An Analysis Of The Impact Of China's Commodity Futures Options On The Underlying Market Price Discovery Function

Risk avoidance and price discovery are two basic functions of the mature futures market,and the price discovery function is particularly important.Options began to flourish in the 1980s,many countries used options to manage risks and enrich the capital market.China's commodity option market started late,but it has developed rapidly,the variety of options continues to increase,and the scale of transactions continues to expand.So what impact has the launch of the option market with commodity futures as the target on the price discovery function of China's futures market?To study this issue,it is necessary to combine the actual situation of domestic derivatives market development with foreign advanced experience,theory and practice,and a comprehensive analysis.Therefore,this article takes soybean meal futures,sugar futures and copper futures markets as the research objects,deeply discusses the impact of the launch of commodity options in China on the price discovery function of the target futures market.Firstly,based on the price discovery theory under the mean regression,test the mean regression phenomenon of three commodity futures prices,the strength of the market price discovery function is determined.Taking listing date as the dividing point,six sets of sample data of the three futures markets are selected to construct a non-linear STAR model;Secondly,the model parameters are estimated,and compare the results vertically and horizontally.After the discovery option is launched,the underlying market price discovery function is better;but due to trading volume,time to market,investor sentiment and trading system,the price discovery function of agricultural futures and metal futures are also different;Finally,On the basis of the conclusions,it gives policy recommendations to promote product innovation,allocate government and market roles,increase social participation,and strengthen investor education.