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Frequent Trading and Investment Performance: Evidence From the KOSPI 200 Futures Market 频繁交易与投资业绩：来自 KOSPI 200 期货市场的证据
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-09-10 DOI: 10.1002/fut.22552
Doojin Ryu, Robert I. Webb, Jinyoung Yu
{"title":"Frequent Trading and Investment Performance: Evidence From the KOSPI 200 Futures Market","authors":"Doojin Ryu,&nbsp;Robert I. Webb,&nbsp;Jinyoung Yu","doi":"10.1002/fut.22552","DOIUrl":"10.1002/fut.22552","url":null,"abstract":"<div>\u0000 \u0000 <p>This study explores whether frequent trading is profitable to investors in an emerging stock index futures market. Our analyses, based on long-term data from 2010 to 2023, indicate that the effect of trading frequency differs across investor types and market conditions. Only some domestic institutions gain additional profits from more frequent trading, and such a tendency is apparent when the futures price falls and when the futures market volatility is low. Foreign investors experience losses as they trade more when the market is bearish and are frequently net long. The performance of domestic individuals does not depend on their trading frequency in general; however, they lose more from trading when the market is bearish and when the market is less volatile.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 12","pages":"1911-1922"},"PeriodicalIF":1.8,"publicationDate":"2024-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142223678","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 10, October 2024 期货市场期刊》：第 44 卷第 10 期，2024 年 10 月
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-09-09 DOI: 10.1002/fut.22436
{"title":"Journal of Futures Markets: Volume 44, Number 10, October 2024","authors":"","doi":"10.1002/fut.22436","DOIUrl":"https://doi.org/10.1002/fut.22436","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 10","pages":"1579"},"PeriodicalIF":1.8,"publicationDate":"2024-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22436","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142165241","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
Novel Analytic Representations for Caps, Floors, Collars, and Exchange Options on Continuous Flows, Arbitrage-Free Relations, and Optimal Investments 关于连续流动、无套利关系和最优投资的上限、下限、领价和交易所期权的新分析表示法
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-08-30 DOI: 10.1002/fut.22549
José Carlos Dias, João Pedro Vidal Nunes, Fernando Correia da Silva
{"title":"Novel Analytic Representations for Caps, Floors, Collars, and Exchange Options on Continuous Flows, Arbitrage-Free Relations, and Optimal Investments","authors":"José Carlos Dias,&nbsp;João Pedro Vidal Nunes,&nbsp;Fernando Correia da Silva","doi":"10.1002/fut.22549","DOIUrl":"10.1002/fut.22549","url":null,"abstract":"<div>\u0000 \u0000 <p>We offer analytic formulae for valuing finite maturity profit caps and floors that are contingent on continuous flows without the need for subtracting the risk-neutral expectation of the forward starting perpetual solution from the corresponding perpetual solution. The related price caps, floors, and collars are easily obtained from any analytic representation of profit caps and floors using some arbitrage-free relations. Finally, we offer two novel methods for calculating the optimal triggers of investment projects in the presence of price floors and collars regimes in a way that is much simpler than the ones currently used.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 12","pages":"1869-1887"},"PeriodicalIF":1.8,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142178800","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
Uncovering the Sino-US Dynamic Risk Spillovers Effects: Evidence From Agricultural Futures Markets 揭示中美动态风险溢出效应：来自农产品期货市场的证据
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-08-30 DOI: 10.1002/fut.22551
Han-Yu Zhu, Peng-Fei Dai, Wei-Xing Zhou
{"title":"Uncovering the Sino-US Dynamic Risk Spillovers Effects: Evidence From Agricultural Futures Markets","authors":"Han-Yu Zhu,&nbsp;Peng-Fei Dai,&nbsp;Wei-Xing Zhou","doi":"10.1002/fut.22551","DOIUrl":"https://doi.org/10.1002/fut.22551","url":null,"abstract":"<div>\u0000 \u0000 <p>With economic globalization and the financialization of agricultural products continuing to advance, the interconnections between different agricultural futures have become closer. We utilize a TVP-VAR-DY model combined with the quantile method to measure the risk spillover between 11 agricultural futures in the United States and China from July 9, 2014, to December 31, 2022. We obtain several findings. First, CBOT corn, soybean, and wheat are identified as the primary risk transmitters, with DCE corn and soybean as the main risk receivers. Second, sudden events or increased economic uncertainty can enlarge the overall risk spillovers. Third, there is an aggregation of risk spillovers amongst agricultural futures based on the dynamic directional spillovers. Lastly, the central agricultural futures under the conditional mean are CBOT corn and soybean, while CZCE hard wheat and long-grained rice are the two risk-spillover centers in extreme cases, as per the results of the spillover network and minimum spanning tree.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 12","pages":"1888-1910"},"PeriodicalIF":1.8,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142642541","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
Co-Jump Dependency and Transmission Across US Commodity Futures: A Network Analysis 美国商品期货的共跳依赖和传播：网络分析
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-08-19 DOI: 10.1002/fut.22547
Lei Zhang, Yan Chen, Elie Bouri
{"title":"Co-Jump Dependency and Transmission Across US Commodity Futures: A Network Analysis","authors":"Lei Zhang,&nbsp;Yan Chen,&nbsp;Elie Bouri","doi":"10.1002/fut.22547","DOIUrl":"10.1002/fut.22547","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper examines the co-jump transmission in 20 commodity futures returns in the United States using co-jump network models. Specifically, it reveals co-jumping behavior in both static and time-varying settings, considering the overall commodity markets and various commodity groups separately, which helps us understand the dynamic changes in co-jump dependencies at the overall and sector levels. The main results reveal that co-jump heterogeneity exists among commodities but is generally more apparent within each commodity group, and co-jumps vary over time. Gold exerts the strongest influence, with many commodity futures being influenced by the jumps behavior in gold returns. During the COVID-19 outbreak and the Russia–Ukraine war, the energy group ranks highest in terms of co-jump network centrality. Our empirical analysis highlights the portfolio performance and risk reduction, and an additional examination shows that centrality information from the co-jump network contains a highly and statistically forecasting power for US stock market volatility.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 12","pages":"1851-1868"},"PeriodicalIF":1.8,"publicationDate":"2024-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142178797","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
Pricing VIX Futures and Options With Good and Bad Volatility of Volatility 为波动性好坏的 VIX 期货和期权定价
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-08-19 DOI: 10.1002/fut.22545
Zhiyu Guo, Zhuo Huang, Chen Tong
{"title":"Pricing VIX Futures and Options With Good and Bad Volatility of Volatility","authors":"Zhiyu Guo,&nbsp;Zhuo Huang,&nbsp;Chen Tong","doi":"10.1002/fut.22545","DOIUrl":"10.1002/fut.22545","url":null,"abstract":"<div>\u0000 \u0000 <p>This article studies the pricing of VIX futures and options by directly modeling the dynamics of VIX, based on realized semivariances computed from high-frequency data of VIX. We derive the closed-form pricing formula for both the VIX futures and options. The empirical results show that the new model provides superior pricing performance compared with the model based on conventional unsigned realized variance and the classic Heston-Nandi GARCH model, both in sample and out of sample. Our study confirms that the decomposition of realized variance into upside and downside components helps to improve the pricing performance for VIX futures and options.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 11","pages":"1832-1847"},"PeriodicalIF":1.8,"publicationDate":"2024-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142178798","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
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
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