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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
Systemic Credit Risk Premium: Insights From Credit Derivatives Markets 系统性信用风险溢价：来自信用衍生品市场的洞察
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-07-01 DOI: 10.1002/fut.70003
Kiwoong Byun, Baeho Kim, Dong Hwan Oh
{"title":"Systemic Credit Risk Premium: Insights From Credit Derivatives Markets","authors":"Kiwoong Byun,&nbsp;Baeho Kim,&nbsp;Dong Hwan Oh","doi":"10.1002/fut.70003","DOIUrl":"https://doi.org/10.1002/fut.70003","url":null,"abstract":"<p>This study examines the market-implied premiums for bearing systemic credit risk by analyzing credit derivatives on the CDX North American Investment Grade portfolio from September 2005 to March 2021. We construct <i>systemic credit risk premium</i> (SCRP) as the difference between the observed prices of multiname super-senior tranches and their synthetic counterparts valued from historical asset correlations implied by single-name Credit Default Swap spreads. Our findings show that the fitted SCRP surged during the 2007–2009 financial crisis, remained stable for a period, declined gradually after 2016, and spiked again during the COVID-19 shock. The empirical analysis highlights that the estimated SCRP has significant implications for asset pricing, particularly in affecting investment opportunities for US stock investors during periods of financial instability.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 9","pages":"1448-1465"},"PeriodicalIF":2.3,"publicationDate":"2025-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.70003","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144811221","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
Hedging Climate Change News With Commodity Futures: An Index-Tracking Approach 用商品期货对冲气候变化新闻：一种指数跟踪方法
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-06-22 DOI: 10.1002/fut.70005
Tong Fang, Libo Yin
{"title":"Hedging Climate Change News With Commodity Futures: An Index-Tracking Approach","authors":"Tong Fang,&nbsp;Libo Yin","doi":"10.1002/fut.70005","DOIUrl":"https://doi.org/10.1002/fut.70005","url":null,"abstract":"<div>\u0000 \u0000 <p>We propose and implement a trading strategy based on the index-tracking approach to build portfolios that hedge climate risk using commodity futures. We consider the climate change news index of Engle et al. to derive the hedge target. The empirical results suggest that the index-tracking approach performs well in constructing climate change hedge portfolios. The short-selling constraint enhances the out-of-sample hedge performance due to the alleviation of overfitting. The hedge performance indicates that commodity futures could be effective tools for hedging climate risk. We further reveal the heterogeneous roles of commodity futures in hedging climate risk. Our work provides an effective strategy for constructing climate change hedge portfolios and highlights the important and potential role of commodity futures in the era of climate change.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 9","pages":"1361-1387"},"PeriodicalIF":2.3,"publicationDate":"2025-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144809261","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 Role of Speculators in the Crude Oil Futures Market: Risk Sharing or Risk Taking 投机者在原油期货市场中的作用：风险分担还是风险承担
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-06-15 DOI: 10.1002/fut.22613
Chuang Chen, Dan Yu
{"title":"The Role of Speculators in the Crude Oil Futures Market: Risk Sharing or Risk Taking","authors":"Chuang Chen,&nbsp;Dan Yu","doi":"10.1002/fut.22613","DOIUrl":"https://doi.org/10.1002/fut.22613","url":null,"abstract":"<div>\u0000 \u0000 <p>This study examines the differing roles played by financial speculators in the short- and long-term trading within the crude oil futures market. Inspired by microstructure theory, we utilize the predictability of crude oil futures returns to infer whether speculators in different periods act as risk sharers or risk takers. Our research finds that in the long term, speculators receive a risk premium from hedgers for providing price insurance, but due to frequent short-term trading, speculators also have to pay a liquidity premium. Specifically, impatient speculators pay higher costs for short-term liquidity demands than the long-term speculative incentives they receive from hedgers. Additionally, we find heterogeneous information focuses and time-varying risk appetite within speculator groups. These divergences motivate institutional speculators to exit the market earlier during financial crises, while small speculators sustain hedging functions through persistent participation.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 9","pages":"1343-1360"},"PeriodicalIF":2.3,"publicationDate":"2025-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144809243","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
Why Do HFTs Use the Futures Market 高频交易者为何利用期货市场
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-06-15 DOI: 10.1002/fut.22616
Anirban Banerjee, Ashok Banerjee
{"title":"Why Do HFTs Use the Futures Market","authors":"Anirban Banerjee,&nbsp;Ashok Banerjee","doi":"10.1002/fut.22616","DOIUrl":"https://doi.org/10.1002/fut.22616","url":null,"abstract":"<div>\u0000 \u0000 <p>This study attempts to investigate the economic motivation of high-frequency traders (HFTs) to use single-stock futures (SSFs) contracts. Using a novel intraday data set from the largest exchange of SSFs, with identifiers for algorithmic traders, we attempt to disentangle the hedging and information-based trading motivations of HFTs in using this market. We find that hedging is the primary motivation for HFTs to use the futures market. We also find that the regulatory change of upward revision of the minimum contract size in the derivative market made it more difficult for the HFTs to use the futures to hedge their spot market exposure effectively.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 9","pages":"1134-1153"},"PeriodicalIF":2.3,"publicationDate":"2025-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144811007","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 Silent Disco—Speculation in Bearish Commodity Markets and the Role of Liquidity 看跌商品市场中无声的迪斯科投机和流动性的作用
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-06-11 DOI: 10.1002/fut.22611
Chanaka N. Ganepola, Beyza Mina Ordu-Akkaya
{"title":"The Silent Disco—Speculation in Bearish Commodity Markets and the Role of Liquidity","authors":"Chanaka N. Ganepola,&nbsp;Beyza Mina Ordu-Akkaya","doi":"10.1002/fut.22611","DOIUrl":"https://doi.org/10.1002/fut.22611","url":null,"abstract":"<p>This paper analyzes the possibility of speculative traders influencing the prices of commodity futures in the presence of liquidity constraints. We identify phases of price explosiveness following Phillips, Shi, and Yu and use a series of multinomial logistic models to analyze the influence of speculators on the probability of these explosive price episodes. We find that speculators taking short positions tend to increase the likelihood of negative price explosiveness in most commodities, while those with long positions often reduce the chance of positive price explosions. We also find that the probability of negative price explosiveness is more sensitive to the net short positions held by money managers when both market and funding liquidity are constrained.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 9","pages":"1100-1133"},"PeriodicalIF":2.3,"publicationDate":"2025-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22611","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144809252","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
Why Don't Farmers Use Futures and Options for Hedging? An Examination of Historical Basis Risk and Cash Constraints 为什么农民不使用期货和期权进行对冲？历史基差风险和现金约束的检验
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-06-11 DOI: 10.1002/fut.22610
Daniel L. Prager, Christopher B. Burns, Ryan Williams
{"title":"Why Don't Farmers Use Futures and Options for Hedging? An Examination of Historical Basis Risk and Cash Constraints","authors":"Daniel L. Prager,&nbsp;Christopher B. Burns,&nbsp;Ryan Williams","doi":"10.1002/fut.22610","DOIUrl":"https://doi.org/10.1002/fut.22610","url":null,"abstract":"<div>\u0000 \u0000 <p>Agricultural producers face significant price risk, yet studies consistently find farmers use futures and options much less than predicted by optimal hedging models. Using nationally representative farm-level data, we investigate two underexplored factors that can affect the use of exchange-traded derivatives: historical basis risk and cash constraints. We show that corn and soybean farms located in counties that experienced a large, negative change in the corn basis between planting and harvest (a <i>negative basis shock</i>) in the last 5 years are less likely to use futures contracts (6–12 percentage points) and options contracts (3–18 percentage points), but have a greater likelihood of marketing contract use (14–24 percentage points). We also find that farms with greater cash constraints (<i>lower cash holdings</i>) are less likely to use futures and options. We show that crop insurance, storage, and cooperative membership are complementary when using futures and options.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 9","pages":"1324-1342"},"PeriodicalIF":2.3,"publicationDate":"2025-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144809253","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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