Option listing and underlying commodity futures volatility in China
Published: 24 October 2024| Version 1 | DOI: 10.17632/kysvf67trx.1
Contributors:
jin Guo, Xiaoqian WenDescription
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.
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