Price Discovery in China's Crude Oil Derivatives Market
首次研究中国原油期权市场，利用高频数据发现其运行8个月后对价格发现贡献显著，并发现投机对期货市场价格发现的作用大于期权市场。
ABSTRACT This study is the first to examine China's Crude Oil options market. Using high‐frequency data and three different price discovery measures, we undertake a rigorous analysis and find that after its first 8 months of operation, China's Crude Oil options market contributes meaningfully to price discovery. Factors including volatility, spread, and speculation levels are shown to impact its price discovery ability. We also find a unique phenomenon in China's Crude Oil derivatives markets in that speculation adds more to the price discovery of the futures market compared with the options market, which is consistent with previous findings for the Chicago Mercantile Exchange Natural Gas derivatives market.