| On April 19,2017,China's white sugar option officially entered the Zhengzhou Commodity Exchange,which is the second domestic commodity option after the soybean meal option.It is also the third domestic online option after the SSE 50 ETF option and the soybean meal option..The birth of white sugar options not only provides direct option products for sugar farmers and sugar enterprises in China,but also provides new ideas for enterprises' safe-haven needs.When the sugar option was first listed,the sugar industry was in a bear market cycle,and the price of white sugar has been fluctuating.In order to achieve a steady start,Zhengshang has imposed strict restrictions on the number of positions in white sugar options.This measure was gradually released after the option operation for 5 months and 13 months.Then,with the gradual liberalization of position restrictions,will the price discovery function of the sugar option market increase? In the two years of trading,how efficient is the sugar option market? Is the function of price discovery effective compared to white sugar futures? At present,no scholars have studied these issues,and the answer is not clear.This paper takes the 5-minute closing price of white sugar options and futures during the period from April 19,2017 to December 28,2017 as the sample data.According to Zheng Shang's position adjustment adjustment node for the white sugar option market during this period,the sample interval is divided into In three stages,using VECM,PT,(M)IS,VEC-BEKK-GARCH and other measurement models,we examined the price between white sugar options and white sugar futures from the perspective of first-order information transmission and second-order information transmission.Dynamic relationships reveal the price discovery process and operational efficiency of the white sugar derivatives market.In the end,the paper got the following three conclusions:(1)In terms of the leading-lag relationship of price,the cointegration test and the Granger causality test result show that there is a mutual guiding relationship between white sugar option and white sugar futures.However,from the perspective of the error correction coefficient and the lag term coefficient,Sugar futures play a leading role in the price guiding relationship in the first and third stages.In the second stage,the price guiding force of futures is weakened,while sugar options have a stronger price guiding force.(2)In terms of effective price contribution,the price contribution of white sugar futures in three stages is 72.9%,19.3%,and 70.1%,respectively.The price contribution of white sugar options in three stages is 27.1%,80.7%,29.9,respectively.It can be seen that the price contribution of white sugar futures in the first and third stages is higher than that of white sugar options,and the price contribution of white sugar options in the second stage is higher than that of futures.This is consistent with the conclusion of vector error correction model test.(3)In terms of price volatility spillover,the results of VEC-BEKK-GARCH model show that the white sugar futures and white sugar option markets have significant two-way cross-market volatility spillover effects in three stages.And in the first stage,the volatility spillover effect of white sugar futures on white sugar options is greater than the volatility spillover effect of white sugar options on white sugar futures,showing asymmetry;in the second stage,the volatility spillover effect of white sugar futures is weakened,white sugar options against white sugar futures The volatility spillover effect is relatively stronger;in the third phase,the volatility spillover effects of the two markets are roughly equal.It shows that Zhengzhou's adjustment of the white sugar option position limit has a significant impact on its second-order information transmission efficiency.The first and second-order information transmission tests consistently showed that Zheng Shang's first adjustment of the sugar option position limit greatly enhanced the price discovery ability of the option,but the second adjustment did not achieve the expected effect.On the whole,China's white sugar futures market and options market have played a role in price discovery to a certain extent,but the price discovery ability of the sugar option market is relatively weak.,and the market operation efficiency is not high.In this regard,this paper proposes: to improve the trading scale and market liquidity of white sugar options;strengthen investor education and other suggestions,hope to further improve the price formation mechanism of the white sugar market,and promote the price of white sugar options market Discover the effective functioning of the function and provide more accurate market signals for enterprises and investors.The innovations of this paper are as follows:(1)Short time to market and insufficient transaction data make domestic scholars have less research on the price discovery function of China's white sugar derivatives market.The research in this paper can make some supplements in this aspect.(2)At the same time,this paper studies the price discovery function of white sugar options and futures from the perspective of first-order information transmission and second-order information transmission.It is more comprehensive and the conclusion is more convincing. |
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