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Geopolitical Risk and Extreme Risk Connectedness Among Energy and Other Strategic Commodities: Fresh Sight Using the High-Dimensional CoVaR Model 能源和其他战略商品之间的地缘政治风险和极端风险关联性：使用高维 CoVaR 模型的新视角
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-08-05 DOI: 10.1002/fut.22548
Qingying Zheng, Jintao Wu, Boqiang Lin
{"title":"Geopolitical Risk and Extreme Risk Connectedness Among Energy and Other Strategic Commodities: Fresh Sight Using the High-Dimensional CoVaR Model","authors":"Qingying Zheng,&nbsp;Jintao Wu,&nbsp;Boqiang Lin","doi":"10.1002/fut.22548","DOIUrl":"10.1002/fut.22548","url":null,"abstract":"<div>\u0000 \u0000 <p>Existing studies on commodity market risk spillovers recognize the pivotal role of geopolitical risk (GPR), but scarcely address how it drives tail risk spillover networks. This study adopts the Tail-Event driven NETwork methodology to explore high-dimensional Conditional Value at Risk (CoVaR) spillovers within energy and other strategic commodity markets. Our findings indicate that (1) In both lower and upper tail networks, metal and food commodities primarily act as net risk transmitters, whereas energy commodities are mainly net risk receivers. Additionally, these roles undergo short-term reversals during periods of heightened market uncertainty. (2) There exists an asymmetrical pattern of CoVaR co-movements in these commodity markets. The total connectedness (TC) in both the upper and lower tails demonstrates distinct responses to various extreme events. GPR tends to weaken the lower tail TC and strengthen the upper tail. (3) Incorporating GPR substantially improves the effectiveness of Minimum Connectedness Portfolio (MCoP) for these strategic commodities.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 11","pages":"1787-1806"},"PeriodicalIF":1.8,"publicationDate":"2024-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141931956","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
Extreme Risk Spillovers From US Soybean Futures Market to China's Soybean-Linked Futures Markets 从美国大豆期货市场到中国大豆相关期货市场的极端风险溢出效应
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-08-05 DOI: 10.1002/fut.22542
SiSi Qin, Wee-Yeap Lau
{"title":"Extreme Risk Spillovers From US Soybean Futures Market to China's Soybean-Linked Futures Markets","authors":"SiSi Qin,&nbsp;Wee-Yeap Lau","doi":"10.1002/fut.22542","DOIUrl":"https://doi.org/10.1002/fut.22542","url":null,"abstract":"<div>\u0000 \u0000 <p>This study investigates the cross-border risk spillovers between the US soybean futures market and Chinese soybean-related futures markets. We first confirm the existence of strong tail dependence between US soybean futures and four Chinese soybean-related futures by conducting a novel quantile-Granger causality test. Second, tests under MVMQ-CAViaR further provide evidence of risk spillovers from CBOT soybean futures to the DCE No.1 soybean, No.2 soybean, soybean meal, and soybean oil futures in value-at-risk at different quantiles. Lastly, results from the quantile impulse-response function reveal the time-varying and asymmetric property of risk spillover effects. In addition, we compare the results from two subsample periods and identify different risk spillover effects across markets at different quantiles that may contribute to the investors' decision-making under extreme market conditions.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 11","pages":"1735-1749"},"PeriodicalIF":1.8,"publicationDate":"2024-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142435065","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
Unveiling Mispricing Risks: Nonlarge Homogeneous Portfolio Factor Copula Models for Enhanced Valuation of Subordinated Loan Securitization 揭示错误定价风险：增强次级贷款证券化估值的非大型同质组合因子 Copula 模型
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-08-05 DOI: 10.1002/fut.22535
Sung Ik Kim
{"title":"Unveiling Mispricing Risks: Nonlarge Homogeneous Portfolio Factor Copula Models for Enhanced Valuation of Subordinated Loan Securitization","authors":"Sung Ik Kim","doi":"10.1002/fut.22535","DOIUrl":"10.1002/fut.22535","url":null,"abstract":"<p>This paper presents an innovative factor copula model for collateralized loan obligation (CLO) tranche valuation, incorporating non-Gaussian distributions and dynamic correlations without relying on the large homogeneous portfolio (LHP) assumption. Through numerical analyses and comparisons with LHP models, I find that non-LHP models produce higher tranche spreads, especially for lower-rated tranches. Sensitivity analysis reveals varying sensitivities to changes in the number of collaterals, risk-free rate, average collateral ratings, recovery rates, and time to maturity. The non-LHP one-factor copula models, including stochastic correlation and random factor loading models, outperform LHP models in root mean squared errors when calibrated to market data. The results underscore the importance of considering model limitations in CLO tranche pricing and highlight potential mispricing of spread risk in higher-rated tranches using LHP models. The proposed models contribute to a more comprehensive understanding of CLO tranche pricing by accounting for various factors and assumptions influencing fair premiums.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 10","pages":"1710-1732"},"PeriodicalIF":1.8,"publicationDate":"2024-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141932084","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
Functional Oil Price Expectations Shocks and Inflation 功能性油价预期冲击与通货膨胀
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-07-23 DOI: 10.1002/fut.22540
Christina Anderl, Guglielmo Maria Caporale
{"title":"Functional Oil Price Expectations Shocks and Inflation","authors":"Christina Anderl,&nbsp;Guglielmo Maria Caporale","doi":"10.1002/fut.22540","DOIUrl":"10.1002/fut.22540","url":null,"abstract":"<p>This paper investigates the inflation effects of oil price expectations shocks constructed as functional shocks, that is, as shifts in the entire oil futures term structure (both standard and risk-adjusted). The latter are then included in a vector autoregressive model with exogenous variables (VARX) to examine the US case. Counterfactual analysis is also carried out to investigate second-round effects on inflation through the inflation expectations channel. These are found to be significant, in contrast to earlier studies based on standard oil price shocks. Additional nonlinear local projections including a shock decomposition exercise show that inflation and inflation expectations are primarily driven by changes in the curvature (level and slope) factor when the latter are anchored (unanchored). These findings provide useful information to policymakers concerning the impact of oil price expectations on inflation and inflation expectations.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 10","pages":"1662-1693"},"PeriodicalIF":1.8,"publicationDate":"2024-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22540","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141779854","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
Commodity Futures Market Conditions and Climate Policy Risk: Evidence From Energy and Metals Markets 商品期货市场状况与气候政策风险：来自能源和金属市场的证据
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-07-23 DOI: 10.1002/fut.22544
Kingsley E. Dogah, Yingying Wu, Lavinia Rognone
{"title":"Commodity Futures Market Conditions and Climate Policy Risk: Evidence From Energy and Metals Markets","authors":"Kingsley E. Dogah,&nbsp;Yingying Wu,&nbsp;Lavinia Rognone","doi":"10.1002/fut.22544","DOIUrl":"10.1002/fut.22544","url":null,"abstract":"<div>\u0000 \u0000 <p>This study investigates the impact of climate policy uncertainty (CPU) on energy and metal commodity futures markets by employing quantile regression, which accounts for various (bearish, normal, and bullish) markets. Our results reveal that the impact of CPU shocks is heterogeneous and market condition-specific. Particularly, CPU exerts a significantly negative effect on all commodities, except natural gas, in a bearish market. Under a normal market, the impact of CPU on energy returns varies across commodities whereas for a bullish market, the CPU effect is mixed. The results also reveal natural gas to be a good hedge instrument for climate policy risk. We further conducted channel analysis using the theory of storage and hedging pressure hypothesis. The key finding reveals inventory level as the transmission channel of climate policy risk. Our findings have implications for the inventory management strategies of producers and suggest that regulators should consider market-based policies in their decarbonization efforts.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 10","pages":"1694-1709"},"PeriodicalIF":1.8,"publicationDate":"2024-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141779853","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
Optimizing Genetic Algorithm With Momentum Strategy for Technical Trading Rules: Evidence From Futures Markets 用动量策略优化遗传算法的技术交易规则：来自期货市场的证据
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-07-18 DOI: 10.1002/fut.22543
Shihan Li, Shuyao Li, Qingfu Liu, Yiuman Tse
{"title":"Optimizing Genetic Algorithm With Momentum Strategy for Technical Trading Rules: Evidence From Futures Markets","authors":"Shihan Li,&nbsp;Shuyao Li,&nbsp;Qingfu Liu,&nbsp;Yiuman Tse","doi":"10.1002/fut.22543","DOIUrl":"10.1002/fut.22543","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper introduces an innovative genetically optimized dynamic composite strategy for achieving profitability in futures markets. Utilizing daily data from 35 actively traded futures contracts (1984–2022), we highlight the potential advantages of integrating the momentum effect into dynamic moving average strategies. This enhancement can boost the strategy's capability to capture and capitalize on market trends, ensuring consistent and stable returns. The developed dynamically composite technical trading strategy aspires to be a valuable reference for investors and the finance academic community, contributing to advancements in the field.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 10","pages":"1640-1661"},"PeriodicalIF":1.8,"publicationDate":"2024-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141739248","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
Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID-19 Pandemic and the Russia–Ukraine War 动态回报关联性：COVID-19 大流行和俄乌战争期间的投资组合对冲影响
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-07-18 DOI: 10.1002/fut.22539
Ghulame Rubbaniy, Ali Awais Khalid, Konstantinos Syriopoulos, Efstathios Polyzos
{"title":"Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID-19 Pandemic and the Russia–Ukraine War","authors":"Ghulame Rubbaniy,&nbsp;Ali Awais Khalid,&nbsp;Konstantinos Syriopoulos,&nbsp;Efstathios Polyzos","doi":"10.1002/fut.22539","DOIUrl":"10.1002/fut.22539","url":null,"abstract":"<div>\u0000 \u0000 <p>We apply a Time-Varying Parameter Vector Auto Regressive (TVP-VAR) connectedness approach on global assets to investigate time-varying dynamic connectedness, portfolio performance, and hedge effectiveness during COVID-19 and the Russia–Ukraine war. With increased connectedness and the changing role of energy and soft commodities during these two events, we find the minimum correlation (connectedness) portfolio performing better during COVID-19 and the Russia–Ukraine war and that cumulative returns of portfolios are higher during COVID-19. Additionally, we find varying (stable) hedge effectiveness of equity market indices and soft commodities (cryptocurrencies). This paper provides specific insights to investors about using optimal portfolios and hedging during pandemics and military conflicts.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 10","pages":"1613-1639"},"PeriodicalIF":1.8,"publicationDate":"2024-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141739247","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
Functional Volatility Relationship Analysis and Prediction in International Crude Oil Futures Markets 国际原油期货市场的功能波动关系分析与预测
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-07-14 DOI: 10.1002/fut.22538
Hao Sun, Xiaodong Li, Zhouzhi Li, Qifeng Fu
{"title":"Functional Volatility Relationship Analysis and Prediction in International Crude Oil Futures Markets","authors":"Hao Sun,&nbsp;Xiaodong Li,&nbsp;Zhouzhi Li,&nbsp;Qifeng Fu","doi":"10.1002/fut.22538","DOIUrl":"10.1002/fut.22538","url":null,"abstract":"<div>\u0000 \u0000 <p>To measure intraday volatility in international crude oil futures markets, we use the functional conditional variance to measure volatility and focus on volatility relationship analysis and prediction. This paper analyzes the simultaneous and predictive volatility relationships in crude oil futures markets. For covariate markets with significantly positive predictive volatility relationships, this paper empirically extends the fGARCH-X model so that it can introduce the volatility characteristics of covariate markets. The empirical application shows that using the fGARCH-X model can generally improve the predictive effects of functional volatility in crude oil futures markets. The robustness results indicate that the improvement in volatility prediction is significant. This study is beneficial for the stable development of international crude oil futures markets and is valuable for investors' investment decision-making.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 10","pages":"1581-1612"},"PeriodicalIF":1.8,"publicationDate":"2024-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141649480","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
Option-Implied Ambiguity and Equity Return Predictability 期权隐含模糊性与股票回报可预测性
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-07-11 DOI: 10.1002/fut.22530
Yanchu Liu, Chen Liu, Yiyao Chen, Xianming Sun
{"title":"Option-Implied Ambiguity and Equity Return Predictability","authors":"Yanchu Liu,&nbsp;Chen Liu,&nbsp;Yiyao Chen,&nbsp;Xianming Sun","doi":"10.1002/fut.22530","DOIUrl":"10.1002/fut.22530","url":null,"abstract":"<div>\u0000 \u0000 <p>We propose a model-guided option-implied ambiguity measure to capture uncertainty regarding the return distribution of a risky asset underlying a set of options, and investigate its predictive power on the asset return. A representative investor's ambiguous beliefs or prior distributions on the underlying asset returns are extracted from the market prices of options, the expected volatility of which is then defined as the option-implied ambiguity and is calculated in line with Brenner and Izhakian. Simulated paths of the calibrated models are utilized to compute all pertinent probability characteristics from a forward-looking perspective. The empirical results with SSE 50 ETF options indicate that the proposed option-implied ambiguity has strong predictive power for future returns of SSE 50 ETF. Out-of-sample tests also verify the significant predictive ability of the option-implied ambiguity to the equity returns.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 9","pages":"1556-1577"},"PeriodicalIF":1.8,"publicationDate":"2024-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141609610","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 8, August 2024 期货市场期刊》：第 44 卷第 8 号，2024 年 8 月
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-07-08 DOI: 10.1002/fut.22434
{"title":"Journal of Futures Markets: Volume 44, Number 8, August 2024","authors":"","doi":"10.1002/fut.22434","DOIUrl":"https://doi.org/10.1002/fut.22434","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 8","pages":"1293"},"PeriodicalIF":1.8,"publicationDate":"2024-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22434","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141561147","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
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