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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
Journal of Futures Markets: Volume 45, Number 7, July 2025 期货市场杂志：第45卷，第7期，2025年7月
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-06-09 DOI: 10.1002/fut.22523
{"title":"Journal of Futures Markets: Volume 45, Number 7, July 2025","authors":"","doi":"10.1002/fut.22523","DOIUrl":"https://doi.org/10.1002/fut.22523","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 7","pages":""},"PeriodicalIF":1.8,"publicationDate":"2025-06-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22523","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144244254","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
Skewness Premium for Short-Term Exposure to Squared Market Returns 市场回报平方化短期风险敞口的偏度溢价
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-06-08 DOI: 10.1002/fut.22615
Martin Wallmeier
{"title":"Skewness Premium for Short-Term Exposure to Squared Market Returns","authors":"Martin Wallmeier","doi":"10.1002/fut.22615","DOIUrl":"https://doi.org/10.1002/fut.22615","url":null,"abstract":"<p>Following Kraus and Litzenberger, the skewness of stock returns is often modeled as exposure to the square of the market return. We use a trading strategy in S&amp;P 500 options that creates exposure to the square of the S&amp;P 500 return without affecting other characteristics of a direct index investment. This allows us to uniquely identify the skewness premium. We find a significantly negative premium on daily returns, which amounts to a return difference of 5 percentage points per year between a put-based strategy (negative skewness) and a call-based strategy (positive skewness). Our results suggest that short-term exposure to squared market returns is important for investors, even though this exposure declines sharply when returns are aggregated over months or quarters.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 9","pages":"1091-1099"},"PeriodicalIF":2.3,"publicationDate":"2025-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22615","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144811251","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
The Reaction of Corn Futures Markets to US and Brazilian Crop Reports 玉米期货市场对美国和巴西作物报告的反应
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-06-08 DOI: 10.1002/fut.22601
Rodrigo Lanna Franco da Silveira, Renato Moraes Silva, Fabio L. Mattos, José César Cruz Júnior, Daniel Henrique Dario Capitani
{"title":"The Reaction of Corn Futures Markets to US and Brazilian Crop Reports","authors":"Rodrigo Lanna Franco da Silveira,&nbsp;Renato Moraes Silva,&nbsp;Fabio L. Mattos,&nbsp;José César Cruz Júnior,&nbsp;Daniel Henrique Dario Capitani","doi":"10.1002/fut.22601","DOIUrl":"https://doi.org/10.1002/fut.22601","url":null,"abstract":"<p>The purpose of this study is to examine the impact of US (WASDE) and Brazilian (CONAB) crop reports on corn futures prices and trading volumes in both the US and Brazilian markets. Employing an intraday announcement analysis, we investigate how return volatilities and trading volumes respond to the release of these reports. Specifically, we compare prices and volume behavior on report days with the 5 days preceding and following the announcements. Using both parametric and nonparametric tests, our results indicate that WASDE report announcements significantly influence returns and trading volumes in both markets. In contrast, the effects of CONAB reports are less pronounced than those associated with WASDE releases.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 9","pages":"1298-1323"},"PeriodicalIF":2.3,"publicationDate":"2025-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22601","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144811250","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
Evaluating Market Downturn Connectedness Between S&P 500 Index Funds, Gold, and Oil Markets 评估标准普尔500指数基金、黄金和石油市场之间的市场低迷连通性
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-06-04 DOI: 10.1002/fut.22608
Waheed Ullah Shah, Ibtissem Missaoui, Ijaz Younis, Xiyu Liu
{"title":"Evaluating Market Downturn Connectedness Between S&P 500 Index Funds, Gold, and Oil Markets","authors":"Waheed Ullah Shah,&nbsp;Ibtissem Missaoui,&nbsp;Ijaz Younis,&nbsp;Xiyu Liu","doi":"10.1002/fut.22608","DOIUrl":"https://doi.org/10.1002/fut.22608","url":null,"abstract":"<div>\u0000 \u0000 <p>This study evaluates the market downturn connectedness between S&amp;P 500 index funds and real-time markets (gold and WTI) during the COVID-19 pandemic and the Russia-Ukraine wars. Using the TVP-VAR approach, we explored the significant connectedness among these markets during both crisis episodes. The S&amp;P 500 Index Fund (State Street S&amp;P 500 Index Fund Class N) is the net risk spillover receiver in the system, whereas S&amp;P 500 Index funds (all others) are significant volatility spillover transmitters during the COVID-19 and Russia-Ukraine wars. Furthermore, gold and WTI receive net risk spillovers in both crises. However, all S&amp;P 500 index funds are also pairwise and extensively connected with real-time markets (gold and WTI) in the COVID-19 and Russia-Ukraine wars. This study offers potential investment insights for shareholders, traders, speculators, and portfolio managers in these markets.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 9","pages":"1278-1297"},"PeriodicalIF":2.3,"publicationDate":"2025-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144811247","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
Spillovers Into the German Electricity Market From the Gas, Coal, and CO2 Emissions Markets 天然气、煤炭和二氧化碳排放市场对德国电力市场的溢出效应
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-06-04 DOI: 10.1002/fut.22607
Filippos Ioannidis, Kyriaki Kosmidou, Panayiotis Theodossiou
{"title":"Spillovers Into the German Electricity Market From the Gas, Coal, and CO2 Emissions Markets","authors":"Filippos Ioannidis,&nbsp;Kyriaki Kosmidou,&nbsp;Panayiotis Theodossiou","doi":"10.1002/fut.22607","DOIUrl":"https://doi.org/10.1002/fut.22607","url":null,"abstract":"<p>This paper investigates the mean, volatility, skewness, and kurtosis of price spillovers from the natural gas, coal, and CO<sub>2</sub> emissions markets into the German electricity market from 2010 to July 2023, segmented into three periods: pre-Russo-Ukrainian war, war-triggered price rise, and postwar adjustment. Utilizing a flexible probability model with time-varying parameters and structural dummies for different periods and days of the week and applying the Bayesian Information Criterion (BIC) for model selection, the analysis reveals: (a) significant bidirectional mean spillovers between gas and coal markets, with coal prices exerting a stronger influence on gas prices; (b) volatility spillovers from the CO<sub>2</sub> market into the electricity market; (c) skewness spillovers from the coal market that negatively impact electricity skewness; and (d) kurtosis spillovers from the CO<sub>2</sub> market. The distribution of electricity price-growth rates is characterized by extreme leptokurtosis and negative skewness, reflecting extreme price movements. These findings underscore the complex dynamics of these interconnected markets, offering valuable insights for market participants, policymakers, and risk managers in forecasting, hedging strategies, and pricing electricity derivatives during market turbulence.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 9","pages":"1253-1277"},"PeriodicalIF":2.3,"publicationDate":"2025-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22607","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144811356","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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