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Price discovery and its determinants for the Chinese soybean options and futures markets

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  • Hao, Jing
  • He, Feng
  • Liu-Chen, Baiao
  • Li, Zihe

Abstract

This paper studies price discovery ability between the options and futures markets of soybeans. The options price index is calculated with a put–call parity method on at-the-money calls and put options with data of one-minute frequency. We show that the price discovery ability of soybean options is stronger than that of soybean futures and gradually increases during the first year after listing. The call options trading volume has a stronger impact on the Soybean options’ price discovery ability than the put options trading volume. This study helps to efficiently evaluate the performance of China's first commodity options.

Suggested Citation

  • Hao, Jing & He, Feng & Liu-Chen, Baiao & Li, Zihe, 2021. "Price discovery and its determinants for the Chinese soybean options and futures markets," Finance Research Letters, Elsevier, vol. 40(C).
    • Handle: RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320305444
    DOI: 10.1016/j.frl.2020.101689
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    Cited by:

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    3. Feng, Lingbing & Fu, Tong & Shi, Yanlin, 2022. "How does news sentiment affect the states of Japanese stock return volatility?," International Review of Financial Analysis, Elsevier, vol. 84(C).
    4. Liwei Jin & Xianghui Yuan & Shihao Wang & Peiran Li & Feng Lian, 2022. "Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2235-2247, December.

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