| With the long-term development and adjustment of the domestic derivative market,the market completeness continues to improve,and the types of derivative trading are becoming increasingly diverse.The increase in trading varieties has attracted a large number of investors.This has not only expanded the market scale but also increased market risk.On March 31,2017,the first option product in China,soybean meal options,was launched and has been trading for six years.As a risk management tool for futures,there has been a lot of attention paid to whether options have played a role in risk management,stabilizing the underlying derivative market and spot market,and improving market efficiency.Against this background,this study explores the operational status of China’s agricultural derivative market,as well as the role and market effects of agricultural options in the underlying market,with the aim of better using options to hedge agricultural market risks,support the development of China’s agricultural industry,and fully leverage the positive role of agricultural derivative markets in rural development.In this study,literature analysis and empirical analysis were used to investigate the impact of soybean meal option listing on the risk premium of the underlying futures market,analyze the influence mechanism,and put forward some policy suggestions to promote the good operation of the agricultural options and futures market.First,this paper reviews the trading elements and market operation of soybean meal options and futures market.Through a simple comparative analysis of data,this part found that after the listing of soybean meal options,the trading volume of main contracts in the futures market decreased,and the fluctuation range also decreased,and the market seemed to be more stable while the market activity decreased.Secondly,descriptive statistical analysis model is used to find that the mean and standard deviation levels of the underlying futures risk premium decrease after the listing of soybean meal options.The preliminary hypothesis is the impact of the listing of options.Then,by introducing the dummy variable of option listing into the mean and variance equations of futures risk premium constructed by ARCH model and doing regression,it is preliminarily concluded that option listing has no significant impact on the underlying futures risk premium,but significantly reduces the volatility of the risk premium.Then,the regression control model is further used to explore the impact of option listing on the futures risk premium and its volatility.It is concluded that the launch of options has no significant policy net effect on the underlying futures risk premium,but has an average policy net effect of-0.656 on the volatility of the underlying futures risk premium,which is consistent with the regression result and the result is robust.Through further mechanism analysis,it is concluded that the listing of soybean meal option can inhibit the volatility of risk premium by improving the liquidity of futures market,reducing investor sentiment and expanding futures basis.Finally,based on the empirical results,this study concludes that agricultural options in the derivative market do play a role in stabilizing the market,improving market efficiency,and reducing market volatility.Market creators should further improve the trading mechanisms of options and futures,and appropriately increase the threshold for entering the options market to control the quality of market information,reduce the entry and disturbance of noise information,and thereby reduce market volatility and improve market efficiency. |
