Option listing and underlying commodity futures volatility in China

This study examines the impact of option listing on the volatility of underlying commodity futures markets in China. We construct the counterfactual volatility for these optioned commodity futures and estimate the average treatment effect of option listing. Using a panel data approach based on Hsiao et al. (2012), referred to as HCW, we incorporate conventional information criteria (including AIC, AICC and BIC) as well as the LASSO (Least Absolute Shrinkage and Selection Operator) method to select optimal control units from a large set of alternatives for the treatment units.

本研究旨在探讨在中国，期权上市对相关大宗商品期货市场波动性的影响。通过对这些期权化商品期货的逆事实波动性进行构建，并估算期权上市的平均处理效应，本研究采用Hsiao等（2012）提出的面板数据方法，即HCW方法，整合了传统的信息准则（包括AIC、AICC和BIC）以及LASSO（最小绝对收缩和选择算子）方法，从众多备选方案中选取最优的控制单元，以优化处理单元的选择。