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Article Title : The Impact of Sugar Options on The Volatility of The Underlying Futures Market
Author(s) : Zhengdong Wei
Corresponding Author : Zhengdong Wei
Keywords : Sugar options; volatility; ARMA-GARCH model; EGARCH model

In recent years, China’s financial derivatives market has developed rapidly. After a number of futures products have been listed, the corresponding futures trading has been launched. The introduction and trading of options may increase the liquidity of the entire trading market of this product and improve market information. Asymmetry, reduce the volatility of its underlying futures market, and enable it to better realize the function of price discovery, so that the completeness and effectiveness of the market are expected to increase. This article selects the Dalian transaction from April 21, 2014 to April 17, 2020 The daily data of the closing prices of the main continuous contracts of white sugar, combined with the ARMA-GARCH model and the EGARCH model that introduce dummy variables, take the sugar futures as an example to conduct an empirical analysis. The research shows that the introduction of sugar futures will reduce the underlying futures market. Volatility and increased asymmetry are conducive to price discovery. Based on this, it is recommended to expand the scope of financial derivatives trading and enhance the completeness and effectiveness of the market