期刊论文

Study on the Impact of Cotton Option’s Introduce on the Volatility of the Underlying Futures Market

中文

科技和产业

1671-1807

2022

22

7

51-56

10.3969/j.issn.1671-1807.2022.07.006

国家社会科学基金（20BGL163）；

本校为第一机构

以棉花期权上市为契机研究棉花期货市场的波动性.基于ARMA(1,1)、GARCH(1,1)和EGARCH(1,1)3个模型,通过引入单虚拟变量、双虚拟变量和交互项虚拟变量深入研究棉花期权推出对棉花期货市场的波动性影响.研究发现,棉花期货收益率序列存在波动集聚性,同时无论是否发生新冠疫情,棉花期权推出不仅会加剧棉花期货收益率的波动性,还降低了棉花期货市场的整体波动性和非对称现象,疫情的发生在一定程度上也对棉花期货市场的波动性产生正向效应.最后,依据实证结论对中国棉花期权市场和期货市场提出相应的建议.

Taking the listing of cotton options as an opportunity to study the volatility of cotton futures market.Based on ARMA(1,1),GARCH(1,1)and EGARCH(1,1)models,single dummy variable,double dummy variable and dummy variable of interaction term are introduced to study the impact of the introduction of cotton options on the volatility of cotton futures market.The study found that there is volatility clustering in the cotton futures yield sequence.At the same time,whether there is new corona epidemic or not,the introduction of cotton options not only ag...