Research On The Impact Of The Listing Of Thermal Coal Options On The Volatility Of Underlying Futures Trading

"Poor oil,less gas,rich coal" is the actual situation of my country’s energy reserves.According to the characteristics of coal resources and current production capacity,coal will still be the main energy source for a long time in the future.There are abundant types of coal,and thermal coal accounts for a higher proportion than other coal types.Thermal coal is involved in the stability and development of all aspects of my country’s industry and the entire society,and the level of its trading volume is also a barometer of the development of the industry.The listing of thermal coal options on June 30,2020 aims to optimize the allocation of resources and finance to provide assistance for the development of entities.Research on the launch of thermal coal options has important practical significance and application value,and can provide references for the launch and development of other options in the future.This article selects the transaction data of the main continuous thermal coal contracts on the trading days from 2018 to 2020 as the sample space.First,the sample is processed as the main continuous contract daily return rate sequence of thermal coal,and descriptive analysis is performed;secondly,the autocorrelation and ARCH-LM test are performed on the sequence;then introduce the dummy variable Df and use the GARCH family model to analyze the volatility and asymmetric effects of the listing of thermal coal options against the underlying futures market;finally,the least square method is used to analyze the three dimensions of price,transaction volume and listing.The conclusions found that:(1)Within half a year of the launch of thermal coal options,it increased the volatility of the thermal coal futures market,but the degree of volatility was limited;(2)The "good news" after the launch of thermal coal options has a geater impact on the volatility of the underling futures maket than the "bad news",and the asymmetry range has increased after the launch of the options.(3)The listing of thermal coal options has a long-term relationship with the underlying futures market to inhibit changes,but the short-term and long-term changes in the underlying futures market are mainly related to price The volatility and volume of trading show a positive correlation.At the end of the thesis,from the perspectives of the builders,investors,and norms of the financial futures market,it puts forward reasonable suggestions for the healthy and stable development of my country’s futures and options market.