发布求助
文献互助 智能选刊 最新文献

Journal of Futures Markets最新文献

筛选
英文 中文
Trading commodity ETFs: Price behavior, investment insights, and performance analysis 商品 ETF 交易：价格行为、投资见解和绩效分析
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-04-16 DOI: 10.1002/fut.22509
Elroi Hadad, Davinder Malhotra, Srinivas Nippani
{"title":"Trading commodity ETFs: Price behavior, investment insights, and performance analysis","authors":"Elroi Hadad,&nbsp;Davinder Malhotra,&nbsp;Srinivas Nippani","doi":"10.1002/fut.22509","DOIUrl":"10.1002/fut.22509","url":null,"abstract":"<p>This study analyzes the risk-adjusted performance of commodity exchange-traded funds (ETFs) across diverse market conditions. Examining monthly returns from December 2004 to June 2022, our findings suggest that commodity ETFs underperformed US stocks, indicating limited diversification benefits. However, we document positive <i>α</i> during turbulent market periods like the COVID-19 crisis, signifying potential resilience. Furthermore, our factor regressions reveal that shifts in the global commodity price index and disposable personal income significantly influence commodity ETFs' excess returns, pointing to broader economic and income-related trends. Commodity ETFs exhibit lower Value-at-Risk and Expected Shortfall compared to stock market indices, indicating reduced downside risk exposure for investors. Given the increasing popularity of commodity ETFs, these insights hold substantial significance for market participants.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 7","pages":"1257-1276"},"PeriodicalIF":1.9,"publicationDate":"2024-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22509","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140568368","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
Corporate credit default swap systematic factors 企业信用违约掉期系统性因素
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-04-16 DOI: 10.1002/fut.22505
Ka Kei Chan, Ming-Tsung Lin, Qinye Lu
{"title":"Corporate credit default swap systematic factors","authors":"Ka Kei Chan,&nbsp;Ming-Tsung Lin,&nbsp;Qinye Lu","doi":"10.1002/fut.22505","DOIUrl":"10.1002/fut.22505","url":null,"abstract":"<p>We examine a comprehensive set of systematic and firm-specific determinants of the credit default swap (CDS), using a two-step approach to explore the factor's effect on CDS spread changes. We show that systematic factors are important and account for the most changes in the CDS spreads (with average <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 \u0000 <mrow>\u0000 <msup>\u0000 <mi>R</mi>\u0000 \u0000 <mn>2</mn>\u0000 </msup>\u0000 </mrow>\u0000 </mrow>\u0000 <annotation> ${R}^{2}$</annotation>\u0000 </semantics></math> of 35%), while firm-specific factors are limited (with <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 \u0000 <mrow>\u0000 <msup>\u0000 <mi>R</mi>\u0000 \u0000 <mn>2</mn>\u0000 </msup>\u0000 </mrow>\u0000 </mrow>\u0000 <annotation> ${R}^{2}$</annotation>\u0000 </semantics></math> of 5% in panel regression) with only 4 out of 28 firm-specific factors being significant. It implies that the systematic factors are overlooked in the literature, and they can provide many implications for practitioners in CDS pricing and the firm's credit risk management.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 7","pages":"1224-1256"},"PeriodicalIF":1.9,"publicationDate":"2024-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22505","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140568356","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
VIX option pricing through nonaffine GARCH dynamics and semianalytical formula 通过非参数 GARCH 动力学和半解析公式为 VIX 期权定价
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-04-16 DOI: 10.1002/fut.22504
Junting Liu, Qi Wang, Yuanyuan Zhang
{"title":"VIX option pricing through nonaffine GARCH dynamics and semianalytical formula","authors":"Junting Liu,&nbsp;Qi Wang,&nbsp;Yuanyuan Zhang","doi":"10.1002/fut.22504","DOIUrl":"10.1002/fut.22504","url":null,"abstract":"<p>This paper develops analytical approximations for volatility index (VIX) option pricing under nonaffine generalized autoregressive conditional heteroskedasticity (GARCH) models as advocated by Christoffersen et al. We obtain the approximation formulae for pricing VIX options and then evaluate their performance with three expansions under four empirically well-tested models. Our numerical experiments find that the weighted <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 \u0000 <mrow>\u0000 <msup>\u0000 <mi>ℒ</mi>\u0000 \u0000 <mn>2</mn>\u0000 </msup>\u0000 </mrow>\u0000 </mrow>\u0000 <annotation> ${{rm{ {mathcal L} }}}^{2}$</annotation>\u0000 </semantics></math> expansion generated by the fat-tailed weighting kernel can significantly reduce approximation error over the Gram-Charlier expansion; the Taylor expansion of conditional moments can lead to divergence for parameters with certain high persistence in the affine GARCH, nonlinear asymmetric GARCH, and Glosten-Jagannathan-Runkle GARCH models, while surviving during high persistence in the exponential GARCH.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 7","pages":"1189-1223"},"PeriodicalIF":1.9,"publicationDate":"2024-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140568591","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
Exploring the unpredictable nature of climate policy uncertainty: An empirical analysis of its impact on commodity futures returns in the United States 探索气候政策不确定性的不可预测性：气候政策不确定性对美国商品期货收益影响的实证分析
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-04-16 DOI: 10.1002/fut.22510
Chia-Hsien Tang, Yen-Hsien Lee, Hung-Chun Liu, Guan-Gzhe Zeng
{"title":"Exploring the unpredictable nature of climate policy uncertainty: An empirical analysis of its impact on commodity futures returns in the United States","authors":"Chia-Hsien Tang,&nbsp;Yen-Hsien Lee,&nbsp;Hung-Chun Liu,&nbsp;Guan-Gzhe Zeng","doi":"10.1002/fut.22510","DOIUrl":"10.1002/fut.22510","url":null,"abstract":"<p>This study offers a nuanced examination of the interplay between climate policy uncertainty (CPU) and three categories of the US commodity futures returns (metals, energy, and soft commodities). By integrating a regression framework with a Markov regime-switching approach, our results uncover both linear and nonlinear effects of CPU in varying volatility contexts. This comprehensive methodological approach sheds light on CPU's diverse impacts across various types of commodity futures. The findings illustrate CPU's notable influence on metal and energy futures in low-volatility regime, contrasted with its more pronounced effect on soft commodities during high-volatility regime. These insights are pivotal for investors strategizing in light of CPU, and underscore the significance of renewable energy in alleviating climate policy uncertainties within commodity markets.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 7","pages":"1277-1292"},"PeriodicalIF":1.9,"publicationDate":"2024-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140568359","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 pricing with dynamic conditional skewness 具有动态条件偏度的期权定价
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-04-15 DOI: 10.1002/fut.22501
Fang Liang, Lingshan Du
{"title":"Option pricing with dynamic conditional skewness","authors":"Fang Liang,&nbsp;Lingshan Du","doi":"10.1002/fut.22501","DOIUrl":"10.1002/fut.22501","url":null,"abstract":"<p>In this paper, we develop a discrete-time affine option-pricing model that explicitly incorporates the dynamics of conditional skewness. The new proposed model features different dynamics for conditional skewness and variance. To stress the difference in information, we use alternative realized measures constructed from high-frequency historical returns to update skewness and variance dynamics. By Fourier inversion, we derive closed-form option valuation formulas. Empirically, the flexibility that the model offers for conditional skewness as well as high-frequency information from the underlying asset contribute to superior performance upon benchmark models using S&amp;P 500 index options. Overall, the joint modeling of dynamic conditional skewness and realized measures leads to an out-of-sample gain of 12.25% in pricing accuracy. The improvements are more pronounced for deep in-the-money calls, options with shorter maturities, and during highly volatile periods.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 7","pages":"1154-1188"},"PeriodicalIF":1.9,"publicationDate":"2024-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140568485","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 premia and risk management 商品溢价和风险管理
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-04-10 DOI: 10.1002/fut.22507
John Hua Fan, Tingxi Zhang
{"title":"Commodity premia and risk management","authors":"John Hua Fan,&nbsp;Tingxi Zhang","doi":"10.1002/fut.22507","DOIUrl":"10.1002/fut.22507","url":null,"abstract":"<p>We examine the role of risk management in the context of commodity factor premia. Stopping losses in individual commodities effectively improves the average returns of long-short commodity premia through persistent reduction in the frequency and severity of drawdowns. The magnitude of improvement is related to the quality of the signal, commodity return volatility, and autocorrelations, as well as transaction costs. The efficacy of a stop-loss strategy can be enhanced by dynamically calibrating loss thresholds in accordance with realized volatility, and it performs best in high conviction weighting schemes. Overall, we highlight the pivotal role of risk management beyond volatility targeting and risk-parity in harnessing commodity risk premia.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 7","pages":"1097-1116"},"PeriodicalIF":1.9,"publicationDate":"2024-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22507","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140568377","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
An empirical study on the early exercise premium of American options: Evidence from OEX and XEO options 美式期权提前行使溢价的实证研究：来自 OEX 和 XEO 期权的证据
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-04-10 DOI: 10.1002/fut.22508
Weihan Li, Jin E. Zhang, Xinfeng Ruan, Pakorn Aschakulporn
{"title":"An empirical study on the early exercise premium of American options: Evidence from OEX and XEO options","authors":"Weihan Li,&nbsp;Jin E. Zhang,&nbsp;Xinfeng Ruan,&nbsp;Pakorn Aschakulporn","doi":"10.1002/fut.22508","DOIUrl":"10.1002/fut.22508","url":null,"abstract":"<p>Since the S&amp;P 100 Index underlies both American (OEX) and European (XEO) options, the value of the early exercise premium of American options can be directly observed. We find that the mid-quote of an XEO option can be higher than that of an otherwise identical OEX option, and liquidity can explain this overpricing phenomenon of European options. Our results show that illiquid options are significantly overpriced in the S&amp;P 100 Index options market. This finding indicates that an illiquid option can be overvalued with a higher market offer price, which is the requirement of market makers for compensation for providing liquidity.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 7","pages":"1117-1153"},"PeriodicalIF":1.9,"publicationDate":"2024-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22508","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140568475","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
Considering momentum spillover effects via graph neural network in option pricing 在期权定价中通过图神经网络考虑动量溢出效应
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-04-09 DOI: 10.1002/fut.22506
Yao Wang, Jingmei Zhao, Qing Li, Xiangyu Wei
{"title":"Considering momentum spillover effects via graph neural network in option pricing","authors":"Yao Wang,&nbsp;Jingmei Zhao,&nbsp;Qing Li,&nbsp;Xiangyu Wei","doi":"10.1002/fut.22506","DOIUrl":"10.1002/fut.22506","url":null,"abstract":"<p>Traditional options pricing relies on underlying asset volatility and contract properties. However, asset volatility is affected by the “lead–lag effects,” known as the “momentum spillover effect.” To address this, we propose a proxy measuring correlated options' influence based on maturity date. Findings indicate that 1-day-lagged proxy indicators positively impact option returns. Furthermore, to capture the dynamic effects of correlated options, we introduce a deep graph neural network-based model (GNN-MS). Empirical results on Shanghai Stock Exchange 50 exchange-traded fund options reveal GNN-MS significantly outperforms classics, enhancing root-mean-square error by at least 8.81%. This study provides novel insights into option pricing considering momentum spillover effects.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 6","pages":"1069-1094"},"PeriodicalIF":1.9,"publicationDate":"2024-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140568481","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 5, May 2024 期货市场期刊》：第 44 卷第 5 号，2024 年 5 月
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-04-08 DOI: 10.1002/fut.22431
{"title":"Journal of Futures Markets: Volume 44, Number 5, May 2024","authors":"","doi":"10.1002/fut.22431","DOIUrl":"https://doi.org/10.1002/fut.22431","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 5","pages":"697"},"PeriodicalIF":1.9,"publicationDate":"2024-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22431","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140537678","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
Riemannian-geometric regime-switching covariance hedging 黎曼几何制度切换协方差对冲
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-03-18 DOI: 10.1002/fut.22500
Hsiang-Tai Lee
{"title":"Riemannian-geometric regime-switching covariance hedging","authors":"Hsiang-Tai Lee","doi":"10.1002/fut.22500","DOIUrl":"10.1002/fut.22500","url":null,"abstract":"<p>This study develops a regime-switching Riemannian-geometric covariance framework for futures hedging. The covariance of conventional regime-switching BEKK (Baba, Engle, Kraft and Kroner) (RSBEKK) evolves on flat spaces that exclude a prior the possibility of inherent geometric covariance dynamic. A Riemannian-geometric regime-switching BEKK (RG-RSBEKK) is proposed such that the covariance moves along a trajectory on Riemannian manifolds. RG-RSBEKK is applied to China Securities Index 300 futures for hedging the stock sector exposures. Empirical results reveal that specifying covariance dynamic on curved spaces enhances hedging effectiveness based on the model confidence set with loss measures of variance, utility, value-at-risk, and Frobenius distance.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 6","pages":"1003-1054"},"PeriodicalIF":1.9,"publicationDate":"2024-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140171102","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
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信