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Journal of Futures Markets: Volume 45, Number 7, July 2025 期货市场杂志：第45卷，第7期，2025年7月
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-06-09 DOI: 10.1002/fut.22523
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引用次数: 0
Forecasting Oil Price Volatility: Does Oil Price Uncertainty Matter? 预测油价波动：油价不确定性重要吗？
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-05-11 DOI: 10.1002/fut.22592
Athanasios Triantafyllou, Nikolaos Vlastakis, Neil Kellard
{"title":"Forecasting Oil Price Volatility: Does Oil Price Uncertainty Matter?","authors":"Athanasios Triantafyllou,&nbsp;Nikolaos Vlastakis,&nbsp;Neil Kellard","doi":"10.1002/fut.22592","DOIUrl":"https://doi.org/10.1002/fut.22592","url":null,"abstract":"<div>\u0000 \u0000 <p>In this paper, we empirically examine the predictive power of oil price uncertainty on time-varying volatility in the oil futures market. Quantifying oil price uncertainty as the purely unforecastable component of oil price changes, we find this measure has significant predictive power on the return volatility of crude oil futures for horizons up to 9 months ahead. Moreover, our oil price uncertainty factor outperforms the realized oil price volatility. In addition, our structural vector autoregression model shows that the effect of oil price uncertainty shock on oil-market volatility is higher in magnitude and persistence when compared with the effect of aggregate demand, oil demand, supply, and oil price volatility shocks.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 7","pages":"817-830"},"PeriodicalIF":1.8,"publicationDate":"2025-05-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144245083","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
Journal of Futures Markets: Volume 45, Number 6, June 2025 期货市场杂志：第45卷，第6期，2025年6月
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-05-09 DOI: 10.1002/fut.22522
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引用次数: 0
Pricing VXX Options With Observable Volatility Dynamics From High-Frequency VIX Index 基于高频波动率指数的VXX期权定价
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-04-27 DOI: 10.1002/fut.22591
Shan Lu
{"title":"Pricing VXX Options With Observable Volatility Dynamics From High-Frequency VIX Index","authors":"Shan Lu","doi":"10.1002/fut.22591","DOIUrl":"https://doi.org/10.1002/fut.22591","url":null,"abstract":"<p>This paper develops a discrete-time joint analytical framework for pricing volatility index (VIX) and VXX options consistently. We show that our framework is more flexible than continuous-time VXX models as it allows the information contained in the high-frequency VIX index to be incorporated for the joint pricing of VIX and VXX options, and the joint pricing formula is derived. Our empirical analysis shows that the model that utilizes the realized variance (RV) computed from the high-frequency VIX index data significantly outperforms the model that does not rely on the VIX RV in the joint pricing both in-sample and out-of-sample, reinforcing the beliefs that high-frequency data are informative about the derivatives pricing</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 7","pages":"771-801"},"PeriodicalIF":1.8,"publicationDate":"2025-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22591","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144245074","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
The Variance Risk Premium Over Trading and Nontrading Periods 交易期和非交易期的方差风险溢价
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-04-23 DOI: 10.1002/fut.22589
Lucas Papagelis, George Dotsis
{"title":"The Variance Risk Premium Over Trading and Nontrading Periods","authors":"Lucas Papagelis,&nbsp;George Dotsis","doi":"10.1002/fut.22589","DOIUrl":"https://doi.org/10.1002/fut.22589","url":null,"abstract":"<p>In this paper, we decompose the variance risk premium (VRP) into overnight and intraday components using model-free implied variance stock indices in the United States, Europe, and Asia. We find that during the nontrading overnight period, the VRP is significantly negative, whereas during the intraday trading period, the VRP becomes positive and often insignificant. We also assess the predictive ability of the overnight and intraday VRPs with respect to future equity returns. We find that the intraday component performs better at shorter prediction horizons, whereas the overnight VRP performs better at longer horizons. Our empirical results suggest that nontrading effects are an important determinant of the VRP.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 7","pages":"752-770"},"PeriodicalIF":1.8,"publicationDate":"2025-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22589","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144244765","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
The Dynamics of Option Volatility Smirk and Option Returns Predictability: Evidence From Chinese SSE50 ETF Options 期权波动、假笑和期权收益可预测性的动态：来自中国上证50指数ETF期权的证据
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-04-23 DOI: 10.1002/fut.22590
Wenxin Guo, Dehong Liu, Carl R. Chen, Peter Lung
{"title":"The Dynamics of Option Volatility Smirk and Option Returns Predictability: Evidence From Chinese SSE50 ETF Options","authors":"Wenxin Guo,&nbsp;Dehong Liu,&nbsp;Carl R. Chen,&nbsp;Peter Lung","doi":"10.1002/fut.22590","DOIUrl":"https://doi.org/10.1002/fut.22590","url":null,"abstract":"<div>\u0000 \u0000 <p>We examine the predictive ability of risk-neutral moments extracted from option volatility smirks for the option delta-neutral returns using the SSE50 ETF stock index option. We find risk-neutral skewness changes over market conditions. The risk-neutral skewness significantly predicts 1-day, 2-day, and 1–4 weeks ahead call option returns with negative signs in both in-sample and out-of-sample tests. The results are robust in including other control variables and different constant maturity risk-neutral skewnesses. Trading strategies based on the predictive model yield a potential maximum annual return of 293%.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 7","pages":"705-731"},"PeriodicalIF":1.8,"publicationDate":"2025-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144244764","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 Deliveries: Theory and Evidence From the US Corn Market 商品期货交割：来自美国玉米市场的理论和证据
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-04-22 DOI: 10.1002/fut.22585
Vitor M. O. Fernandes, Eugene L. Kunda, Michel A. Robe
{"title":"Commodity Futures Deliveries: Theory and Evidence From the US Corn Market","authors":"Vitor M. O. Fernandes,&nbsp;Eugene L. Kunda,&nbsp;Michel A. Robe","doi":"10.1002/fut.22585","DOIUrl":"https://doi.org/10.1002/fut.22585","url":null,"abstract":"<p>For corn futures, deliveries facilitate convergence by allowing for arbitrage between physical and “paper” markets. We explain the delivery process in detail, including the key role of Shipping Certificates. We investigate what drives deliveries and their timing and the feedback on futures prices when deliveries happen. We introduce the concept of delivery-value-equivalent (DVE) to understand whether a trader should “go for delivery.” We show theoretically and empirically, for 51 delivery periods in 2011–2021, that the difference between the DVE and the New Orleans basis is a significant factor in explaining the occurrences and magnitudes of deliveries. We document that physical market conditions and inventory levels (proxied by the cost-of-carry) explain deliveries' timing within the delivery period, and we investigate if registering new Shipping Certificates depresses the nearby futures price. We propose a public information-based proxy for redeliveries and provide evidence that redeliveries weaken the nearby calendar spread.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 7","pages":"844-876"},"PeriodicalIF":1.8,"publicationDate":"2025-04-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22585","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144245151","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
Does Trading Method Alignment Improve Market Efficiency? Evidence From Taiwan Single-Stock Futures Market 交易方法一致性能提高市场效率吗？来自台湾单一股票期货市场的证据
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-04-20 DOI: 10.1002/fut.22588
Chien-Liang Chiu, Jui-Cheng Hung, Chia-Feng Chen, Chia-Wei Hsieh
{"title":"Does Trading Method Alignment Improve Market Efficiency? Evidence From Taiwan Single-Stock Futures Market","authors":"Chien-Liang Chiu,&nbsp;Jui-Cheng Hung,&nbsp;Chia-Feng Chen,&nbsp;Chia-Wei Hsieh","doi":"10.1002/fut.22588","DOIUrl":"https://doi.org/10.1002/fut.22588","url":null,"abstract":"<div>\u0000 \u0000 <p>This study examines the impact of implementing an intraday continuous auction method in Taiwan's spot market on price discovery in the single-stock futures (SSFs) market. The findings highlight the advantages of aligning the trading method of the underlying spot market with that of the SSF market, leading to improved price discovery in SSFs. A difference-in-differences analysis validates our findings. In addition, key factors such as spread, liquidity, and information intensity significantly influence cross-sectional variation in price discovery. Notably, leverage—a fundamental feature of futures contracts—has a strong and positive effect on SSF price discovery following this alignment of trading methods.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 7","pages":"802-816"},"PeriodicalIF":1.8,"publicationDate":"2025-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144245107","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
Can Storage Momentum and Its Difference of a Nonferrous Metal Predict Price Return? 有色金属库存动量及其差异能否预测价格回报？
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-04-14 DOI: 10.1002/fut.22587
Stanley lat-Meng Ko, Chia Chun Lo, Liang Peng
{"title":"Can Storage Momentum and Its Difference of a Nonferrous Metal Predict Price Return?","authors":"Stanley lat-Meng Ko,&nbsp;Chia Chun Lo,&nbsp;Liang Peng","doi":"10.1002/fut.22587","DOIUrl":"https://doi.org/10.1002/fut.22587","url":null,"abstract":"<div>\u0000 \u0000 <p>This study contributes to nonferrous metal market predictability by introducing dynamic measures, namely storage momentum and momentum difference, as innovative predictors for future contract returns. Our exploration reveals distinct predictability patterns, with compelling evidence in copper, zinc, and nickel, while aluminum displays comparatively lower predictability. Our proposed tailored predictability test accommodates correlated, heteroscedastic, and heavy-tailed residuals, addressing the limitations of conventional tests. Out-of-sample forecasts affirm the sustained predictive performance of storage momentum and momentum difference for copper and nickel, establishing our work as a pioneering contribution to the nuanced landscape of nonferrous metal market predictability.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 7","pages":"831-843"},"PeriodicalIF":1.8,"publicationDate":"2025-04-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144244703","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
Tail Risks Everywhere and Crude Oil Returns: New Insights From Predictive Quantile Approaches 无处不在的尾部风险和原油回报：来自预测分位数方法的新见解
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-04-14 DOI: 10.1002/fut.22586
Yue-Jun Zhang, Wen Zhao
{"title":"Tail Risks Everywhere and Crude Oil Returns: New Insights From Predictive Quantile Approaches","authors":"Yue-Jun Zhang,&nbsp;Wen Zhao","doi":"10.1002/fut.22586","DOIUrl":"https://doi.org/10.1002/fut.22586","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper investigates the heterogeneous impact and predictive power of high-dimensional tail risks from global markets on crude oil returns across different market conditions. Quantile approaches are adopted allowing for flexible predictive distributions of oil returns that can depart from normality. The results demonstrate that external market tail risks significantly influence oil returns besides their own tail risks. Notably, an increase in tail risks leads to lower (higher) oil returns in bearish (bullish) markets. Using feature reduction-based quantile approaches, especially the LASSO-based quantile autoregression model, can effectively leverage high-dimensional tail risks for predicting the conditional distribution of oil returns. Furthermore, probability distortion provides a novel perspective to explain the heterogeneous impact and predictive power of tail risks. These findings help investors and regulators assess the potential risks of oil-related assets and formulate corresponding risk management strategies by accurately predicting the probability distribution of oil returns.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 7","pages":"685-704"},"PeriodicalIF":1.8,"publicationDate":"2025-04-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144244833","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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