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Option listing and underlying commodity futures volatility in China

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  • Guo, Jin
  • Wen, Xiaoqian

Abstract

This study examines the impact of option listing on the volatility of underlying commodity futures markets in China, filling a gap in research on the trading effects of options. We construct the counterfactual volatility for these optioned commodity futures and estimate the average treatment effect of option listing. Our findings reveal a reduction in the volatility of underlying commodity futures after the option listing, a result that withstands various robustness checks. Furthermore, we find the decreased volatility is associated with a lower trading volume in these markets. The declined trading volume may stem from informed traders diverting to option markets and from noise traders being more cautious about trading. Our paper highlights distinct outcomes of option listing, particularly pertinent to emerging derivative markets.

Suggested Citation

  • Guo, Jin & Wen, Xiaoqian, 2024. "Option listing and underlying commodity futures volatility in China," Economic Modelling, Elsevier, vol. 141(C).
    • Handle: RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002839
    DOI: 10.1016/j.econmod.2024.106926
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    More about this item

    Keywords

    Option listing; Underlying commodity futures; Volatility; China;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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