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Journal of Futures Markets: Volume 45, Number 4, April 2025
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-03-10 DOI: 10.1002/fut.22520
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引用次数: 0
Journal of Futures Markets: Volume 45, Number 3, March 2025
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-02-12 DOI: 10.1002/fut.22519
{"title":"Journal of Futures Markets: Volume 45, Number 3, March 2025","authors":"","doi":"10.1002/fut.22519","DOIUrl":"https://doi.org/10.1002/fut.22519","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 3","pages":"159"},"PeriodicalIF":1.8,"publicationDate":"2025-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22519","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143389071","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Commodity Price Crash Risk and Crash Risk Contagion
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-02-07 DOI: 10.1002/fut.22566
Prachi Jain, Debasish Maitra
{"title":"Commodity Price Crash Risk and Crash Risk Contagion","authors":"Prachi Jain,&nbsp;Debasish Maitra","doi":"10.1002/fut.22566","DOIUrl":"https://doi.org/10.1002/fut.22566","url":null,"abstract":"<div>\u0000 \u0000 <p>In this study, we propose measures for the risk of commodity price crash. Building on the recent phenomenon of financialization of commodities, we advocate the use of down-to-up volatility (DUVOL) and a negative coefficient of skewness (NCSKEW) using 1-min and daily data, respectively. We find that the crash risk is the highest for natural gas, sugar, and coffee and remains low to moderate for most precious metals. Subsequently, we explore the commodity-specific drivers of crash risk upon controlling for macro-economic variations. We find that speculation and hedging pressure exacerbate the crash risk of most commodities, whereas basis risk alleviates the crash risk of commodities. We document that crash risk is priced in the cross-section of commodity returns. We also find that the crash risk spillovers are asymmetric, remaining low at 33% at the median and peaking at approximately 88% during the extremities.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 4","pages":"343-378"},"PeriodicalIF":1.8,"publicationDate":"2025-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143581743","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Exploring the Driving Forces of the Correlations Between China's Crude Oil Futures and Global and Regional Benchmarks
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-02-07 DOI: 10.1002/fut.22569
Min Liu, Chien-Chiang Lee
{"title":"Exploring the Driving Forces of the Correlations Between China's Crude Oil Futures and Global and Regional Benchmarks","authors":"Min Liu,&nbsp;Chien-Chiang Lee","doi":"10.1002/fut.22569","DOIUrl":"https://doi.org/10.1002/fut.22569","url":null,"abstract":"<div>\u0000 \u0000 <p>The launch of the Shanghai International Energy Exchange crude oil futures (INECOFs) is a milestone in China's path to a dominant position in the global energy market. As INECOFs attract more and more investors, understanding the long-term correlations between INECOFs and global and regional benchmarks, as well as the driving forces of these correlations, is of paramount interest to investors wishing to conduct risk management and portfolio diversification. This article makes the first attempt to explore the determinants of such correlations using the mixed-frequency approach. Our results show that INECOFs are highly correlated with the regional benchmarks and less correlated with the global benchmarks. China's crude oil imports, RMB internationalization, the RMB index, economic and trade policy uncertainty, and geopolitical risks significantly impact the dynamics of the correlations in question. China's gross industrial product and price levels cannot drive the movements of all the studied correlations.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 4","pages":"379-392"},"PeriodicalIF":1.8,"publicationDate":"2025-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143581744","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
ChatGPT and Commodity Return
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-01-27 DOI: 10.1002/fut.22568
Shen Gao, Shijie Wang, Yuanzhi Wang, Qunzi Zhang
{"title":"ChatGPT and Commodity Return","authors":"Shen Gao,&nbsp;Shijie Wang,&nbsp;Yuanzhi Wang,&nbsp;Qunzi Zhang","doi":"10.1002/fut.22568","DOIUrl":"https://doi.org/10.1002/fut.22568","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper investigates the ability of a ChatGPT-based indicator to forecast excess returns of the commodity futures index. Using ChatGPT to extract information from over 2.5 million articles from nine international newspapers, we demonstrate that our constructed commodity news ratio index significantly predicts future commodity returns, both in-sample and out-of-sample. Furthermore, it outperforms traditional textual analysis methods, including Bidirectional Encoder Representations from Transformers (BERT) and Bag-of-Words (BoW), while indicating economic significance within an asset allocation framework. The results highlight the critical role of ChatGPT in forecasting commodity market dynamics and provide valuable insights for both financial market participants and researchers.</p></div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 3","pages":"161-175"},"PeriodicalIF":1.8,"publicationDate":"2025-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143389436","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Asymmetric Commodity Tails and Index Futures Returns
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-01-20 DOI: 10.1002/fut.22564
Yuanzhi Wang, Xinbei Wei, Qunzi Zhang
{"title":"Asymmetric Commodity Tails and Index Futures Returns","authors":"Yuanzhi Wang,&nbsp;Xinbei Wei,&nbsp;Qunzi Zhang","doi":"10.1002/fut.22564","DOIUrl":"https://doi.org/10.1002/fut.22564","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper proposes that the tail risk associated with commodity futures returns performs well at predicting the S&amp;P 500 index futures returns in- and out-of-sample, even after controlling business cycles, economic factors, investor sentiment factors, other forms of tail risk factors, and macroeconomic conditions. Following Kelly and Jiang (2014), we directly estimate the commodity tail risk factor from the cross-section of commodity futures returns, which can efficiently capture the prevailing level of tail risk in the cross-sectional distribution. Our empirical analysis involves forecasting regressions, which aim to predict index futures returns using lagged up-tail risk, down-tail risk, and overall tail risk. We uncover asymmetric forecasting power between up-tail risk and down-tail risk, highlighting their distinct influences. Notably, our return decomposition analysis shows that the commodity tail risk factors primarily drive index futures returns through the discount rate channel.</p></div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 3","pages":"247-265"},"PeriodicalIF":1.8,"publicationDate":"2025-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143389446","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Volatility in Carbon Futures Amid Uncertainties: Considering Geopolitical and Economic Policy Factors
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-01-20 DOI: 10.1002/fut.22565
Xiaoqing Wang, Wenxin Jin, Baochang Xu, Kaihua Wang
{"title":"Volatility in Carbon Futures Amid Uncertainties: Considering Geopolitical and Economic Policy Factors","authors":"Xiaoqing Wang,&nbsp;Wenxin Jin,&nbsp;Baochang Xu,&nbsp;Kaihua Wang","doi":"10.1002/fut.22565","DOIUrl":"https://doi.org/10.1002/fut.22565","url":null,"abstract":"<div>\u0000 \u0000 <p>This study uses a quantile autoregressive distributed lag model to quantitatively evaluate the effects of economic policy uncertainty (EPU) and geopolitical risk (GPR) on volatility in carbon futures (carbon trading price [CTP]), considering both quantile and time asymmetries. The findings show that long-term effects of GPR on CTP are more significant than the short-term effects, contrary to EPU. Both EPU and GPR have predominantly positive long-term effects on CTP, while EPU negatively affects CTP and geopolitical factors show mixed influences in the short term. The location asymmetry reveals that the long-term impacts are most pronounced at higher quantiles, whereas the short-term effects exhibit subtle variations across different quantiles. The influences intensify during structural shifts owing to heightened events. Moreover, EPU is proven as a dominant contributor influencing the fluctuation of CTP both in the short and long terms. The findings provide targeted recommendations for policymakers to stabilize CTP and contribute towards achieving sustainable development.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 4","pages":"308-325"},"PeriodicalIF":1.8,"publicationDate":"2025-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143581956","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
USD Interest Rate Swaption Strategies During the Unconventional Monetary Policy and Pandemic Eras
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-01-20 DOI: 10.1002/fut.22561
Hiroaki Shirokawa, Kohei Yamaguchi, Takahiro Obata, Ryuta Sakemoto
{"title":"USD Interest Rate Swaption Strategies During the Unconventional Monetary Policy and Pandemic Eras","authors":"Hiroaki Shirokawa,&nbsp;Kohei Yamaguchi,&nbsp;Takahiro Obata,&nbsp;Ryuta Sakemoto","doi":"10.1002/fut.22561","DOIUrl":"https://doi.org/10.1002/fut.22561","url":null,"abstract":"<div>\u0000 \u0000 <p>This study investigates the performance of USD interest rate swaption straddle strategies during the unconventional monetary policy and pandemic eras. We construct long–short portfolio swaption straddles using longer tenors and maturities than those in the previous literature. Moreover, we propose an equally weighted strategy that takes risk exposures to both volatility and jump risks. This strategy generates a higher Sharpe ratio than the delta–gamma neutral strategy during the unconventional monetary policy period. This result is weakly associated with spot swap forward rate jumps and robust, including transaction costs. We also observe that adopting longer maturity swaptions in the long position leads to higher values of risk and returns.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 3","pages":"208-223"},"PeriodicalIF":1.8,"publicationDate":"2025-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143389444","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Commodity Futures Characteristics and Asset Pricing Models
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-01-20 DOI: 10.1002/fut.22559
Qin Yiyi, Jun Cai, Jie Zhu, Robert Webb
{"title":"Commodity Futures Characteristics and Asset Pricing Models","authors":"Qin Yiyi,&nbsp;Jun Cai,&nbsp;Jie Zhu,&nbsp;Robert Webb","doi":"10.1002/fut.22559","DOIUrl":"https://doi.org/10.1002/fut.22559","url":null,"abstract":"<div>\u0000 \u0000 <p>A latent-factor model based on the instrumented principal component analysis (IPCA) methodology of Kelly et al. outperforms existing factor models in explaining cross-sectional variations in commodity futures returns. The model allows for observed commodity futures characteristics to work as instruments for unobservable dynamic factor loadings. We find that the relationship between characteristics and commodity futures returns is driven by compensation for exposure to latent risk factors (beta) rather than compensation for exposure to mispricing (alpha). Three latent factors deliver more powerful explanations than any number of observable factors. Among a collection of 20 characteristics, only three are significantly related to latent factor betas. These three characteristics are momentum, expected shortfall, and idiosyncratic volatility.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 3","pages":"176-207"},"PeriodicalIF":1.8,"publicationDate":"2025-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143389167","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Do Price Jumps Matter in Volatility Forecasts of US Treasury Futures?
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-01-20 DOI: 10.1002/fut.22567
Xueer Zhang, Jui-Cheng Hung, Chien-Liang Chiu
{"title":"Do Price Jumps Matter in Volatility Forecasts of US Treasury Futures?","authors":"Xueer Zhang,&nbsp;Jui-Cheng Hung,&nbsp;Chien-Liang Chiu","doi":"10.1002/fut.22567","DOIUrl":"https://doi.org/10.1002/fut.22567","url":null,"abstract":"<div>\u0000 \u0000 <p>This study investigates volatility forecasts in the US Treasury futures market and emphasizes the importance of price jumps across various maturities under moderate and sharp interest rate rising scenarios. We assess out-of-sample forecasting performance not only with statistical method but economic method based on a volatility timing strategy. Our findings indicate that models including price jumps specifications exhibit substantial enhancements in both evaluation methods over the entire out-of-sample period, particular for the period of sharp interest rate rising. Our results are robust to nonparametric jump tests used in this study, transaction costs, and portfolio rebalancing method.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 4","pages":"326-342"},"PeriodicalIF":1.8,"publicationDate":"2025-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143581957","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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