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Journal of Futures Markets: Volume 45, Number 10, October 2025 期货市场杂志：第45卷，第10期，2025年10月
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-09-14 DOI: 10.1002/fut.22526
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引用次数: 0
Journal of Futures Markets: Volume 45, Number 9, September 2025 期货市场杂志：第45卷，第9期，2025年9月
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-08-10 DOI: 10.1002/fut.22525
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引用次数: 0
Lottery Preference and Skewness Risk Premium: Evidence From the Chinese Market 彩票偏好与偏度风险溢价：来自中国市场的证据
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-07-30 DOI: 10.1002/fut.70012
Xianjing Zhou, Tai-Yong Roh, Yahua Xu
{"title":"Lottery Preference and Skewness Risk Premium: Evidence From the Chinese Market","authors":"Xianjing Zhou,&nbsp;Tai-Yong Roh,&nbsp;Yahua Xu","doi":"10.1002/fut.70012","DOIUrl":"https://doi.org/10.1002/fut.70012","url":null,"abstract":"<div>\u0000 \u0000 <p>This study investigates the pricing of skewness risk in cross-sectional returns in the Chinese stock market, considering the substantial presence of retail investors and their potential lottery-related preferences. We decompose the total implied skewness, derived from the Shanghai Stock Exchange 50 exchange-traded fund options, into upper and lower components. Our findings reveal that the upper implied skewness carries a significantly negative price, whereas the lower implied skewness is positively but only weakly priced. The opposite predictability resolves the pricing puzzle associated with total implied skewness, which exhibits negligible cross-sectional predictability. The negative premium associated with upper skewness is attributed to retail investors' lottery preferences, as stocks exposed to higher upper skewness risk tend to perform well during right-tail market events. This behavioral interpretation is further supported by evidence showing that the negative premium on upper implied skewness is most pronounced during high-sentiment periods, even after controlling for standard risk factors.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 10","pages":"1818-1851"},"PeriodicalIF":2.3,"publicationDate":"2025-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145051214","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 Corn Options Update Volatility Expectations in the Wake of USDA Reports? 美国农业部报告公布后，玉米期权是否更新波动率预期？
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-07-29 DOI: 10.1002/fut.70020
Yao Yang, Andrew McKenzie
{"title":"Do Corn Options Update Volatility Expectations in the Wake of USDA Reports?","authors":"Yao Yang,&nbsp;Andrew McKenzie","doi":"10.1002/fut.70020","DOIUrl":"https://doi.org/10.1002/fut.70020","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper investigates the information value of U.S. Department of Agriculture (USDA) crop reports in terms of their impact on rational agents' expectations of future realized price volatility. While it is well known that uncertainty—proxied by options market implied volatility—is reduced in the wake of USDA reports, this is the first study to examine whether the information contained in USDA reports impacts market agents' ex ante expectations of realized volatility (RV). We use a Hamilton-type approach to reveal how August crop reports refine volatility expectations, and movements in RV in the post report period mirror these expectations. Importantly, in the wake of the USDA report releases, corn options partially reflect updates in volatility expectations. These updates are not instantaneous, highlighting potential short-term pricing misalignments over the first 2 days following the report release.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 10","pages":"1852-1868"},"PeriodicalIF":2.3,"publicationDate":"2025-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145050962","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
Illuminating the Pricing Kernels: Short-Term and Long-Term Index Option Returns 阐明定价核心：短期和长期指数期权收益
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-07-22 DOI: 10.1002/fut.70016
Bingxin Li, Fangzheng Ou
{"title":"Illuminating the Pricing Kernels: Short-Term and Long-Term Index Option Returns","authors":"Bingxin Li,&nbsp;Fangzheng Ou","doi":"10.1002/fut.70016","DOIUrl":"https://doi.org/10.1002/fut.70016","url":null,"abstract":"<div>\u0000 \u0000 <p>The shape of the pricing kernel has important implications for expected option returns. We shed light on the pricing kernel puzzle (i.e., mixed results regarding the shape of the pricing kernel) by examining S&amp;P 500 index option returns and empirical pricing kernels across a wide range of expiration dates (from 1 month to 1 year). We document that at short (long) maturities, out-of-the-money call option returns are negative (positive) and decrease (increase) with the strike price. At short maturities, empirical pricing kernels predominantly exhibit a <i>W</i>-shape, while this pattern becomes less pronounced, evolving toward a monotonically decreasing curve at longer maturities. Our study suggests that the shape of pricing kernels and call option returns varies with option maturities, reflecting investors' heterogeneous beliefs about index returns across different time horizons.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 10","pages":"1795-1817"},"PeriodicalIF":2.3,"publicationDate":"2025-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145051095","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
Geopolitical Risk and the Volatility of the International Grain Futures Market 地缘政治风险与国际粮食期货市场波动
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-07-22 DOI: 10.1002/fut.70013
Yun-Shi Dai, Peng-Fei Dai, Wei-Xing Zhou
{"title":"Geopolitical Risk and the Volatility of the International Grain Futures Market","authors":"Yun-Shi Dai,&nbsp;Peng-Fei Dai,&nbsp;Wei-Xing Zhou","doi":"10.1002/fut.70013","DOIUrl":"https://doi.org/10.1002/fut.70013","url":null,"abstract":"<div>\u0000 \u0000 <p>The current international landscape is turbulent and unstable, with geopolitical risk having emerged as a significant threat. Focusing on the grain futures market, this paper builds different geopolitical risk measures by random matrix theory and constructs GJR-GARCH-MIDAS models to investigate the impact of geopolitical risk on grain market volatility. The findings indicate that rolling-window modeling performs better in describing the overall volatility of wheat, corn, soybean, and rice markets, and two-factor models generally exhibit stronger explanatory power in most cases. Short-term volatility demonstrates obvious volatility clustering and high volatility persistence, without significant asymmetry. Additionally, realized volatility of wheat, corn, and soybean significantly exacerbates their long-run volatility, while geopolitical risks of different dimensions show varying directions and degrees of effects in explaining long-term volatility of the four submarkets. This study offers valuable insights into grain market volatility and geopolitical risk, contributing to agricultural futures investment and global food security.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 10","pages":"1757-1794"},"PeriodicalIF":2.3,"publicationDate":"2025-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145051096","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
News Sentiment and Commodity Futures Investing 新闻情绪和商品期货投资
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-07-21 DOI: 10.1002/fut.70019
Chi Yeguang, Lina El-Jahel, Thanh Vu
{"title":"News Sentiment and Commodity Futures Investing","authors":"Chi Yeguang,&nbsp;Lina El-Jahel,&nbsp;Thanh Vu","doi":"10.1002/fut.70019","DOIUrl":"https://doi.org/10.1002/fut.70019","url":null,"abstract":"<p>We investigate the role of media news sentiment in commodity futures investing. The weekly rebalanced long-short portfolio sorted by news sentiment generates a significant average annualized return of around 8.3% after transaction costs. The time-series spanning test reveals that the abnormal return of the long-short portfolio sorted by news sentiment is statistically significant at above 7% even after controlling for various benchmark factors. The premium of the news sentiment factor is also significantly priced at above 8% in the cross-section of commodity futures returns. Furthermore, we show that news sentiment enhances the performance of commodity futures investment portfolios.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 10","pages":"1740-1756"},"PeriodicalIF":2.3,"publicationDate":"2025-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.70019","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145050951","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
Informed Option Trading of Target Firms' Rivals Prior to M&A Announcements 并购公告前目标公司竞争对手的知情期权交易
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-07-21 DOI: 10.1002/fut.70011
Mingzhi Du, Jimmy E. Hilliard
{"title":"Informed Option Trading of Target Firms' Rivals Prior to M&A Announcements","authors":"Mingzhi Du,&nbsp;Jimmy E. Hilliard","doi":"10.1002/fut.70011","DOIUrl":"https://doi.org/10.1002/fut.70011","url":null,"abstract":"<div>\u0000 \u0000 <p>Utilizing a sample of 1899 M&amp;A events from 1996 to 2020, we observe positive and significant abnormal trading volumes in the option market of target firms' rivals, particularly in out-the-money options. Our analysis further explores the underlying reasons for these patterns based on two major theories from existing literature: the acquisition probability theory, which suggests that rivals of target firms experience abnormal returns due to the increased likelihood of future acquisitions, and the collusion theory, which asserts that horizontal mergers lead to enhanced market power and, consequently, abnormal returns for rivals. Our findings support the acquisition probability theory.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 10","pages":"1683-1692"},"PeriodicalIF":2.3,"publicationDate":"2025-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145050950","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
Cross-Sectoral Crash Risk and Expected Commodity Futures Returns 跨部门崩盘风险和预期商品期货收益
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-07-20 DOI: 10.1002/fut.70007
Ying Jiang, Xiaoquan Liu, Zhenyu Lu
{"title":"Cross-Sectoral Crash Risk and Expected Commodity Futures Returns","authors":"Ying Jiang,&nbsp;Xiaoquan Liu,&nbsp;Zhenyu Lu","doi":"10.1002/fut.70007","DOIUrl":"https://doi.org/10.1002/fut.70007","url":null,"abstract":"<div>\u0000 \u0000 <p>This study examines the pricing of equity cross-sectoral crash (CSC) risk in the cross section of commodity futures returns. Theoretically, commodity futures with higher exposure to the CSC risk are expected to offer lower subsequent returns as they hedge against the CSC risk. We first construct a CSC risk measure by averaging the pairwise left-tail dependence across 17 sectors in the US market, which allows us to better capture granular sector-level shocks often washed out at the aggregate level. We find that the return spread between commodity futures with the lowest and highest loading of the CSC risk is 1.04% per month and significant at the 1% level. This result can be rationalized as shocks to the CSC risk precede impaired economic activities in the future. Overall, our paper sheds light on the pricing of commodity futures with a novel stock market crash risk factor.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 10","pages":"1636-1664"},"PeriodicalIF":2.3,"publicationDate":"2025-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145051177","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
Unveiling Bidirectional Forecasting Between Volatility of VIX and Stock Market: Insights From Asymmetric Jumps and Cojumps 揭示波动率指数与股票市场的双向预测：来自非对称跳跃和协跳的启示
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-07-20 DOI: 10.1002/fut.70015
Gongyue Jiang, Gaoxiu Qiao, Chao Liang
{"title":"Unveiling Bidirectional Forecasting Between Volatility of VIX and Stock Market: Insights From Asymmetric Jumps and Cojumps","authors":"Gongyue Jiang,&nbsp;Gaoxiu Qiao,&nbsp;Chao Liang","doi":"10.1002/fut.70015","DOIUrl":"https://doi.org/10.1002/fut.70015","url":null,"abstract":"<div>\u0000 \u0000 <p>This study explores the bidirectional forecasting between the realized volatility of VIX and S&amp;P 500 index, especially the impact of asymmetric jumps and cojumps. Empirical results show that stock market jumps contain positive content for predicting the realized volatility of VIX while jumps contained in VIX can also improve predictive power for the realized volatility of the stock market. The positive and negative jumps of stock market and VIX have different asymmetric effects on realized volatility forecasts. Specifically, the negative jumps of stock index performs better whereas the positive jumps of VIX have stronger forecasting power, and each contains incremental information about the volatility prediction of the other party. Moreover, the cojumps enhance the forecasting ability, especially for the realized volatility prediction of VIX.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 10","pages":"1717-1739"},"PeriodicalIF":2.3,"publicationDate":"2025-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145051178","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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