Effects of the Covid‐19 pandemic on derivatives markets: Evidence from global futures and options exchanges
研究了新冠疫情期间全球衍生品市场的交易活动变化，发现交易量和未平仓合约显著增加，市场互联性增强，美国交易所频繁调整保证金要求，交易者参与度下降。
Abstract We examine key developments in trade‐related activity on global derivatives markets during the Covid‐19 pandemic. We first document significant increases in volumes and open interest. Drawing upon techniques from network theory, we next find greater market interconnectedness and notable changes in market centrality. For US exchanges, we examine their response to the increased market uncertainty and find large and more frequent changes to margin requirements. We also find a considerable drop in trader participation driven mainly by noncommercial traders along with an increase in the percent of open interest held by commercial shorts and noncommercial longs.