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Journal of Futures Markets最新文献

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A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures? 两个合约的故事：INE保税铜期货的上市是否扰乱了SHFE铜期货市场？
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2023-11-06 DOI: 10.1002/fut.22473
Tao Xiong, Miao Li
{"title":"A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures?","authors":"Tao Xiong,&nbsp;Miao Li","doi":"10.1002/fut.22473","DOIUrl":"10.1002/fut.22473","url":null,"abstract":"<p>Leveraging tick-by-tick data, this study provides the first analysis of Shanghai International Energy Exchange (INE) bonded copper futures' performance in market quality and price discovery. In particular, we investigate the effects of the market opening (listing of INE bonded copper futures) on Shanghai Futures Exchange (SHFE) copper futures' market quality and price discovery. Our results show that the market quality and price discovery of INE bonded copper futures in the first year of the listing is not promising. Our synthetic control method results suggest that market openness does not significantly reduce SHFE copper futures' market quality in terms of activity, liquidity, and volatility. Moreover, market openness does not significantly reduce the SHFE copper futures' price discovery effectiveness. Overall, the performance of new INE bonded copper futures needs improvement, while its listing did not disrupt SHFE copper futures. Our results suggest that a dual-contract mode is an alternative option for internationalization in China's commodity futures markets.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 2","pages":"281-301"},"PeriodicalIF":1.9,"publicationDate":"2023-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135635484","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 43, Number 12, December 2023 《期货市场杂志》：第43卷第12期，2023年12月
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2023-11-03 DOI: 10.1002/fut.22357
{"title":"Journal of Futures Markets: Volume 43, Number 12, December 2023","authors":"","doi":"10.1002/fut.22357","DOIUrl":"https://doi.org/10.1002/fut.22357","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"43 12","pages":"1693"},"PeriodicalIF":1.9,"publicationDate":"2023-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71943347","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
Air pollution, weather factors, and realized volatility forecasts of agricultural commodity futures 空气污染、天气因素和农产品期货的已实现波动率预测
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2023-10-17 DOI: 10.1002/fut.22467
Jiawen Luo, Qun Zhang
{"title":"Air pollution, weather factors, and realized volatility forecasts of agricultural commodity futures","authors":"Jiawen Luo,&nbsp;Qun Zhang","doi":"10.1002/fut.22467","DOIUrl":"10.1002/fut.22467","url":null,"abstract":"<p>This study investigates the potential effects of environmental factors on fluctuations in agricultural commodity futures markets, by constructing a new category of daily exogenous predictors related to air pollution, weather, climate change, and investor attention. The empirical results from out-of-sample analyses suggest that the heterogeneous autoregressive (HAR) model incorporating all these exogenous predictors is more likely to outperform other HAR-type models. Additionally, economic evaluations demonstrate the superior performance of models incorporating investors' attention to climate change or extreme weather as predictors. While not all exogenous predictors are equally important for volatility forecasts, adopting appropriate variable selection methods to handle different sets of exogenous predictors can lead to better performance than the HAR benchmark. With the inclusion of air pollution or weather factors in the HAR model, a portfolio with an annualized average excess return of 16.2068% or a Sharpe ratio of 10.0431 can be achieved for the wheat futures, respectively.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 2","pages":"151-217"},"PeriodicalIF":1.9,"publicationDate":"2023-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135994826","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
Leveraging prices from credit and equity option markets for portfolio risk management 利用信贷和股票期权市场的价格进行投资组合风险管理
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2023-10-12 DOI: 10.1002/fut.22465
Jean-François Bégin, Mathieu Boudreault, Mathieu Thériault
{"title":"Leveraging prices from credit and equity option markets for portfolio risk management","authors":"Jean-François Bégin,&nbsp;Mathieu Boudreault,&nbsp;Mathieu Thériault","doi":"10.1002/fut.22465","DOIUrl":"10.1002/fut.22465","url":null,"abstract":"<p>This study presents a firm-specific methodology for extracting implied default intensities and recovery rates jointly from unit recovery claim prices—backed by out-of-the-money put options—and credit default swap premiums, therefore providing time-varying and market-consistent views of credit risk at the individual level. We apply the procedure to about 400 firms spanning different sectors of the US economy between 2003 and 2019. The main determinants of default intensities and recovery rates are analyzed with statistical and machine learning methods linking default risk and credit losses to market, sector, and individual variables. Consistent with the literature, we find that individual volatility, leverage, and corporate bond market determinants are key factors explaining the implied default intensities and recovery rates. Then, we apply the framework in the context of credit risk management in applications, like, market-consistent credit value-at-risk calculation and stress testing.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 1","pages":"122-147"},"PeriodicalIF":1.9,"publicationDate":"2023-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22465","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136013719","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: 1
Time-varying price discovery in regular and microbitcoin futures 普通和微型比特币期货的时变价格发现
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2023-10-10 DOI: 10.1002/fut.22466
Yu-Lun Chen, J. Jimmy Yang
{"title":"Time-varying price discovery in regular and microbitcoin futures","authors":"Yu-Lun Chen,&nbsp;J. Jimmy Yang","doi":"10.1002/fut.22466","DOIUrl":"10.1002/fut.22466","url":null,"abstract":"<p>We investigate the dynamic price discovery in the regular bitcoin (BTC) and microbitcoin (MBT) futures at the Chicago Mercantile Exchange. The only difference between the two bitcoin futures is the contract size, with MBT representing 1/50th of BTC. In contrast to recent findings in the literature, we find that BTC dominates MBT futures in price discovery, which can be attributed to the relative liquidity and investor structure in the BTC and MBT futures. In addition, crypto hacking activities can affect price discovery in bitcoin futures as we find higher hack stolen funds reduce (enhance) the price discovery in BTC (MBT) futures. These findings provide practical implications for bitcoin investors and regulators.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 1","pages":"103-121"},"PeriodicalIF":1.9,"publicationDate":"2023-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136359520","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 43, Number 11, November 2023 《期货市场杂志》：第43卷第11期，2023年11月
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2023-10-03 DOI: 10.1002/fut.22356
{"title":"Journal of Futures Markets: Volume 43, Number 11, November 2023","authors":"","doi":"10.1002/fut.22356","DOIUrl":"https://doi.org/10.1002/fut.22356","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"43 11","pages":"1497"},"PeriodicalIF":1.9,"publicationDate":"2023-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22356","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50130780","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
Calibration in the “real world” of a partially specified stochastic volatility model 在 "现实世界 "中校准部分指定的随机波动模型
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2023-10-03 DOI: 10.1002/fut.22461
Lorella Fatone, Francesca Mariani, Francesco Zirilli
{"title":"Calibration in the “real world” of a partially specified stochastic volatility model","authors":"Lorella Fatone,&nbsp;Francesca Mariani,&nbsp;Francesco Zirilli","doi":"10.1002/fut.22461","DOIUrl":"10.1002/fut.22461","url":null,"abstract":"<p>We study the “real world” calibration of a partially specified stochastic volatility model, where the analytic expressions of the asset price drift rate and of the stochastic variance drift are not specified. The model is calibrated matching the observed asset log returns and the priors assigned by the investor. No option price data are used in the calibration. The priors chosen for the asset price drift rate and for the stochastic variance drift are those suggested by the Heston model. For this reason, the model presented can be considered as an “enhanced” Heston model. The calibration problem is formulated as a stochastic optimal control problem and solved using the dynamic programming principle. The model presented and the Heston model are calibrated using synthetic and Standard &amp; Poor 500 (S&amp;P500) data. The calibrated models are used to produce 6, 12, and 24 months in the future synthetic and S&amp;P500 forecasts.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 1","pages":"75-102"},"PeriodicalIF":1.9,"publicationDate":"2023-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22461","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135740538","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
Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre- and post-COVID-19 能源市场与巴西现货市场之间的动态联系：COVID-19 前后的实证分析
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2023-09-27 DOI: 10.1002/fut.22463
Rafael Baptista Palazzi, Ata Assaf, Marcelo Cabus Klotzle
{"title":"Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre- and post-COVID-19","authors":"Rafael Baptista Palazzi,&nbsp;Ata Assaf,&nbsp;Marcelo Cabus Klotzle","doi":"10.1002/fut.22463","DOIUrl":"10.1002/fut.22463","url":null,"abstract":"<p>Brazil's significant commodity production is internationally recognized, yet the absence of a mature futures market exposes it to price risks and international shocks. This study explores the dynamic connectedness between commodity futures and the Brazilian cash markets, using a time-varying parameter vector autoregressive model. We also assess COVID-19's impact on this connectedness. We find a significant influence of oil prices on Brazilian ethanol prices, and particularly emphasize the Heating Oil spillover effect on ethanol in the post-COVID-19 era. We also note the ascension of Brazilian soybean spot markets' international significance since 2017, amplifying their role in global grain price discovery. Finally, by computing hedge ratios and effectiveness between commodity futures contracts and Brazilian spot prices, our study reveals soybean cash price as the most effective hedge. These insights deepen comprehension of connectedness within Brazilian commodity markets, thereby guiding investors and policymakers in strategic energy policy decisions.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 1","pages":"27-56"},"PeriodicalIF":1.9,"publicationDate":"2023-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135538586","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
Market-wide overconfidence and stock returns 整个市场的过度自信与股票回报
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2023-09-27 DOI: 10.1002/fut.22462
Qiang Chen, Yu Han, Ying Huang
{"title":"Market-wide overconfidence and stock returns","authors":"Qiang Chen,&nbsp;Yu Han,&nbsp;Ying Huang","doi":"10.1002/fut.22462","DOIUrl":"10.1002/fut.22462","url":null,"abstract":"<p>In this paper, a novel measurement of overconfidence over the market is developed based on the size of ambiguity (the confidence of investors in information). The proposed measure of market-wide overconfidence is consistent with the predictions motivated by prior literature. It has a significant negative association with the next-month market excess return. Associations between the overconfidence measure and riskier portfolio returns behave stronger and last longer, implying a risk-taking proclivity of overconfident investors.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 1","pages":"3-26"},"PeriodicalIF":1.9,"publicationDate":"2023-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135538082","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 technical indicators based on underlying assets help to predict implied volatility index 基于基础资产的技术指标能否帮助预测隐含波动率指数
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2023-09-27 DOI: 10.1002/fut.22464
Shi Yafeng, Yanlong Shi, Ying Tingting
{"title":"Can technical indicators based on underlying assets help to predict implied volatility index","authors":"Shi Yafeng,&nbsp;Yanlong Shi,&nbsp;Ying Tingting","doi":"10.1002/fut.22464","DOIUrl":"10.1002/fut.22464","url":null,"abstract":"<p>Given the widespread use of technical analysis and the tight relationship between derivatives and the underlying assets, we employ the copula approach to investigate whether the technical indicators based on underlying assets convey extra information about the future movements of implied volatility (IV) indexes. The empirical results, based on long samples of five well-known IV indexes, suggest that although the technical indicators are not informative for forecasting the future prices of IV indexes, they can provide extra information about the size of forecasting errors of the IV indexes. The findings are also robust to the impact of COVID-19. The technical indicators are then used to extend Threshold ARCH and Exponencial GARCH models for improving the estimation of Value at Risks (VaRs). The out-of-sample forecast results show that the proposed model outperforms the benchmark in estimating the VaRs. These findings have implications for pricing options of IV indexes and managing the risks of IV-related portfolios.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 1","pages":"57-74"},"PeriodicalIF":1.9,"publicationDate":"2023-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135536754","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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