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.本研究考察了期权上市对中国境内标的商品期货市场波动率的影响。我们为这些挂牌期权的商品期货构建反事实波动率，并估算期权上市的平均处理效应。本研究采用基于肖等人（2012）提出的HCW面板数据方法，纳入常规信息准则（包括赤池信息准则（AIC）、修正赤池信息准则（AICC）与贝叶斯信息准则（BIC））以及最小绝对收缩和选择算子（Least Absolute Shrinkage and Selection Operator, LASSO）方法，从大量备选对象中为处理组选取最优控制单元。