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Investor Sentiment, Unexpected Inflation, and Bitcoin Basis Risk 投资者情绪、意外通胀和比特币基础风险
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-08-12 DOI: 10.1002/fut.22541
Thomas Conlon, Shaen Corbet, Les Oxley
{"title":"Investor Sentiment, Unexpected Inflation, and Bitcoin Basis Risk","authors":"Thomas Conlon,&nbsp;Shaen Corbet,&nbsp;Les Oxley","doi":"10.1002/fut.22541","DOIUrl":"10.1002/fut.22541","url":null,"abstract":"<p>The introduction of regulated CME futures contracts on Bitcoin in 2017 raised an expectation that cryptocurrencies would become part of mainstream financial markets. This also heightened links between traditional markets and Bitcoin, implying that the cryptocurrency would be subject to systematic spillovers. This paper uses high-frequency data to examine whether Bitcoin basis risk is linked to investor sentiment from established financial markets. Our findings indicate that extreme investor sentiment, as reflected by the tail risk in various volatility indices, including the VIX, consistently correlates with a negative Bitcoin basis, where Bitcoin futures prices are lower than spot prices. Fluctuations significantly influence this relationship in the trading volume of Bitcoin futures and are more pronounced during periods of substantial unexpected inflation and deflation. These results underline the complex dynamics between market sentiment and cryptocurrency pricing, offering insights with substantial implications for investors and policymakers.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 11","pages":"1807-1831"},"PeriodicalIF":1.8,"publicationDate":"2024-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22541","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142178799","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
Journal of Futures Markets: Volume 44, Number 9, September 2024 期货市场期刊》：第 44 卷第 9 号，2024 年 9 月
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-08-07 DOI: 10.1002/fut.22435
{"title":"Journal of Futures Markets: Volume 44, Number 9, September 2024","authors":"","doi":"10.1002/fut.22435","DOIUrl":"10.1002/fut.22435","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 9","pages":"1463"},"PeriodicalIF":1.8,"publicationDate":"2024-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22435","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141931954","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
Asymptotic Dependence and Its Impact on Hedging Effectiveness: An Examination of Stock, Currency, and Commodity Futures 渐近依赖性及其对套期保值有效性的影响：股票、货币和商品期货研究
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-08-05 DOI: 10.1002/fut.22546
Udayan Sharma, Madhusudan Karmakar
{"title":"Asymptotic Dependence and Its Impact on Hedging Effectiveness: An Examination of Stock, Currency, and Commodity Futures","authors":"Udayan Sharma,&nbsp;Madhusudan Karmakar","doi":"10.1002/fut.22546","DOIUrl":"10.1002/fut.22546","url":null,"abstract":"<div>\u0000 \u0000 <p>This study measures the asymptotic dependence between spot and futures losses and investigates its impact on hedging effectiveness using data from stock, currency, and commodity markets. The findings reveal that stock futures contracts show strong asymptotic dependence, while currency futures have weak asymptotic dependence and most commodity futures lack asymptotic dependence with the underlying spots. Further, stock futures have the highest hedging effectiveness, while commodity and currency futures show low hedging effectiveness for downside risk. Results also suggest that asymptotic dependence is critical for minimum-variance hedging. Asymptotic dependence increases with the hedging horizon, leading to a better hedging performance of the futures. It also appears that the hedging strategies sensitive to asymptotic dependence perform better than the competing models. The results for the entire period and the subsample periods offer similar conclusions.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 11","pages":"1750-1786"},"PeriodicalIF":1.8,"publicationDate":"2024-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141931955","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
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
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