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 language | English |
|---|---|
| Article number | 104809 |
| Pages (from-to) | 1-10 |
| Number of pages | 10 |
| Journal | Finance Research Letters |
| Volume | 60 |
| DOIs | |
| Publication status | Published - Feb 2024 |
Keywords
- Crude oil options
- Futures and options
- Market microstructure
- Market quality
- Price discovery