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

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Listed:
  • 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:

    1. Mathias Schneid Tessmann & Carlos Enrique Carrasco-Gutierrez & Alexandre Vasconcelos Lima, 2023. "Determinants of Corn and Soybean Futures Prices Traded on the Brazilian Stock Exchange: An ARDL Approach," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 15(1), pages 1-65, January.
    2. Fan, Qingqian & Feng, Sixian, 2022. "An empirical study on the characterization of implied volatility and pricing in the Chinese option market," Finance Research Letters, Elsevier, vol. 49(C).
    3. Bo Yan & Mengru Liang & Yinxin Zhao, 2024. "Market sentiment and price dynamics in weak markets: A comprehensive empirical analysis of the soybean meal option market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 744-766, May.
    4. Lockwood, Jimmy & Lockwood, Larry & Miao, Hong & Ramchander, Sanjay & Yang, Dongxiao, 2022. "The information content of ETF options," Global Finance Journal, Elsevier, vol. 53(C).
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    6. 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.
    7. Zou, Mi & Han, Lin & Yang, Zhini, 2024. "Price discovery of the Chinese crude oil options and futures markets," Finance Research Letters, Elsevier, vol. 60(C).

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