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Facts and Fantasies About DeFi: Lending, DEX, and Derivatives 关于DeFi的事实与幻想：借贷、DEX和衍生品
IF 2.8 4区 经济学
Journal of Futures Markets Pub Date : 2026-07-10 Epub Date: 2026-04-24 DOI: 10.1002/fut.70111
Grigoriy Korolev
{"title":"Facts and Fantasies About DeFi: Lending, DEX, and Derivatives","authors":"Grigoriy Korolev","doi":"10.1002/fut.70111","DOIUrl":"https://doi.org/10.1002/fut.70111","url":null,"abstract":"<div>\u0000 \u0000 <p>We explore the risk-return tradeoff of Decentralized Finance (DeFi). We construct three novel indices for different asset classes: Lending, Decentralized Exchanges, and Derivatives. Motivated by the cryptocurrency pricing framework of Liu and Tsyvinski, we investigate how DeFi assets comove with financial primitives. We document limited correlation with traditional equities, currencies, interest rates, and commodities. We further examine several DeFi-specific factors. Bitcoin and Ethereum returns show no significant association with subsequent DeFi returns, highlighting a decoupling between base-layer assets and application-layer protocols. Meanwhile, we find some in-sample associations with DeFi-specific factors such as momentum, investor attention, and performance of centralized platforms. A novel book-to-market ratio constructed using Total Value Locked and market capitalization does not display a systematic relationship with returns. Finally, we find only limited and sector-specific associations with traditional equity industries.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 8","pages":"1350-1379"},"PeriodicalIF":2.8,"publicationDate":"2026-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148534092","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
Futures Commission Merchants Concentration and Commodity Futures Market Microstructure: Empirical Evidence 期货监管机构集中度与商品期货市场微观结构：实证证据
IF 2.8 4区 经济学
Journal of Futures Markets Pub Date : 2026-07-10 Epub Date: 2026-05-31 DOI: 10.1002/fut.70116
Shengwu Du, Ketan Patel, Sean Wijesekera
{"title":"Futures Commission Merchants Concentration and Commodity Futures Market Microstructure: Empirical Evidence","authors":"Shengwu Du,&nbsp;Ketan Patel,&nbsp;Sean Wijesekera","doi":"10.1002/fut.70116","DOIUrl":"https://doi.org/10.1002/fut.70116","url":null,"abstract":"<div>\u0000 \u0000 <p>This study examines market concentration within the client clearing services from 2008 to 2025. Our analysis reveals a significant structural shift beginning mid-2014: large bank-affiliated Futures Commission Merchants (FCMs) have consolidated their dominance as smaller entities exit the industry, while concentration has also risen among the remaining non-bank FCMs. We investigate how these structural changes affect market dynamics, price discovery, and trader behavior across commodity futures markets. While our findings indicate no systematic market-wide effects, we document significant impacts in specific markets, particularly regarding small investor participation. Several commodity futures markets exhibit reduced small trader activity when concentration levels are higher, especially during periods of elevated volatility.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 8","pages":"1453-1469"},"PeriodicalIF":2.8,"publicationDate":"2026-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148522955","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
Equity Market Capital Gains Overhang and Crude Oil Volatility Forecasting: A Cross-Market Analysis 股票市场资本收益过剩与原油波动预测：一个跨市场分析
IF 2.8 4区 经济学
Journal of Futures Markets Pub Date : 2026-07-10 Epub Date: 2026-05-25 DOI: 10.1002/fut.70113
Xudong Cui, Pu Gong
{"title":"Equity Market Capital Gains Overhang and Crude Oil Volatility Forecasting: A Cross-Market Analysis","authors":"Xudong Cui,&nbsp;Pu Gong","doi":"10.1002/fut.70113","DOIUrl":"https://doi.org/10.1002/fut.70113","url":null,"abstract":"<div>\u0000 \u0000 <p>This study investigates whether equity market Capital Gains Overhang (CGO) contains predictive information for crude oil volatility. Using data from January 2000 to December 2024, we document that S&amp;P 500 CGO negatively predicts volatility in both WTI and Brent crude oil markets, demonstrating international cross-market predictability. Higher CGO values, reflecting substantial unrealized gains among equity investors, are associated with significantly lower subsequent oil volatility. Comprehensive out-of-sample tests show that CGO-augmented models substantially outperform autoregressive benchmarks across multiple evaluation periods. The forecasting improvements remain significant after controlling for traditional macroeconomic predictors and prove robust to alternative specifications. The predictive power persists in regime-switching frameworks, with CGO enhancing both regime. Our findings highlight the importance of international cross-market behavioral linkages for volatility forecasting and risk management in energy markets.</p></div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 8","pages":"1390-1422"},"PeriodicalIF":2.8,"publicationDate":"2026-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148534415","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
How Does Economic Policy Uncertainty Reshape Option Pricing? 经济政策不确定性如何重塑期权定价？
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2026-06-06 Epub Date: 2026-04-24 DOI: 10.1002/fut.70102
Wenting Chen, Rixiang Fei, Nana Xu, Xin-Jiang He
{"title":"How Does Economic Policy Uncertainty Reshape Option Pricing?","authors":"Wenting Chen,&nbsp;Rixiang Fei,&nbsp;Nana Xu,&nbsp;Xin-Jiang He","doi":"10.1002/fut.70102","DOIUrl":"https://doi.org/10.1002/fut.70102","url":null,"abstract":"<div>\u0000 \u0000 <p>Economic policy uncertainty (EPU) is a critical yet often neglected factor in derivatives pricing, leading to systematic biases in existing valuation frameworks. This study proposes an advanced pricing model that explicitly incorporates a stochastic EPU factor with a regime-switching long-term mean into the stochastic volatility framework. The principal theoretical contribution of this research is a closed-form analytical pricing formula for European options, which successfully overcomes the challenges of multiple stochastic factors and achieves substantial computational advantages over traditional numerical methods such as the Monte-Carlo simulation. A preliminary empirical study using SSE 50 ETF option data demonstrates the model's superior pricing performance compared to other benchmarks.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 7","pages":"1298-1311"},"PeriodicalIF":2.3,"publicationDate":"2026-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148174820","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
Intraday Liquidity in International Crude Oil Futures Markets: News Impacts, Commonality, and Spillovers 国际原油期货市场的盘中流动性：新闻影响、共性和溢出效应
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2026-06-06 Epub Date: 2026-04-14 DOI: 10.1002/fut.70106
Hong Miao, Jian Yang
{"title":"Intraday Liquidity in International Crude Oil Futures Markets: News Impacts, Commonality, and Spillovers","authors":"Hong Miao,&nbsp;Jian Yang","doi":"10.1002/fut.70106","DOIUrl":"https://doi.org/10.1002/fut.70106","url":null,"abstract":"<div>\u0000 \u0000 <p>Using tick-by-tick data, this study examines intraday liquidity of WTI, Brent, and INE crude oil futures. US EIA inventory announcements significantly affect intraday returns and, to a lesser extent, liquidity across all three markets. We document strong commonality in intraday liquidity, largely driven by supply-side factors, and find that WTI is the dominant source of liquidity spillovers, a pattern not mirrored in return spillovers. These findings highlight different mechanisms behind liquidity commonality and return comovements. The results are robust to additional control variables and alternative liquidity measures.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 7","pages":"1234-1255"},"PeriodicalIF":2.3,"publicationDate":"2026-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148174722","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
Forecasting Natural Gas Futures Price Volatility of the United States: National Versus State-Level Climate Concern Indexes 预测美国天然气期货价格波动：国家与州一级气候关注指数
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2026-06-06 Epub Date: 2026-04-21 DOI: 10.1002/fut.70108
Afees A. Salisu, Ahamuefula E. Ogbonna, Rangan Gupta, Onur Polat
{"title":"Forecasting Natural Gas Futures Price Volatility of the United States: National Versus State-Level Climate Concern Indexes","authors":"Afees A. Salisu,&nbsp;Ahamuefula E. Ogbonna,&nbsp;Rangan Gupta,&nbsp;Onur Polat","doi":"10.1002/fut.70108","DOIUrl":"https://doi.org/10.1002/fut.70108","url":null,"abstract":"<p>This paper uses GARCH-MIDAS to predict US natural gas futures volatility using national and state-level Climate Concern Indexes (CCIs). We find that both national and state-level CCIs positively affect price volatility. Notably, models using state-level data—specifically those utilizing least-squares (LS) weighting combinations—surpass the GARCH-MIDAS-GECON benchmark and models relying solely on national CCI. These findings deliver substantial statistical and economic utility gains. Our results underscore the importance of incorporating heterogeneous climate concerns across US states to capture varied demand-supply conditions when forecasting energy market volatility.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 7","pages":"1275-1297"},"PeriodicalIF":2.3,"publicationDate":"2026-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.70108","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148174817","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 46, Number 7, July 2026 期货市场杂志：第46卷，第7期，2026年7月
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2026-06-06 DOI: 10.1002/fut.70121
{"title":"Journal of Futures Markets: Volume 46, Number 7, July 2026","authors":"","doi":"10.1002/fut.70121","DOIUrl":"https://doi.org/10.1002/fut.70121","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 7","pages":""},"PeriodicalIF":2.3,"publicationDate":"2026-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.70121","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148174488","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
Fund Extreme Performance and Heterogeneous Investor Choice: Evidence From Smart Beta ETFs 基金极端表现与异质投资者选择：来自Smart Beta etf的证据
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2026-06-06 Epub Date: 2026-04-14 DOI: 10.1002/fut.70105
Xiaoqun Liu, Youcong Chao, Yihao Huang, Hangjian Yu
{"title":"Fund Extreme Performance and Heterogeneous Investor Choice: Evidence From Smart Beta ETFs","authors":"Xiaoqun Liu,&nbsp;Youcong Chao,&nbsp;Yihao Huang,&nbsp;Hangjian Yu","doi":"10.1002/fut.70105","DOIUrl":"https://doi.org/10.1002/fut.70105","url":null,"abstract":"<div>\u0000 \u0000 <p>This study investigates how extreme return components (<i>MAXs</i>) of smart beta exchange-traded funds (ETFs) influence heterogeneous investor choice. We find that extreme overnight returns (overnight <i>MAXs</i>) have substantial ETFs' flow predictability above and beyond that provided by standard risk, performance, and market-timing measures. This suggests that individual investors tend to choose funds based on historical overnight <i>MAXs</i>. The persistence of overnight <i>MAXs</i> supports the lottery preference theory, which posits that retail investors disproportionately focus on the likelihood of high payoff states in a fund's past return distribution. Furthermore, we demonstrate that overnight and intraday <i>MAXs</i> negatively and positively predict future smart beta ETFs' performance, respectively. This divergence indicates that heterogeneous investors hold varying beliefs and employ distinct trading activities with respect to those lottery-like fund return distributions. Finally, we show that investor attention is beneficial to explain our findings.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 7","pages":"1213-1233"},"PeriodicalIF":2.3,"publicationDate":"2026-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148174716","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
Trader Attention and Market Reaction to Fundamental News: Evidence From Natural Gas Futures 交易者关注和市场对基本面新闻的反应：来自天然气期货的证据
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2026-06-06 Epub Date: 2026-04-02 DOI: 10.1002/fut.70104
Chen Gu, Alexander Kurov, Raluca Stan
{"title":"Trader Attention and Market Reaction to Fundamental News: Evidence From Natural Gas Futures","authors":"Chen Gu,&nbsp;Alexander Kurov,&nbsp;Raluca Stan","doi":"10.1002/fut.70104","DOIUrl":"https://doi.org/10.1002/fut.70104","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper examines the effect of trader attention on the response of the natural gas market to weekly US Energy Information Administration announcements regarding changes in natural gas inventories. We find that lower trader attention hinders price discovery in the natural gas futures market. Based on our daily regression estimates, the market responds 74% weaker to inventory announcements released on Fridays, compared to those released on Thursdays. We attribute the findings to lower trader attention in the natural gas market on Fridays compared to other weekdays. The results remain robust after controlling for the withdrawal and injection seasons in the natural gas market.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 7","pages":"1171-1181"},"PeriodicalIF":2.3,"publicationDate":"2026-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148173682","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 Report Text Sentiment and Returns 商品期货报告文本情绪和回报
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2026-06-06 Epub Date: 2026-04-06 DOI: 10.1002/fut.70090
Qian Han, Pei-lin Hsieh, Lu Zhang
{"title":"Commodity Futures Report Text Sentiment and Returns","authors":"Qian Han,&nbsp;Pei-lin Hsieh,&nbsp;Lu Zhang","doi":"10.1002/fut.70090","DOIUrl":"https://doi.org/10.1002/fut.70090","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper investigates how textual sentiment in analyst research reports influences commodity futures returns in China. Using the Natural Language Processing and Information Retrieval platform to analyze a comprehensive sample of reports from 2016 to 2021, we construct sentiment indices for 37 commodity futures across agriculture, metals, chemicals, and energy sectors. Our results show that text sentiment significantly explains both contemporaneous and future returns, with negative sentiment having a stronger impact. Increased optimism is associated with higher contemporaneous returns through investor sentiment and attention channels, especially for future contracts with low open interest growth, low volatility, a contango market (futures premium), and high basis-momentum. We document heterogeneous results for subsequent returns and the three main risk premium factors. The findings remain robust after controlling for established pricing factors and macroeconomic variables. This study highlights the informational value of analyst sentiment, filling a gap in text sentiment research within the commodity futures market and offering insights for investors and policymakers.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 7","pages":"1182-1212"},"PeriodicalIF":2.3,"publicationDate":"2026-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148174382","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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