Price Discovery in China's Crude Oil Derivatives Market

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发布日期：2023年03月08日上次修订日期：2023年04月28日

Zhini YANG Shanghai Futures Exchange; Fudan University Andrew LEPONE Department of Applied Finance, Macquarie University Business School

摘要

This study is the first to examine China’s crude oil options market. Using high-frequency data and three different price discovery measures, we conduct a rigorous analysis and find that after its first 8 months of operation, China’s crude oil options market has already played an important role in price discovery. Factors such as volume, volatility, and speculation can impact its price discovery ability. We also find a unique phenomenon in China’s crude oil derivatives market, namely that speculative activity mainly occurs in the futures market and adds to the price discovery of the futures market rather than to the options

关键词：

crude oil derivatives price discovery market microstructure China crude oil futures and options

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