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Informational Content of Warrant Trading Prior to Interim Monthly-Revenue Report: Evidence From the Taiwan Warrant Market 中期月报前权证交易的信息内容：来自台湾权证市场的证据
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-07-13 DOI: 10.1002/fut.70009
Che-Chia Chang, Chao-Chun Chen, Pin-Yu Huang
{"title":"Informational Content of Warrant Trading Prior to Interim Monthly-Revenue Report: Evidence From the Taiwan Warrant Market","authors":"Che-Chia Chang,&nbsp;Chao-Chun Chen,&nbsp;Pin-Yu Huang","doi":"10.1002/fut.70009","DOIUrl":"https://doi.org/10.1002/fut.70009","url":null,"abstract":"<div>\u0000 \u0000 <p>Taiwan-listed companies are required to report unaudited net operating revenues monthly. This study examines the information content of trading in the short-sale-prohibited domestic warrant market before the interim accounting disclosures by adopting an implied volatility skew (IV skew) as a proxy for informed trading. We find a significantly negative relationship between the pre-announcement abnormal IV skew of warrants and cumulative abnormal stock return around monthly-revenue disclosures. The results of the placebo test further suggest that the return predictability of the IV skew is not prevalent in normal periods, but only the pre-announcement IV skew possesses predictive power toward future stock returns. Furthermore, the predictability of warrants' IV skew on monthly-revenue announcement return is stronger when the underlying stocks are priced high and weaker when some information about unpublished revenues has been reflected by pre-announcement stock returns. These findings suggest that informed trading is the driving force behind warrant market activities before monthly-revenue reporting.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 10","pages":"1616-1635"},"PeriodicalIF":2.3,"publicationDate":"2025-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145051236","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 Option Return Predictability 商品期权收益可预测性
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-07-09 DOI: 10.1002/fut.22614
Constant Aka, Marie-Hélène Gagnon, Gabriel J. Power
{"title":"Commodity Option Return Predictability","authors":"Constant Aka,&nbsp;Marie-Hélène Gagnon,&nbsp;Gabriel J. Power","doi":"10.1002/fut.22614","DOIUrl":"https://doi.org/10.1002/fut.22614","url":null,"abstract":"<p>This paper investigates the predictability of delta-hedged commodity option returns using 103 predictors. We estimate several linear and nonlinear machine learning models and forecast ensembles using futures options data on seven commodities. There is strong evidence of out-of-sample return predictability for horizons of 1 week to 1 month ahead. We show how a machine learning-informed long-short option trading strategy generates positive returns after transaction costs for most commodities. Among the groups of predictors, options-based characteristics are the most informative, but macroeconomic variables typically improve forecasts. A nonlinear ensemble forecast provides the best results, while the best single model is the Random Forest. Some machine learning models perform poorly. Finally, we document strong evidence for increased predictability in periods of high volatility.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 10","pages":"1544-1578"},"PeriodicalIF":2.3,"publicationDate":"2025-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22614","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145050930","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
Bitcoin Price Direction Forecasting and Market Variables 比特币价格方向预测和市场变量
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-07-09 DOI: 10.1002/fut.70010
Taegyum Kim, Hyeontae Jo, Woohyuk Choi, Bong-Gyu Jang
{"title":"Bitcoin Price Direction Forecasting and Market Variables","authors":"Taegyum Kim,&nbsp;Hyeontae Jo,&nbsp;Woohyuk Choi,&nbsp;Bong-Gyu Jang","doi":"10.1002/fut.70010","DOIUrl":"https://doi.org/10.1002/fut.70010","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper aims to improve Bitcoin price direction prediction using a CNN-LSTM model that incorporates various relevant indicators, such as stock market indices, commodity indices, and interest rates. Separate models are trained for predicting price up and down direction and combined to enhance prediction accuracy. We utilize binary classification models to independently analyze the impact of different features, verified through explainable artificial intelligence techniques. Additionally, an investment strategy based on our model is proposed and compared with traditional strategies, specifically focusing on maximum drawdown relative to the S&amp;P500 buy-and-hold strategy. Results suggest that our strategy offers potential for stable investment in Bitcoin, showcasing its value as a financial asset. This study demonstrates the role of deep learning in Bitcoin price direction prediction and investment strategy development and contributes to future research on cryptocurrency forecasting and investment approaches.</p></div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 10","pages":"1579-1600"},"PeriodicalIF":2.3,"publicationDate":"2025-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145050924","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 8, August 2025 期货市场杂志：第45卷，第8期，2025年8月
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-07-08 DOI: 10.1002/fut.22524
{"title":"Journal of Futures Markets: Volume 45, Number 8, August 2025","authors":"","doi":"10.1002/fut.22524","DOIUrl":"https://doi.org/10.1002/fut.22524","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 8","pages":""},"PeriodicalIF":1.8,"publicationDate":"2025-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22524","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144581860","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
Effects of Social Media-Based Peer Opinions on the Prices of Cryptocurrency Options 基于社交媒体的同行意见对加密货币期权价格的影响
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-07-07 DOI: 10.1002/fut.70004
Da-Hea Kim
{"title":"Effects of Social Media-Based Peer Opinions on the Prices of Cryptocurrency Options","authors":"Da-Hea Kim","doi":"10.1002/fut.70004","DOIUrl":"https://doi.org/10.1002/fut.70004","url":null,"abstract":"<div>\u0000 \u0000 <p>Using a text-based measure of peer opinions constructed from cryptocurrency-related social media posts, we find that peer opinions contain valuable information about the prices of cryptocurrency options. Bitcoin options exhibit a volatility smile, which becomes steeper when peer opinions become bearish. The risk-neutral skewness of Bitcoin returns implied by options prices becomes more negative in times of bearish opinions. The predictability of peer opinions for Bitcoin option prices remains robust after controlling for momentum, volatility, demand pressures, news effects, and other sentiment measures, and exhibits no evidence of reversal over time. This effect is pronounced when Bitcoin attracts high investor attention, more diverse opinions about Bitcoin are expressed on social media, and Bitcoin options are more actively traded. We find similar results for Ethereum options.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 10","pages":"1512-1543"},"PeriodicalIF":2.3,"publicationDate":"2025-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145050904","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
Predicting Stock Jumps and Crashes Using Options 使用期权预测股票的跳跃和崩溃
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-07-03 DOI: 10.1002/fut.22609
Panayiotis C. Andreou, Chulwoo Han, Nan Li
{"title":"Predicting Stock Jumps and Crashes Using Options","authors":"Panayiotis C. Andreou,&nbsp;Chulwoo Han,&nbsp;Nan Li","doi":"10.1002/fut.22609","DOIUrl":"https://doi.org/10.1002/fut.22609","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper investigates the informativeness of option-implied volatility and Greeks in forecasting extreme stock returns. Using a large data set of U.S. stocks and options from 1996 to 2022 and employing Light Gradient-Boosting Machine as a machine learning algorithm, we show that option characteristics, particularly implied volatility and delta, are strong predictors of extreme returns. The long–short portfolio utilizing option variables significantly outperforms a benchmark using only stock characteristics, suggesting that options provide information beyond what can be inferred from stock characteristics. Put options are revealed to be more informative than call options, and crashes are easier to predict than jumps.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 10","pages":"1471-1490"},"PeriodicalIF":2.3,"publicationDate":"2025-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145051104","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
Water Shortage and Mitigation Solutions: A Focus on New Physical and Financial Hedging Tools 水资源短缺和缓解解决方案：关注新的实物和金融对冲工具
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-07-02 DOI: 10.1002/fut.70000
Nicola Bartolini, Silvia Romagnoli, Amia Santini
{"title":"Water Shortage and Mitigation Solutions: A Focus on New Physical and Financial Hedging Tools","authors":"Nicola Bartolini,&nbsp;Silvia Romagnoli,&nbsp;Amia Santini","doi":"10.1002/fut.70000","DOIUrl":"https://doi.org/10.1002/fut.70000","url":null,"abstract":"<p>Climate change, water mismanagement, and overconsumption are intensifying droughts and water shortages worldwide. Beyond health risks, water scarcity threatens food security, disrupts agriculture, and can fuel conflicts—underscoring the need for sustainable water management. This paper proposes a financial strategy using weather derivatives tied to water indexes or variables like rainfall to hedge against volumetric risks. Through a case study of California's water market, and a sensitivity analysis based on climate change scenarios, we show how these tools can mitigate the impact of water scarcity, particularly in agriculture, and help bridge the climate risk insurance gap.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 10","pages":"1491-1511"},"PeriodicalIF":2.3,"publicationDate":"2025-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.70000","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145050985","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
Detangling Risk Premiums: Common and Idiosyncratic Components of Crude Oil, Corn, and Ethanol Futures 厘清风险溢价：原油、玉米和乙醇期货的共同和特殊成分
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-07-01 DOI: 10.1002/fut.70001
Xiaoli Etienne, Bingxin Li, Rui Liu
{"title":"Detangling Risk Premiums: Common and Idiosyncratic Components of Crude Oil, Corn, and Ethanol Futures","authors":"Xiaoli Etienne,&nbsp;Bingxin Li,&nbsp;Rui Liu","doi":"10.1002/fut.70001","DOIUrl":"https://doi.org/10.1002/fut.70001","url":null,"abstract":"<div>\u0000 \u0000 <p>Applying a no-arbitrage term structure model, we analyze how risk premiums in crude oil, corn, and ethanol futures have evolved amid their increasingly synchronized price movements. Specifically, the model estimates a common factor that summarizes the information driving the three futures prices simultaneously and one idiosyncratic factor that captures distinct information in each market. The common risk prices are more strongly linked to macroeconomic observables, whereas market-specific factors Granger cause the risk prices of both common and idiosyncratic components. We find that financialization negatively impacts the overall level of risk premiums. The risk premiums for crude oil, corn, and ethanol risk premiums all increased from the financialization period to the post-financialization period. While financialization significantly affected the level of risk premiums, its influence on their comovement across markets may have been limited. In contrast, uncertainty surrounding biofuel policy may have affected the linkage between corn and ethanol risk premiums.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 9","pages":"1409-1427"},"PeriodicalIF":2.3,"publicationDate":"2025-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144811219","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
Patent Portfolios and Uncertainty 专利组合与不确定性
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-07-01 DOI: 10.1002/fut.70002
Thaddeus Neururer, Li Wang, Yuxiang Zheng
{"title":"Patent Portfolios and Uncertainty","authors":"Thaddeus Neururer,&nbsp;Li Wang,&nbsp;Yuxiang Zheng","doi":"10.1002/fut.70002","DOIUrl":"https://doi.org/10.1002/fut.70002","url":null,"abstract":"<p>This study explores how investor uncertainty is associated with the structure of companies' patent portfolios. Utilizing a U.S. patent sample, we examine the impact of three key patent portfolio characteristics (total market value, total number, and value dispersion) on market-perceived uncertainty proxied by option-implied volatilities. Our results indicate that the total market value of a patent portfolio is positively associated with market-perceived uncertainty. In addition, holding constant the portfolio's total market value, the market-perceived uncertainty decreases with the number of patents and when patents have similar values (i.e., a lower valuation standard deviation). We also find that equity and option market activity decreases with the number of patents but increases with the patent portfolio value and value dispersion, and market demand for put options (downside risk protections) increases with patent portfolio value and decreases with the number of patents in a portfolio.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 9","pages":"1428-1447"},"PeriodicalIF":2.3,"publicationDate":"2025-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.70002","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144811220","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
Analytically Pricing Variance Swaps Under the Hawkes Jump-Diffusion Process With Liquidity Risks 考虑流动性风险的Hawkes跳跃扩散过程下方差掉期定价分析
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-07-01 DOI: 10.1002/fut.22603
Ke Wang, Xun-xiang Guo, Yang-yang Wang, Hong-yu Zhang
{"title":"Analytically Pricing Variance Swaps Under the Hawkes Jump-Diffusion Process With Liquidity Risks","authors":"Ke Wang,&nbsp;Xun-xiang Guo,&nbsp;Yang-yang Wang,&nbsp;Hong-yu Zhang","doi":"10.1002/fut.22603","DOIUrl":"https://doi.org/10.1002/fut.22603","url":null,"abstract":"<div>\u0000 \u0000 <p>We investigate variance swap pricing by incorporating a self-exciting Hawkes process into a stochastic liquidity risk model. Within this framework, we derive closed-form pricing formulas for discretely sampled variance swaps using two different methods. Through asymptotic analysis, we demonstrate that the discretely sampled pricing formulas converge to their continuously sampled counterparts as the sampling interval approaches zero. Numerical results further highlight the significant impact of jump clustering on the strike prices of variance swaps.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 9","pages":"1388-1408"},"PeriodicalIF":2.3,"publicationDate":"2025-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144811218","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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