The Empirical Analysis On The Impact Of Soybean Meal Futures Options Listing On The Soybean Meal Futures Market Volatility

Options,as vital financial derivative tools in the financial market,are widely used in various sophisticated risk management because of their unique nonlinear profit and loss structure.Commodity futures options,one kind of the options,have played an important role in the world commodity trade since the nineteenth century.Soybean meal futures options as a relatively mature kind worldwide were listed on China's Dalian Commodity Exchange on March 31,2017,which marked the first year of the domestic commodity futures options market and attracted the attention of all parties.As the first-launched commodity futures option,soybean meal futures option has not yet achieved a broad consensus in the academic community on whether it can effectively reduce the volatility of the soybean meal futures market and whether it will play a positive role in promoting the operation of the futures market.Therefore,this paper studies the volatility impacted by the listed soybean meal futures options from a short-term perspective.First of all,this paper makes reference to the research of a large number of similar literatures both at home and abroad,combs through and summarizes the general research ideas and methods embodied in it,in order to lay a foundation for subsequent empirical analysis;next,this paper introduces the background knowledge and important theories related to soybean meal futures options,including the basic concepts,development history and related important functions.Meanwhile,it also analyzes the transmission mechanism of soybean meal futures options' affecting the futures market from a qualitative perspective;subsequently,this paper makes use of a series of measurement methods such as ARMA-GARCH model to establish the quantitative analysis on how the soybean meal futures options affects the volatility by introducing dummy variables.Since the conclusion is not significant,this paper has further improved the model by expanding the sample,and finally selected the data of the daily settlement price data from the soybean meal futures market(August 15,2014 to September 30,2017 in China)to form the logarithm yield rate series.In this paper,the sample points of the listed options are divided into different sample sub-intervals for the comparative study.On the premise of eliminating other market influences,the following conclusions are drawn:(1)The introduction of soybean meal futures options effectively reduced the volatility of the soybean meal futures market;(2)The impact of the soybean meal futures options on the futures market is somehow stagnant,since a significant volatility reduction effect occurs only about three months and a half later;(3)The soybean meal futures market did not present typical asymmetry characteristics before listing,and this characteristic appears afterwards.This shows that the listing of soybean meal futures options has improved the information delivery efficiency on the futures market to some extent.In the end,based on the above conclusions,the paper explains the relevant reasons in detail,and also points out the future improvement ideas for research,hoping to provide help for follow-up more in-depth research.