| After years of rapid development,Chinese securities market is still in a single market structure dominated by stock and bond market.On February 9,2015,under the guidance of building a multi-level capital market,Shanghai Stock Exchange launched the first domestic option tool:SSE 50ETF option.At this stage,domestic traditional markets such as stocks and bonds are developing rapidly and the market is gradually maturing.However,the development of emerging financial markets such as derivatives is still in its infancy,and the market scale and transaction varieties are difficult to match the needs of diversified market investors and different risk preferences.Under this background,commodity options such as soybean meal option and sugar option were successively launched as pilot listing in 2017.Due to the defects of trading system and investors’ risk preference,the pricing efficiency of emerging markets is low,which leads to a large number of risk-free arbitrage opportunities.The option market is in the early construction stage in China,and there are few studies to verify the market pricing efficiency.At present,B-S pricing model or binary tree pricing model is basically used to verify the option market efficiency in China,and risk-free arbitrage model is rarely used to verify the option market pricing efficiency.Based on the above background and box spread strategy,this paper selects 2021 white sugar option as the research object to test the pricing efficiency of white sugar option market.This paper tests the market pricing efficiency based on the relative pricing of white sugar options in the white sugar option market.The effectiveness of the white sugar option market depends on the absence of sustainable and trendy risk-free arbitrage opportunities in the market.The above definition of market efficiency is different from the definition of whether actively managed funds in the stock market can defeat index funds.Based on the characteristics of the box spread model,first build a verification model,and then empirically test the model.This paper selects the calculation of the closing price,in order to preliminarily explore the relative pricing effectiveness of the sugar option market.The author’s personal data collection ability is limited and can not collect real-time quotations.Finally,analyze the distribution of excess returns.Empirical research shows that the arbitrage opportunities of box spread strategy focus on the situation that the residual period of options is longer than 35 days,and the abnormal risk-free annualized return of box spread is mainly concentrated in 0-6 days.The results show that the pricing of white sugar option market has high efficiency,and the white sugar option market is effective.Although this paper summarizes the annualized rate of return of arbitrage,considering that the white sugar option has an expiration period,although there may be occasional arbitrage opportunities,such opportunities cannot be sustained under the background of effective white sugar option pricing,so the rate of return in this paper exists occasionally in a few months,and annualization has no practical significance.Annualization in this paper is only used as a statistical reference. |
