发布求助
文献互助 智能选刊 最新文献

Journal of Futures Markets最新文献

筛选
英文 中文
ChatGPT and Commodity Return ChatGPT和商品回报
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-01-27 DOI: 10.1002/fut.22568
Shen Gao, Shijie Wang, Yuanzhi Wang, Qunzi Zhang
{"title":"ChatGPT and Commodity Return","authors":"Shen Gao,&nbsp;Shijie Wang,&nbsp;Yuanzhi Wang,&nbsp;Qunzi Zhang","doi":"10.1002/fut.22568","DOIUrl":"https://doi.org/10.1002/fut.22568","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper investigates the ability of a ChatGPT-based indicator to forecast excess returns of the commodity futures index. Using ChatGPT to extract information from over 2.5 million articles from nine international newspapers, we demonstrate that our constructed commodity news ratio index significantly predicts future commodity returns, both in-sample and out-of-sample. Furthermore, it outperforms traditional textual analysis methods, including Bidirectional Encoder Representations from Transformers (BERT) and Bag-of-Words (BoW), while indicating economic significance within an asset allocation framework. The results highlight the critical role of ChatGPT in forecasting commodity market dynamics and provide valuable insights for both financial market participants and researchers.</p></div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 3","pages":"161-175"},"PeriodicalIF":1.8,"publicationDate":"2025-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143389436","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
Asymmetric Commodity Tails and Index Futures Returns 非对称商品尾部与指数期货收益
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-01-20 DOI: 10.1002/fut.22564
Yuanzhi Wang, Xinbei Wei, Qunzi Zhang
{"title":"Asymmetric Commodity Tails and Index Futures Returns","authors":"Yuanzhi Wang,&nbsp;Xinbei Wei,&nbsp;Qunzi Zhang","doi":"10.1002/fut.22564","DOIUrl":"https://doi.org/10.1002/fut.22564","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper proposes that the tail risk associated with commodity futures returns performs well at predicting the S&amp;P 500 index futures returns in- and out-of-sample, even after controlling business cycles, economic factors, investor sentiment factors, other forms of tail risk factors, and macroeconomic conditions. Following Kelly and Jiang (2014), we directly estimate the commodity tail risk factor from the cross-section of commodity futures returns, which can efficiently capture the prevailing level of tail risk in the cross-sectional distribution. Our empirical analysis involves forecasting regressions, which aim to predict index futures returns using lagged up-tail risk, down-tail risk, and overall tail risk. We uncover asymmetric forecasting power between up-tail risk and down-tail risk, highlighting their distinct influences. Notably, our return decomposition analysis shows that the commodity tail risk factors primarily drive index futures returns through the discount rate channel.</p></div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 3","pages":"247-265"},"PeriodicalIF":1.8,"publicationDate":"2025-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143389446","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
Volatility in Carbon Futures Amid Uncertainties: Considering Geopolitical and Economic Policy Factors 不确定性环境下碳期货的波动性：考虑地缘政治和经济政策因素
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-01-20 DOI: 10.1002/fut.22565
Xiaoqing Wang, Wenxin Jin, Baochang Xu, Kaihua Wang
{"title":"Volatility in Carbon Futures Amid Uncertainties: Considering Geopolitical and Economic Policy Factors","authors":"Xiaoqing Wang,&nbsp;Wenxin Jin,&nbsp;Baochang Xu,&nbsp;Kaihua Wang","doi":"10.1002/fut.22565","DOIUrl":"https://doi.org/10.1002/fut.22565","url":null,"abstract":"<div>\u0000 \u0000 <p>This study uses a quantile autoregressive distributed lag model to quantitatively evaluate the effects of economic policy uncertainty (EPU) and geopolitical risk (GPR) on volatility in carbon futures (carbon trading price [CTP]), considering both quantile and time asymmetries. The findings show that long-term effects of GPR on CTP are more significant than the short-term effects, contrary to EPU. Both EPU and GPR have predominantly positive long-term effects on CTP, while EPU negatively affects CTP and geopolitical factors show mixed influences in the short term. The location asymmetry reveals that the long-term impacts are most pronounced at higher quantiles, whereas the short-term effects exhibit subtle variations across different quantiles. The influences intensify during structural shifts owing to heightened events. Moreover, EPU is proven as a dominant contributor influencing the fluctuation of CTP both in the short and long terms. The findings provide targeted recommendations for policymakers to stabilize CTP and contribute towards achieving sustainable development.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 4","pages":"308-325"},"PeriodicalIF":1.8,"publicationDate":"2025-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143581956","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
USD Interest Rate Swaption Strategies During the Unconventional Monetary Policy and Pandemic Eras 非常规货币政策与大流行时期的美元利率互换策略
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-01-20 DOI: 10.1002/fut.22561
Hiroaki Shirokawa, Kohei Yamaguchi, Takahiro Obata, Ryuta Sakemoto
{"title":"USD Interest Rate Swaption Strategies During the Unconventional Monetary Policy and Pandemic Eras","authors":"Hiroaki Shirokawa,&nbsp;Kohei Yamaguchi,&nbsp;Takahiro Obata,&nbsp;Ryuta Sakemoto","doi":"10.1002/fut.22561","DOIUrl":"https://doi.org/10.1002/fut.22561","url":null,"abstract":"<div>\u0000 \u0000 <p>This study investigates the performance of USD interest rate swaption straddle strategies during the unconventional monetary policy and pandemic eras. We construct long–short portfolio swaption straddles using longer tenors and maturities than those in the previous literature. Moreover, we propose an equally weighted strategy that takes risk exposures to both volatility and jump risks. This strategy generates a higher Sharpe ratio than the delta–gamma neutral strategy during the unconventional monetary policy period. This result is weakly associated with spot swap forward rate jumps and robust, including transaction costs. We also observe that adopting longer maturity swaptions in the long position leads to higher values of risk and returns.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 3","pages":"208-223"},"PeriodicalIF":1.8,"publicationDate":"2025-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143389444","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
Do Price Jumps Matter in Volatility Forecasts of US Treasury Futures? 价格跳涨对美国国债期货波动率预测有影响吗？
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-01-20 DOI: 10.1002/fut.22567
Xueer Zhang, Jui-Cheng Hung, Chien-Liang Chiu
{"title":"Do Price Jumps Matter in Volatility Forecasts of US Treasury Futures?","authors":"Xueer Zhang,&nbsp;Jui-Cheng Hung,&nbsp;Chien-Liang Chiu","doi":"10.1002/fut.22567","DOIUrl":"https://doi.org/10.1002/fut.22567","url":null,"abstract":"<div>\u0000 \u0000 <p>This study investigates volatility forecasts in the US Treasury futures market and emphasizes the importance of price jumps across various maturities under moderate and sharp interest rate rising scenarios. We assess out-of-sample forecasting performance not only with statistical method but economic method based on a volatility timing strategy. Our findings indicate that models including price jumps specifications exhibit substantial enhancements in both evaluation methods over the entire out-of-sample period, particular for the period of sharp interest rate rising. Our results are robust to nonparametric jump tests used in this study, transaction costs, and portfolio rebalancing method.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 4","pages":"326-342"},"PeriodicalIF":1.8,"publicationDate":"2025-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143581957","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 Characteristics and Asset Pricing Models 商品期货特征与资产定价模型
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-01-20 DOI: 10.1002/fut.22559
Qin Yiyi, Jun Cai, Jie Zhu, Robert Webb
{"title":"Commodity Futures Characteristics and Asset Pricing Models","authors":"Qin Yiyi,&nbsp;Jun Cai,&nbsp;Jie Zhu,&nbsp;Robert Webb","doi":"10.1002/fut.22559","DOIUrl":"https://doi.org/10.1002/fut.22559","url":null,"abstract":"<div>\u0000 \u0000 <p>A latent-factor model based on the instrumented principal component analysis (IPCA) methodology of Kelly et al. outperforms existing factor models in explaining cross-sectional variations in commodity futures returns. The model allows for observed commodity futures characteristics to work as instruments for unobservable dynamic factor loadings. We find that the relationship between characteristics and commodity futures returns is driven by compensation for exposure to latent risk factors (beta) rather than compensation for exposure to mispricing (alpha). Three latent factors deliver more powerful explanations than any number of observable factors. Among a collection of 20 characteristics, only three are significantly related to latent factor betas. These three characteristics are momentum, expected shortfall, and idiosyncratic volatility.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 3","pages":"176-207"},"PeriodicalIF":1.8,"publicationDate":"2025-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143389167","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 Dependence and Optimal Asset Allocation 商品依赖与最优资产配置
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-01-20 DOI: 10.1002/fut.22563
Vianney Dequiedt, Mathieu Gomes, Kuntara Pukthuanthong, Benjamin Williams-Rambaud
{"title":"Commodity Dependence and Optimal Asset Allocation","authors":"Vianney Dequiedt,&nbsp;Mathieu Gomes,&nbsp;Kuntara Pukthuanthong,&nbsp;Benjamin Williams-Rambaud","doi":"10.1002/fut.22563","DOIUrl":"https://doi.org/10.1002/fut.22563","url":null,"abstract":"<div>\u0000 \u0000 <p>We present a model to explain the diversification benefits of incorporating commodities into a portfolio of traditional assets from the perspective of domestic investors. Utilizing a sample of 38 countries from 2000 to 2020, we show that investors in high-commodity dependence countries generally do not benefit from adding commodities to their portfolios while investors located in low-commodity dependence countries usually do. Our results thus show that local contexts matter and that commodities may augment a diversified portfolio if investors are not excessively exposed to commodity risk through their country's economic structure.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 3","pages":"224-246"},"PeriodicalIF":1.8,"publicationDate":"2025-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143389445","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 Determinants of Marginal Convenience Yield in Agricultural Commodity Markets 农产品市场边际便利产量的决定因素
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-01-14 DOI: 10.1002/fut.22562
Theodora Bermpei, Athanasios Triantafyllou
{"title":"The Determinants of Marginal Convenience Yield in Agricultural Commodity Markets","authors":"Theodora Bermpei,&nbsp;Athanasios Triantafyllou","doi":"10.1002/fut.22562","DOIUrl":"https://doi.org/10.1002/fut.22562","url":null,"abstract":"<div>\u0000 \u0000 <p>We report a significant downward trend in the convenience yield for holding physical inventory in agricultural commodity futures markets, attributing this negative trend to speculative demand shocks, which in turn, leads in decreasing agricultural convenience yields. Moreover, agricultural convenience yields appear negative on average during the recent financialization (of commodities) period. We additionally show that the response of agricultural convenience yields to commodity price uncertainty and supply shocks is much less pronounced in magnitude and persistence compared to that of hedging demand shocks. Overall, our analysis verifies the Keynesian theory of normal backwardation by showing a long-lasting positive response of agricultural convenience yields to a hedging demand shock, thereby leaving the hedging demand as the most significant factor explaining the less frequently observed backwardations in agricultural futures markets.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 4","pages":"289-307"},"PeriodicalIF":1.8,"publicationDate":"2025-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143581705","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 in Bitcoin Spot or Futures? The Jury Is Out 比特币现货还是期货的价格发现？尚无定论
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-01-09 DOI: 10.1002/fut.22560
Alex Frino, Robert Gaudiosi, Robert I. Webb, Z. Ivy Zhou
{"title":"Price Discovery in Bitcoin Spot or Futures? The Jury Is Out","authors":"Alex Frino,&nbsp;Robert Gaudiosi,&nbsp;Robert I. Webb,&nbsp;Z. Ivy Zhou","doi":"10.1002/fut.22560","DOIUrl":"https://doi.org/10.1002/fut.22560","url":null,"abstract":"<div>\u0000 \u0000 <p>This study clarifies discrepancies in previous research on the contribution of regulated Bitcoin futures to price discovery, where conclusions have varied between futures leading over spot markets or vice versa. We identify potential reasons behind these conflicting findings, including the choice of price discovery measures, sampling frequencies, modeling windows, futures contracts, and spot exchanges. Using 1-s sampling frequencies to accurately capture price discovery in the fast-paced markets and accounting for substantial noise differences between spot and futures markets, we find that the futures market generally leads spot markets, though this price leadership exhibits daily fluctuations. Moreover, we observe a pronounced increase in the futures market's contribution to price discovery around macroeconomic surprises and Tether stablecoin minting tweets.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 4","pages":"269-288"},"PeriodicalIF":1.8,"publicationDate":"2025-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143581841","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 2, February 2025 期货市场杂志：第45卷，第2期，2025年2月
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-01-07 DOI: 10.1002/fut.22518
{"title":"Journal of Futures Markets: Volume 45, Number 2, February 2025","authors":"","doi":"10.1002/fut.22518","DOIUrl":"https://doi.org/10.1002/fut.22518","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 2","pages":"77"},"PeriodicalIF":1.8,"publicationDate":"2025-01-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22518","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143112779","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
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信