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Day-of-the-Week Effects and Liquidity Dynamics in the Chinese SSE 50 ETF Option Market 中国上证50指数ETF期权市场的日效应与流动性动态
IF 2.8 4区 经济学
Journal of Futures Markets Pub Date : 2026-08-04 Epub Date: 2026-06-04 DOI: 10.1002/fut.70118
Wei Guo, Tian Yue
{"title":"Day-of-the-Week Effects and Liquidity Dynamics in the Chinese SSE 50 ETF Option Market","authors":"Wei Guo,&nbsp;Tian Yue","doi":"10.1002/fut.70118","DOIUrl":"https://doi.org/10.1002/fut.70118","url":null,"abstract":"<div>\u0000 \u0000 <p>We examine day-of-the-week effects in China's SSE 50 ETF options market and uncover three main patterns. Returns are weakest in midweek and strongest on Friday; Friday and Monday returns are not significantly different; and the trough occurs on Wednesday for calls but on Tuesday for puts. These results remain after controlling for standard risk factors, volatility clustering, and COVID-19-related structural breaks. While CVIX captures the broad Friday premium, it does not explain the internal asymmetry across option types. We show that trading value is the key liquidity channel behind the anomaly: call trading reflects speculative demand, whereas put trading is more closely tied to hedging demand, and these motives follow different weekly rhythms. VAR results further indicate that high Friday trading value creates an immediate price effect and a reversal on Monday, helping explain the missing weekend effect.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 9","pages":"1501-1526"},"PeriodicalIF":2.8,"publicationDate":"2026-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148667283","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
Network-Based Stochastic Volatility Modeling for Interconnected Futures Markets 基于网络的互联期货市场随机波动率模型
IF 2.8 4区 经济学
Journal of Futures Markets Pub Date : 2026-08-04 Epub Date: 2026-07-07 DOI: 10.1002/fut.70127
Zain Ul Abideen, Kai Wu
{"title":"Network-Based Stochastic Volatility Modeling for Interconnected Futures Markets","authors":"Zain Ul Abideen,&nbsp;Kai Wu","doi":"10.1002/fut.70127","DOIUrl":"https://doi.org/10.1002/fut.70127","url":null,"abstract":"<div>\u0000 \u0000 <p>This study introduces a novel network-based stochastic volatility model for futures markets, integrating graph theory with multivariate stochastic differential equations to capture cross-asset volatility spillovers. The model incorporates the graph Laplacian into volatility dynamics, overcoming a central limitation of traditional frameworks, such as the Heston model, which treat each asset's volatility as independent or fixed, and therefore cannot capture the topology-dependent transmission of volatility across linked markets. Theoretical properties, including positivity, stationarity, and affine pricing, are established, enabling efficient Fourier-based option pricing. Applications show that sparse, high-spillover network structures amplify volatility clustering, with kurtosis of 6–8 and elevated risk premia, whereas dense network structures stabilize volatility; we interpret these polar cases as stylized representations of emerging and developed markets, an interpretation we validate against real futures data in Appendix A. The model improves pricing accuracy by 8%–12% relative to Heston and reduces hedging variance by 10%–15%. Environmental, social, and governance integration via carbon futures nodes shows that sparse (emerging-market) networks experience 6%–8% higher energy-futures volatility following carbon-price shocks than dense (developed-market) networks (3%–4%), supporting sustainable finance and risk management applications.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 9","pages":"1700-1718"},"PeriodicalIF":2.8,"publicationDate":"2026-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148667491","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
Systemic Risk Transmission to Energy Futures: Weekend Information Gaps and the Breakdown of Pricing Efficiency 能源期货的系统性风险传导：周末信息缺口与定价效率分解
IF 2.8 4区 经济学
Journal of Futures Markets Pub Date : 2026-08-04 Epub Date: 2026-07-15 DOI: 10.1002/fut.70128
Thomas Conlon, Shaen Corbet, Charles Larkin, Jose Antonio Muñiz
{"title":"Systemic Risk Transmission to Energy Futures: Weekend Information Gaps and the Breakdown of Pricing Efficiency","authors":"Thomas Conlon,&nbsp;Shaen Corbet,&nbsp;Charles Larkin,&nbsp;Jose Antonio Muñiz","doi":"10.1002/fut.70128","DOIUrl":"https://doi.org/10.1002/fut.70128","url":null,"abstract":"<p>This study examines the efficiency of systemic risk transmission to international oil futures markets by analyzing the dynamic connectedness between three distinct Common Volatility (COVOL) measures: Energy, Asset, and Country, and compares such with five major oil benchmarks. Utilizing a framework that combines TVP-VAR, EGARCH, and wavelet coherence analyses, we investigate whether nontrading weekend breaks create a structural barrier to the pricing of systemic risk. Our findings identify a significant Monday effect, characterized by a pronounced decoupling between systemic risk signals and oil futures prices. The effect is highly state-dependent: during the COVID-19 pandemic, the disconnect dissipated for Energy and Asset COVOL but intensified for Country COVOL, while geopolitical conflicts extended the breakdown of the signal into Tuesday. These results indicate a hierarchy of influence in which country-level systemic risks exert the strongest effect on oil markets.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 9","pages":"1719-1747"},"PeriodicalIF":2.8,"publicationDate":"2026-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.70128","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148667192","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
A New Analytical Approach for Pricing Variance and Volatility Swaps: Incorporating Liquidity and Self-Exciting Jumps 一种新的定价差异和波动率掉期分析方法：包括流动性和自激跳跃
IF 2.8 4区 经济学
Journal of Futures Markets Pub Date : 2026-08-04 Epub Date: 2026-06-10 DOI: 10.1002/fut.70120
Xin-Jiang He, Dong Yan, Sha Lin
{"title":"A New Analytical Approach for Pricing Variance and Volatility Swaps: Incorporating Liquidity and Self-Exciting Jumps","authors":"Xin-Jiang He,&nbsp;Dong Yan,&nbsp;Sha Lin","doi":"10.1002/fut.70120","DOIUrl":"https://doi.org/10.1002/fut.70120","url":null,"abstract":"<div>\u0000 \u0000 <p>Our investigation focuses on the valuation of variance and volatility swaps by incorporating both clustered jump behaviors and liquidity-related risk factors. The proposed modeling framework characterizes stock price movements using a jump-diffusion process, where Hawkes processes govern the jump component in the absence of liquidity effects. Stochastic liquidity is further integrated through a discount factor that modifies the underlying asset value. To preserve model generality, we introduce a complete correlation framework across all Brownian motions involved. A change of measure is applied to express the dynamics under a risk-neutral pricing measure. Subsequently, the forward characteristic function associated with the log-price is expressed analytically, enabling the derivation of closed-form swap valuation formulae. Using daily data from the Brent crude oil futures continuous contract, we calibrate relevant model parameters, providing empirical evidence supporting jump clustering. Numerical implementation of the formulae further offers insights into their sensitivity to variations in model parameters.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 9","pages":"1555-1569"},"PeriodicalIF":2.8,"publicationDate":"2026-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148667269","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
Neural Jumps for Option Pricing 期权定价的神经跳跃
IF 2.8 4区 经济学
Journal of Futures Markets Pub Date : 2026-08-04 Epub Date: 2026-06-28 DOI: 10.1002/fut.70125
Duosi Zheng, Hanzhong Guo, Yanchu Liu, Wei Huang
{"title":"Neural Jumps for Option Pricing","authors":"Duosi Zheng,&nbsp;Hanzhong Guo,&nbsp;Yanchu Liu,&nbsp;Wei Huang","doi":"10.1002/fut.70125","DOIUrl":"https://doi.org/10.1002/fut.70125","url":null,"abstract":"<div>\u0000 \u0000 <p>Motivated by the importance of jump risk in option pricing, we propose a neural jump stochastic differential equation model that integrates neural networks as parameter estimators into a conventional jump-diffusion model. To address the incompatibility between the backpropagation algorithm and the jump process, we use the Gumbel-Softmax method to obtain differentiable gradients for jump parameters. We evaluate the model on both simulated data and S&amp;P 500 index options. The results show that incorporating neural jump components substantially improves pricing accuracy relative to existing benchmark models.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 9","pages":"1660-1679"},"PeriodicalIF":2.8,"publicationDate":"2026-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148667519","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 46, Number 9, September 2026 期货市场杂志：第46卷，第9期，2026年9月
IF 2.8 4区 经济学
Journal of Futures Markets Pub Date : 2026-08-04 DOI: 10.1002/fut.70134
{"title":"Journal of Futures Markets: Volume 46, Number 9, September 2026","authors":"","doi":"10.1002/fut.70134","DOIUrl":"https://doi.org/10.1002/fut.70134","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 9","pages":"1473-1474"},"PeriodicalIF":2.8,"publicationDate":"2026-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.70134","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148667079","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
Reciprocal Return Risk Premium and Option Returns 互惠回报风险溢价和期权回报
IF 2.8 4区 经济学
Journal of Futures Markets Pub Date : 2026-08-04 Epub Date: 2026-06-18 DOI: 10.1002/fut.70122
Bowen Du
{"title":"Reciprocal Return Risk Premium and Option Returns","authors":"Bowen Du","doi":"10.1002/fut.70122","DOIUrl":"https://doi.org/10.1002/fut.70122","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper presents a robust new finding that reciprocal return risk premium, defined as the difference between the expected reciprocal of return under physical and risk-neutral measures, significantly predicts the option returns in the cross-section. Theoretical and empirical evidence underscore the pivotal role of the ex post volatility risk premium in this relation. We also find that the positive relation between reciprocal return risk premium and option return mainly resides in the <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 \u0000 <mrow>\u0000 <mi>R</mi>\u0000 \u0000 <mi>V</mi>\u0000 \u0000 <mi>I</mi>\u0000 \u0000 <msup>\u0000 <mi>X</mi>\u0000 \u0000 <mn>2</mn>\u0000 </msup>\u0000 </mrow>\u0000 </mrow>\u0000 </semantics></math> component, which is by definition a natural measure for return variation under the risk-neutral measure.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 9","pages":"1570-1606"},"PeriodicalIF":2.8,"publicationDate":"2026-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148667199","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 46, Number 9, September 2026 期货市场杂志：第46卷，第9期，2026年9月
IF 2.8 4区 经济学
Journal of Futures Markets Pub Date : 2026-08-04 DOI: 10.1002/fut.70134
{"title":"Journal of Futures Markets: Volume 46, Number 9, September 2026","authors":"","doi":"10.1002/fut.70134","DOIUrl":"https://doi.org/10.1002/fut.70134","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 9","pages":"1473-1474"},"PeriodicalIF":2.8,"publicationDate":"2026-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.70134","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148667308","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
A Comprehensive Analysis of Realized Skewness Trading 已实现偏度交易的综合分析
IF 2.8 4区 经济学
Journal of Futures Markets Pub Date : 2026-08-04 Epub Date: 2026-07-06 DOI: 10.1002/fut.70124
Xinfeng Ruan, Pakorn Aschakulporn, Jin E. Zhang
{"title":"A Comprehensive Analysis of Realized Skewness Trading","authors":"Xinfeng Ruan,&nbsp;Pakorn Aschakulporn,&nbsp;Jin E. Zhang","doi":"10.1002/fut.70124","DOIUrl":"https://doi.org/10.1002/fut.70124","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper provides a comprehensive analysis of realized skewness trading, using analytical models, simulations, and empirical evidence. We highlight the importance of matching swap rates and realized measures in variance and skewness trading. A novel approach is introduced, employing swaps tied to the second and third moments of log returns over a future period. Our findings reveal that mismatches arise primarily from realized measures rather than from stable swap rates. We further propose that short-term (e.g., 1 month) skewness swaps, based on daily returns, could serve as effective tools for managing realized jump risks.</p></div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 9","pages":"1631-1659"},"PeriodicalIF":2.8,"publicationDate":"2026-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148667219","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 Dynamic Extreme Comovement Between Options Market Ambiguity and Implied Volatility 期权市场歧义与隐含波动率的动态极值运动
IF 2.8 4区 经济学
Journal of Futures Markets Pub Date : 2026-08-04 Epub Date: 2026-06-07 DOI: 10.1002/fut.70119
Qiang Chen, Yuting Gong, Yu Han, Ying Huang
{"title":"The Dynamic Extreme Comovement Between Options Market Ambiguity and Implied Volatility","authors":"Qiang Chen,&nbsp;Yuting Gong,&nbsp;Yu Han,&nbsp;Ying Huang","doi":"10.1002/fut.70119","DOIUrl":"https://doi.org/10.1002/fut.70119","url":null,"abstract":"<div>\u0000 \u0000 <p>This study parameterizes extreme comovement between options market ambiguity (OMA) and implied volatility using the Symmetrized Joe–Clayton copula model and a recursive estimation approach. The empirical results demonstrate that acceleration in extreme comovement (AEC) contains incremental information about future market uncertainty beyond that captured by OMA and implied volatility. Both in-sample and out-of-sample predictive tests confirm that AEC anticipates impending market declines. Incorporation of this signal into investment strategies yields significantly better performance than the traditional buy-and-hold strategy and the strategies signaled by OMA and implied volatility, providing extra evidence that AEC is a leading indicator of market slumps.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 9","pages":"1527-1554"},"PeriodicalIF":2.8,"publicationDate":"2026-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148667452","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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