The Empirical Research About The Influence Of The Launching Of Sugar Options To The Underlying Futures Market

The launching of options provides investors with more effective tools for avoiding and spreading risks.The launching of white sugar options in April 2017 will have an impact on the volatility and liquidity of the underlying futures market,which has important theoretical and practical significance for the future development of multi-level options markets in China.On the basis of studying more literatures,this paper summarizes the main research results and empirical models of the impact of derivatives trading on the target market.This article enriches the related research on domestic white sugar options,and provides a theoretical basis for market development,regulatory formulation by regulators and investor investment decisions.Promote the steady development of relevant markets.This article selects the daily closing price and volume data of the sugar futures market from April 20,2015 to April 19,2019.When researching the effect of the launching of white sugar options on the volatility of the underlying futures market,the GARCH family model is used to conduct an empirical study on the daily yield sequence of white sugar futures.The volatility of the underlying futures market has been reduced by judging the regression results of GARCH(1,1)model and the coefficient of the dummy variable DF after the listing of the sugar option.Comparing the change of GARCH model coefficient in the two-year symmetrical period before and after the launching of white sugar options,the introduction of white sugar options improves the information processing efficiency of the underlying futures market.The coefficient changes in TGARCH model before and after the introduction of the sugar option have been compared,the introduction of white sugar options improves the information asymmetry of the underlying futures market.When researching the effect of the launching of white sugar options on the liquidity of the underlying futures market,the daily closing price and trading volume of the white sugar futures are used to calculate the Martin index to build a liquidity model,and dummy variable is introduced for regression analysis from both short-term and long-term aspects.The introduction of white sugar options reduces the liquidity of the underlying futures market in the short term and improves the liquidity of the underlying futures market in the long term.Finally,the paper provides policy suggestions for the stable development of China's option market by using the empirical analysis results.