| Futures is a contract that traded on an exchange,buys or sells a certain amount of assets at a specified price in the future.Options is a contract that gives buyers the rights to purchase or sell a certain amount of assets at a specified price within a specified period of time.The lunch of futures and options provides tools for spot businesses to avoid market price volatility through hedging,which plays an important role in guaranteeing enterprises' economic benefits.According to their own needs,enterprises can establish a mechanism to hedge risk and transfer the risk in spot market to futures market by buying or selling futures contracts.On January 6,2006,sugar futures which regards sugar as a trading variety was listed on Zhengzhou Commodity Exchange,which makes China the seventh country to have its own sugar futures in the world.In April 19,2017,sugar futures options was also listed on Zhengzhou Commodity Exchange.As the first futures options whose underlying assets is futures contracts,does it has an effect on the price efficiency in futures markets? What is the main affecting channel between options transaction and futures market? These questions are all worth studying.This paper will study effect of sugar futures options to the price efficiency in sugar futures market.Based on the Cost and Carry model in perfect market conditions and the Interval Pricing model under imperfect market conditions,this paper takes SR705,SR707,SR709,SR711,SR801 and SR803,the six sugar futures as sample contracts,analyzing the change of the price efficiency in sugar futures market.The results show that: the lunch of sugar futures options does not have any significant impact on the price efficiency in futures market by COC model in general,but the frequency of futures prices is significantly lower than the theoretical price,and the frequency below the theoretical price is significantly increased;while by Interval Pricing model,it also does not improve the price efficiency in sugar futures market generally,however,the frequency of futures price beyond the upper limit of no arbitrage interval is significantly reduced,at the same time the frequency of futures price beyond the lower limit of no arbitrage interval has been increased significantly.Finally,make a prospect according to the research content.I hope that we can strengthen the popularization of derivatives knowledge,increase the number of professional investors by training and expand the numbers and distributions scope of sugar delivery warehouses in the future. |
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