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The time-varying volatility spillover effects between China's coal and metal market 中国煤炭和金属市场之间的时变波动溢出效应
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-02-04 DOI: 10.1002/fut.22488
Boqiang Lin, Tianxu Lan
{"title":"The time-varying volatility spillover effects between China's coal and metal market","authors":"Boqiang Lin,&nbsp;Tianxu Lan","doi":"10.1002/fut.22488","DOIUrl":"10.1002/fut.22488","url":null,"abstract":"<p>This study employs a time-varying parameter vector autoregression methodology with the Diebold and Yilmaz spillover index to scrutinize the temporal fluctuations in volatility spillovers between the Chinese coal and metal markets. The analysis is conducted from the dual perspectives of security indices and futures prices. The findings reveal a robust correlation between the coal and metal markets, with the coal market serving as a primary conduit for volatility spillover into the metal market. Furthermore, this study investigates the time-specific impacts of coal decommissioning policies, the COVID-19 pandemic, and the coal supply crisis on the coal–metal market volatility spillovers. The findings indicate that these three unique shocks significantly increase the overall risk spillover index between the coal and metal markets. Moreover, during these exceptional events, the extent or role of risk spillover in the coal–metal market undergoes varying degrees of change. On the basis of these findings, this article presents pertinent policy recommendations.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 5","pages":"699-719"},"PeriodicalIF":1.9,"publicationDate":"2024-02-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139806341","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
The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility 比特币价格和比特币价格的不确定性：比特币价格波动的证据
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-02-01 DOI: 10.1002/fut.22487
Nezir Köse, Hakan Yildirim, Emre Ünal, Boqiang Lin
{"title":"The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility","authors":"Nezir Köse,&nbsp;Hakan Yildirim,&nbsp;Emre Ünal,&nbsp;Boqiang Lin","doi":"10.1002/fut.22487","DOIUrl":"10.1002/fut.22487","url":null,"abstract":"<p>This study examines the Bitcoin price by taking into account global factors, including the Chicago Board Options Exchange's Market Volatility Index (VIX), the US dollar index, the gold price, the oil price, and Bitcoin price volatility. The analysis is conducted using the structural vector autoregression (SVAR) model. The variance decomposition findings revealed that the influence of the VIX on the Bitcoin price was initially restricted, but progressively intensified over time. Among the indicators, Bitcoin price volatility had the highest explanatory share in both daily and weekly data analysis. The impulse response functions demonstrated a statistically significant inverse relationship between the VIX and the Bitcoin price. Furthermore, the analysis revealed that the Bitcoin price was mostly impacted by its own volatility. This implies that investing in Bitcoin requires a certain level of risk-taking.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 4","pages":"673-695"},"PeriodicalIF":1.9,"publicationDate":"2024-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139686357","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
Hedging securities and Silicon Valley Bank idiosyncrasies 对冲证券和硅谷银行的特质
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-01-31 DOI: 10.1002/fut.22486
Raymond Kim
{"title":"Hedging securities and Silicon Valley Bank idiosyncrasies","authors":"Raymond Kim","doi":"10.1002/fut.22486","DOIUrl":"10.1002/fut.22486","url":null,"abstract":"<p>Hedging requires adequacy and timing. This paper finds that banks did not systematically ignore balance-sheet risks like Silicon Valley Bank (SVB), and instead exercised risk management by asymmetrically increasing hedging activity when security losses increase and scaling back hedging activity as security losses reverse. Banks also hedge against bank runs when risk increases due to a combination of security losses and funding risks from unsecured deposits. Findings suggest SVB's mistakes are idiosyncratic. Results suggest that nonstress test banks target balance-sheet risks when hedging, stabilizing themselves from interest rate shocks transmitted through fixed-income securities. Scrutiny of rules-based outliers like SVB is preferable to increased regulatory burden for all nonstress test banks.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 4","pages":"653-672"},"PeriodicalIF":1.9,"publicationDate":"2024-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139767127","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
The convenience yield under commodity financialization 商品金融化下的便利收益率
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-01-31 DOI: 10.1002/fut.22485
Nikolaos T. Milonas, Evangelia K. Photina
{"title":"The convenience yield under commodity financialization","authors":"Nikolaos T. Milonas,&nbsp;Evangelia K. Photina","doi":"10.1002/fut.22485","DOIUrl":"https://doi.org/10.1002/fut.22485","url":null,"abstract":"<p>A number of papers have dealt with commodity financialization finding strong evidence for its existence and its effect on commodity prices and volatility. We chose convenience yield (CY) to study the effect of commodity financialization based on the theory of storage and on the argument that CY resembles a call option. Using quarterly data in the period 1995–2018, on soybeans stocks, cash and futures prices, a dynamic Autoregressive Distributed Lag with Exogenous model is estimated to measure the effects of independent variables from both the financial and commodity markets on CY. The evidence reveals that financial markets volatility along macroeconomic global variables affect soybeans CY giving support to the existence of commodity financialization. Besides, we find a statistically significant and negative relation between volatility index and CY. Support for this evidence rests on the theory of storage, Real Option Analysis, and behavioral finance.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 4","pages":"631-652"},"PeriodicalIF":1.9,"publicationDate":"2024-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140031853","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
Short-term market impact of Black Sea Grain Initiative on four grain markets 黑海谷物倡议对四个谷物市场的短期市场影响
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-01-18 DOI: 10.1002/fut.22481
António Miguel Martins
{"title":"Short-term market impact of Black Sea Grain Initiative on four grain markets","authors":"António Miguel Martins","doi":"10.1002/fut.22481","DOIUrl":"10.1002/fut.22481","url":null,"abstract":"<p>This paper examines the short-term market reaction of four agricultural commodities to the Russian–Ukraine war and various stages of the Black Sea Grain Initiative Agreement. Using an event study, the results show a positive abnormal return for the agricultural grain markets with the outbreak of the war and the nonrenewal of the Black Sea Grain Agreement. These two events by causing supply-side constraints, led to an increase in the price of grains. The results also show negative and statistically significant abnormal returns around the signing of the Black Sea Grain Agreement, its implementation through the departure of the first ship loaded with Ukrainian grain after the beginning of the war and the successive extensions of the agreement. These disruptions not only affect Ukraine and Russia but also have critical implications for world food security. Policy implications of our findings are provided.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 4","pages":"619-630"},"PeriodicalIF":1.9,"publicationDate":"2024-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139517185","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 night trading reduce price volatility? Evidence from China's corn and corn starch futures markets 夜盘交易能否减少价格波动？来自中国玉米和玉米淀粉期货市场的证据
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-01-15 DOI: 10.1002/fut.22483
Weiyi Xia, Tao Xiong, Miao Li
{"title":"Can night trading reduce price volatility? Evidence from China's corn and corn starch futures markets","authors":"Weiyi Xia,&nbsp;Tao Xiong,&nbsp;Miao Li","doi":"10.1002/fut.22483","DOIUrl":"10.1002/fut.22483","url":null,"abstract":"<p>Since 2013, China's futures exchanges have implemented night trading for agricultural futures to reduce the overnight risk and price jump of futures products by extending trading hours. This study uses difference-in-differences (DID) to examine the impacts of night trading on daytime price volatility in corn and corn starch futures markets. On the basis of tick-by-tick data for these futures, we find that night trading has significantly reduced daytime volatility and contributed to price volatility stability in the corresponding futures market. Moreover, we make DID estimations for separate daytime sessions and find that the reduction of the daytime volatility takes place mainly during the first trading session. Robustness and placebo tests further support our main conclusions. Our results provide valuable guidance for futures exchanges and regulators seeking to formulate night trading policies for futures and options.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 4","pages":"585-604"},"PeriodicalIF":1.9,"publicationDate":"2024-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139529794","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
Price discovery and long-memory property: Simulation and empirical evidence from the bitcoin market 价格发现与长记忆属性：比特币市场的模拟和经验证据
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-01-15 DOI: 10.1002/fut.22484
Ke Xu, Yu-Lun Chen, Bo Liu, Jian Chen
{"title":"Price discovery and long-memory property: Simulation and empirical evidence from the bitcoin market","authors":"Ke Xu,&nbsp;Yu-Lun Chen,&nbsp;Bo Liu,&nbsp;Jian Chen","doi":"10.1002/fut.22484","DOIUrl":"10.1002/fut.22484","url":null,"abstract":"<p>Price discovery studies of a single asset traded in multiple markets have traditionally focused on assessing the relative price discovery contribution of each market. However, in this paper, we demonstrate that the overall price discovery across all markets can undergo changes even when the relative price discovery of each market remains constant. We propose that this overall change in price discovery can be effectively captured by the fractional parameter in the fractionally cointegrated vector autoregressive (FCVAR) model. In contrast, the widely used cointegrated vector autoregressive (CVAR) model fails to account for this dynamic in overall price discovery. Through a combination of simulation exercises and empirical applications, we show that the FCVAR approach outperforms the CVAR model not only in evaluating the relative price discovery contributions but also, more importantly, in providing a comprehensive measurement of overall price discovery.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 4","pages":"605-618"},"PeriodicalIF":1.9,"publicationDate":"2024-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139497470","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 44, Number 2, February 2024 期货市场期刊》：第 44 卷第 2 号，2024 年 2 月
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-01-08 DOI: 10.1002/fut.22428
{"title":"Journal of Futures Markets: Volume 44, Number 2, February 2024","authors":"","doi":"10.1002/fut.22428","DOIUrl":"https://doi.org/10.1002/fut.22428","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 2","pages":"149"},"PeriodicalIF":1.9,"publicationDate":"2024-01-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22428","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139400167","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 predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns 碳期货波动的可预测性：化石能源期货收益溢出效应的新证据
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-01-07 DOI: 10.1002/fut.22482
Zhikai Zhang, Yaojie Zhang, Yudong Wang, Qunwei Wang
{"title":"The predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns","authors":"Zhikai Zhang,&nbsp;Yaojie Zhang,&nbsp;Yudong Wang,&nbsp;Qunwei Wang","doi":"10.1002/fut.22482","DOIUrl":"10.1002/fut.22482","url":null,"abstract":"<p>In this paper, we find new evidence for the carbon futures volatility prediction by using the spillovers of fossil energy futures returns as a powerful predictor. The in-sample results show that the spillovers have a significantly positive effect on carbon futures volatility. From the out-of-sample analysis with various loss functions, we find that fossil energy return spillovers significantly outperform the benchmark and show better forecasting performance than the competing models using dimension reduction, variable selection, and combination approaches. The predictive ability of the spillovers also holds in long-term forecasting and does not derive from other carbon-related variables. It can bring substantial economic gains in the portfolio exercise within carbon futures. Finally, we provide economic explanations on the predictive ability of the fossil energy return spillover by the channels of the carbon emission uncertainty and the investor sentiment on the warming climate.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 4","pages":"557-584"},"PeriodicalIF":1.9,"publicationDate":"2024-01-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139421634","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
Left-digit biases: Individual and institutional investors 左数偏差：个人和机构投资者
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2023-12-26 DOI: 10.1002/fut.22479
Jinyoung Yu, Young-Chul Kim, Doojin Ryu
{"title":"Left-digit biases: Individual and institutional investors","authors":"Jinyoung Yu,&nbsp;Young-Chul Kim,&nbsp;Doojin Ryu","doi":"10.1002/fut.22479","DOIUrl":"10.1002/fut.22479","url":null,"abstract":"<p>This study examines the left-digit bias of individual and institutional investors using the microstructural data set from a highly liquid index futures market. Both investor groups exhibit excess buying after the ask falls with a tens-digit decrement, whereas excess selling (buying) is observed only for institutions (individuals) after the bid rises with a tens-digit increment. Such excess buying is generally pronounced when price uncertainty is high. Institutional excess selling is evident when uncertainty is low and immediately after the market opens. While both investor groups focus on cognitive reference points, our findings imply that investors heterogeneously respond to the bias and that individuals experience investment losses as they trade on the bias.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 3","pages":"518-532"},"PeriodicalIF":1.9,"publicationDate":"2023-12-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139054067","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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