soybean meal futures and sugar futures options be listed for transactions.The results are as follows:1.soybean meal and sugar futures returns series exist conditional heteroscedasticitythe daily yield series of soybean meal and sugar main continuous contract conduct the ARCH effect test.The results of sequence autocorrelation analysis and LM test showed that soybean meal and sugar futures had significant time-varying volatility characteristics.The existence of significant volatility accumulations reconfirms the limitation of the meanvariance method to describe the futures price risk.2.the futures and sugar futures options of soybean meal restrain the volatility of the underlying futures marketAfter the introduction of soybean meal futures and sugar futures options,the fluctuation level of the continuous contract of soybean meal and sugar was reduced,but the amplitude was small.Therefore,it can be considered that after the market trading of soybean futures and sugar futures options,the price discovery function and risk management function basically played a role in restraining the volatility of the underlying futures market,making the price operation of the futures market more stable and reasonable.But we should point out that the market of soybean meal futures options and sugar futures options still belongs to the niche market,and the impact on the underlying futures market is relatively limited.3.futures options of soybean meal and sugar improving the information processing efficiency of the standard futures marketAfter the listing of soybean meal futures options and sugar futures options,the effect of historical information on market volatility is weakened,and the impact of information in the previous period is the main reason that affects the level of market volatility.It shows that after the introduction of soybean meal futures options and sugar futures options,the transmission and digestion of information in soybean meal futures and sugar futures market is more rapid,which makes the market more efficient,and it is consistent with the original intention of the futures options trading.4.the introduction of soybean meal futures option improves the asymmetric information in soybean meal futures market.After the soybean meal futures option was introduced,the leverage effect of the information in the futures market of the soybean meal was improved.The main reason may be that the introduction of soybean meal futures makes the participants in the soybean meal futures market have more lower cost hedging and speculation strategies,attracting participants in the futures market of soybean meal to enter the futures market trading,reducing the ineffective information in the soybean meal futures market and improving the leverage effect of information in the soybean meal futures market.However,whether the listing of sugar futures options has improved the asymmetric effect of information in sugar futures market is not clear.