Price discovery of the Chinese crude oil options and futures markets

Mi Zou, Lin Han, Zhini Yang*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

China's crude oil derivatives market has attracted extensive attention since its futures contracts were officially listed in 2018. This study examines the price discovery ability between Shanghai's crude oil options market and the corresponding futures market. Results show that futures lead options and the intraday distribution of options information share has a ‘w’ shape. Intraday seasonality of futures volume and the international crude oil market have significant impacts on the price discovery process. This study is the first empirical analysis of Shanghai crude oil options in terms of price discovery and presents novel insights into China's crude oil derivatives market.

Original languageEnglish
Article number104809
Pages (from-to)1-10
Number of pages10
JournalFinance Research Letters
Volume60
DOIs
Publication statusPublished - Feb 2024

Keywords

  • Crude oil options
  • Futures and options
  • Market microstructure
  • Market quality
  • Price discovery

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