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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
Journal of Futures Markets: Volume 45, Number 5, May 2025 期货市场杂志：第45卷，第5期，2025年5月
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-04-07 DOI: 10.1002/fut.22521
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引用次数: 0
Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets 气候政策不确定性与粮食商品市场之间的分位数和时频风险溢出
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-04-02 DOI: 10.1002/fut.22583
Hongjun Zeng, Mohammad Zoynul Abedin, Abdullahi D. Ahmed, Brian Lucey
{"title":"Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets","authors":"Hongjun Zeng,&nbsp;Mohammad Zoynul Abedin,&nbsp;Abdullahi D. Ahmed,&nbsp;Brian Lucey","doi":"10.1002/fut.22583","DOIUrl":"https://doi.org/10.1002/fut.22583","url":null,"abstract":"<p>This paper aims to study the dynamic risk connection between the Climate Policy Uncertainty Index (CPU) of the United States and the grain commodity market. Our findings denote that (a) quantile spillover is stronger at extreme than median levels, underscoring the value of systematic risk spillovers in extreme market conditions. (b) Wavelet coherence analysis proposes that the structure of the CPU connection with the grain commodity market is heterogeneous at time–frequency scales. (c) Under conditions of market stability, CPU's capability to predict risks in the most segmented grain commodity markets was not as pronounced as in extreme market scenarios. (d) The spillovers between CPU and major grain commodities under diverse quantile states were significantly influenced by climate change. Results from this paper have practical implications for investors managing climate-related risk exposures and will also assist policymakers in developing countries to develop a sensible policy package.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 6","pages":"659-682"},"PeriodicalIF":1.8,"publicationDate":"2025-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22583","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143930313","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 Term Structure of Credit Default Swap Spreads and the Cross Section of Options Returns 信用违约掉期价差的期限结构与期权收益的横截面
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-03-27 DOI: 10.1002/fut.22582
Hao Zhang, Yukun Shi, Dun Han, Pei Liu, Yaofei Xu
{"title":"The Term Structure of Credit Default Swap Spreads and the Cross Section of Options Returns","authors":"Hao Zhang,&nbsp;Yukun Shi,&nbsp;Dun Han,&nbsp;Pei Liu,&nbsp;Yaofei Xu","doi":"10.1002/fut.22582","DOIUrl":"https://doi.org/10.1002/fut.22582","url":null,"abstract":"<p>This paper, using the natural logarithmic form credit default swap (log CDS) slope, examines the variation in cross-sectional 1-month ATM delta-hedged straddle returns. Our analysis reveals that the log CDS slope significantly and positively predicts these returns, even when accounting for several key volatility mispricing factors. Further investigation shows that this predictive relationship exhibits a strong time-varying pattern, closely linked to market conditions. In contrast, the relationship between notable volatility mispricing factors and straddle returns remains relatively stable over time. Constructing a long-short quintile portfolio on straddle options confirms that trading performance improves when the past 12-month market return is at a historically lower level, market volatility is at a historically higher level, and the VIX is elevated. Log CDS slope, as a proxy for excess jump risk premium, significantly predicts delta-hedged option returns during periods of high volatility.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 6","pages":"637-658"},"PeriodicalIF":1.8,"publicationDate":"2025-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22582","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143930268","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
Modeling the Implied Volatility Smirk in China: Do Non-Affine Two-Factor Stochastic Volatility Models Work? 中国隐含波动率假笑的建模：非仿射双因素随机波动率模型是否有效？
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-03-19 DOI: 10.1002/fut.22579
Yifan Ye, Zheqi Fan, Xinfeng Ruan
{"title":"Modeling the Implied Volatility Smirk in China: Do Non-Affine Two-Factor Stochastic Volatility Models Work?","authors":"Yifan Ye,&nbsp;Zheqi Fan,&nbsp;Xinfeng Ruan","doi":"10.1002/fut.22579","DOIUrl":"https://doi.org/10.1002/fut.22579","url":null,"abstract":"<p>In this paper, we investigate alternative one-factor and two-factor continuous-time models with both affine and non-affine variance dynamics for the Chinese options market. Through extensive empirical analysis of the option panel fit and diagnostics, we find that it is necessary to include both the non-affine feature and the multi-factor structure. For performance evaluation, we examine various measures from both aggregate and dynamic perspectives. Our results are statistically significant.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 6","pages":"612-636"},"PeriodicalIF":1.8,"publicationDate":"2025-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22579","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143930265","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
Hedging Multiple Price Uncertainty in Soybean Export 大豆出口多重价格不确定性的对冲
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-03-17 DOI: 10.1002/fut.22581
Siun Lee, Dmitry Vedenov
{"title":"Hedging Multiple Price Uncertainty in Soybean Export","authors":"Siun Lee,&nbsp;Dmitry Vedenov","doi":"10.1002/fut.22581","DOIUrl":"https://doi.org/10.1002/fut.22581","url":null,"abstract":"<div>\u0000 \u0000 <p>Exporting companies encounter various sources of price uncertainty and can choose between hedging each risk separately or jointly. This study analyzes the differences between these strategies in terms of their performance. For practical analysis, we assume a representative exporter in the US that ships soybeans to Europe and faces input price risk (domestic soybean price) and output price risk (Euro/US dollar exchange rate). Our study reveals that joint hedging typically enhances hedging effectiveness (<i>HE</i>) the most, although the benefits may be limited in specific circumstances. We also find that the baseline level of risk stemming from the soybean price movement plays a crucial role in determining the performance of the hedging strategy. Higher market risks, such as a high soybean price and increased price volatility, contribute to better <i>HE</i>. Conversely, when the initial risk is low, such as in cases of depreciated domestic currency value, significant improvement in <i>HE</i> is less likely. Joint hedging allows simultaneous response to multiple risks, but single-commodity hedging is faster in responding to individual price risks, especially when this risk originates from the commodity that is being hedged. However, if a firm opts for single hedging and faces a price risk from an unhedged source, a significant loss in <i>HE</i> occurs compared with joint hedging. The study also confirms that price dependence affects <i>HE</i>, with higher dependence between spot and futures prices resulting in more effective hedging. In cases of high dependence between the two commodities' prices, joint hedging performs relatively better than single-commodity hedging due to the presence of offsetting risks. Our findings suggest that the choice between joint and single hedging should be tailored to the specific risk exposures faced by firms in the soybean and foreign exchange (FX) markets. This decision should take into account factors, such as shock means, shock volatilities, and dependencies between commodity and FX rates.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 6","pages":"600-611"},"PeriodicalIF":1.8,"publicationDate":"2025-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143930468","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 4, April 2025 期货市场杂志：第45卷，第4期，2025年4月
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-03-10 DOI: 10.1002/fut.22520
{"title":"Journal of Futures Markets: Volume 45, Number 4, April 2025","authors":"","doi":"10.1002/fut.22520","DOIUrl":"https://doi.org/10.1002/fut.22520","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 4","pages":"267"},"PeriodicalIF":1.8,"publicationDate":"2025-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22520","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143581791","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
Real-Time Tracking of Public Announcements in the Limit Order Book 实时跟踪限价订单中的公告
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-03-10 DOI: 10.1002/fut.22577
Mehdi Arzandeh, Julieta Frank, Justin Daniels
{"title":"Real-Time Tracking of Public Announcements in the Limit Order Book","authors":"Mehdi Arzandeh,&nbsp;Julieta Frank,&nbsp;Justin Daniels","doi":"10.1002/fut.22577","DOIUrl":"https://doi.org/10.1002/fut.22577","url":null,"abstract":"<p>With the growth of information technology, market participants in futures markets can access new information and respond to it at a faster pace. We study the effect of the US Department of Agriculture's (USDA) reports, in real time, on the price discovery of five agricultural commodities. Using the information along the steps of the LOB, we develop a trading scheme to quantify the economic value of the information contained in the USDA reports. Informed traders become more aggressive in their trading strategies when the USDA reports are released during the trading sessions, whereas no impact is observed when reports are released outside the trading sessions. We also find that by incorporating the information embedded in the steps of the LOB when unwinding a large order, additional profits can be obtained on USDA report days. We attribute the additional profits to the information in the USDA reports.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 6","pages":"569-599"},"PeriodicalIF":1.8,"publicationDate":"2025-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22577","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143930162","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
Joint Implied Willow Tree: An Approach for Joint S&P 500/VIX Calibration 联合隐含柳树：标准普尔500/VIX联合校准方法
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-03-10 DOI: 10.1002/fut.22572
Bing Dong, Wei Xu, Zhenyu Cui
{"title":"Joint Implied Willow Tree: An Approach for Joint S&P 500/VIX Calibration","authors":"Bing Dong,&nbsp;Wei Xu,&nbsp;Zhenyu Cui","doi":"10.1002/fut.22572","DOIUrl":"https://doi.org/10.1002/fut.22572","url":null,"abstract":"<p>Since the inception of Volatility Index (VIX) options trading, academic literature has persistently sought accurate methods for jointly calibrating the prices of the S&amp;P 500 index (SPX) and VIX options. This study introduces a novel nonparametric approach, called the joint implied willow tree (JIWT) method, aimed at resolving this joint calibration challenge. The resulting willow tree adheres to the martingale constraint for the SPX and ensures that the VIX is derived as the implied volatility of a 30-day log contract on the SPX. A notable advantage of our method is its ability to recover not only the unconditional probabilities for a fixed maturity but also the conditional probabilities across different maturities. Consequently, we reconstruct the entire term structure of the SPX, aligning it with market information from both SPX and VIX options. Numerical and empirical analyses demonstrate that the JIWT method excels in accurately capturing the volatility smile of SPX and VIX across various maturities.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 6","pages":"547-568"},"PeriodicalIF":1.8,"publicationDate":"2025-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22572","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143930161","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
Forecasting the Market Returns And Portfolio Enhancement With Frequency-Decomposed Institutional Investor Sentiment: Evidence From the Taiwan Futures Market 基于频率分解的机构投资者情绪预测市场收益与投资组合增效：来自台湾期货市场的证据
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-03-09 DOI: 10.1002/fut.22580
Yi-Hsien Wang, Shu-Lien Chang, Hsiu-Chuan Lee, Donald Lien
{"title":"Forecasting the Market Returns And Portfolio Enhancement With Frequency-Decomposed Institutional Investor Sentiment: Evidence From the Taiwan Futures Market","authors":"Yi-Hsien Wang,&nbsp;Shu-Lien Chang,&nbsp;Hsiu-Chuan Lee,&nbsp;Donald Lien","doi":"10.1002/fut.22580","DOIUrl":"https://doi.org/10.1002/fut.22580","url":null,"abstract":"<div>\u0000 \u0000 <p>This study examines the predictive power of changes in institutional investor sentiment in the Taiwan futures market for forecasting stock index futures and aggregate stock market returns. Using wavelet decomposition, the results show that long-term sentiment changes outperform the buy-and-hold strategy, historical averages, undecomposed sentiment, and sentiment measures at other time scales in terms of predictive power and portfolio enhancement across the full sample. Additionally, a Markov-switching model is applied to identify bull and bear market regimes and then to assess portfolio enhancement performance within each regime. The empirical findings reveal that, in bull markets, the long-term sentiment-based strategy outperforms the benchmarks mentioned above. In bear markets, a medium-term sentiment-based strategy delivers significant improvements in portfolio enhancement performance compared to the same aforementioned benchmarks. These results deepen our understanding of how institutional investor sentiment influences asset returns and offer valuable insights for tailoring portfolio management.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 6","pages":"521-546"},"PeriodicalIF":1.8,"publicationDate":"2025-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143930203","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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