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The Variance Risk Premium Over Trading and Nontrading Periods 交易期和非交易期的方差风险溢价
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-04-23 DOI: 10.1002/fut.22589
Lucas Papagelis, George Dotsis
{"title":"The Variance Risk Premium Over Trading and Nontrading Periods","authors":"Lucas Papagelis,&nbsp;George Dotsis","doi":"10.1002/fut.22589","DOIUrl":"https://doi.org/10.1002/fut.22589","url":null,"abstract":"<p>In this paper, we decompose the variance risk premium (VRP) into overnight and intraday components using model-free implied variance stock indices in the United States, Europe, and Asia. We find that during the nontrading overnight period, the VRP is significantly negative, whereas during the intraday trading period, the VRP becomes positive and often insignificant. We also assess the predictive ability of the overnight and intraday VRPs with respect to future equity returns. We find that the intraday component performs better at shorter prediction horizons, whereas the overnight VRP performs better at longer horizons. Our empirical results suggest that nontrading effects are an important determinant of the VRP.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 7","pages":"752-770"},"PeriodicalIF":1.8,"publicationDate":"2025-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22589","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144244765","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 Dynamics of Option Volatility Smirk and Option Returns Predictability: Evidence From Chinese SSE50 ETF Options 期权波动、假笑和期权收益可预测性的动态：来自中国上证50指数ETF期权的证据
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-04-23 DOI: 10.1002/fut.22590
Wenxin Guo, Dehong Liu, Carl R. Chen, Peter Lung
{"title":"The Dynamics of Option Volatility Smirk and Option Returns Predictability: Evidence From Chinese SSE50 ETF Options","authors":"Wenxin Guo,&nbsp;Dehong Liu,&nbsp;Carl R. Chen,&nbsp;Peter Lung","doi":"10.1002/fut.22590","DOIUrl":"https://doi.org/10.1002/fut.22590","url":null,"abstract":"<div>\u0000 \u0000 <p>We examine the predictive ability of risk-neutral moments extracted from option volatility smirks for the option delta-neutral returns using the SSE50 ETF stock index option. We find risk-neutral skewness changes over market conditions. The risk-neutral skewness significantly predicts 1-day, 2-day, and 1–4 weeks ahead call option returns with negative signs in both in-sample and out-of-sample tests. The results are robust in including other control variables and different constant maturity risk-neutral skewnesses. Trading strategies based on the predictive model yield a potential maximum annual return of 293%.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 7","pages":"705-731"},"PeriodicalIF":1.8,"publicationDate":"2025-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144244764","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 Deliveries: Theory and Evidence From the US Corn Market 商品期货交割：来自美国玉米市场的理论和证据
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-04-22 DOI: 10.1002/fut.22585
Vitor M. O. Fernandes, Eugene L. Kunda, Michel A. Robe
{"title":"Commodity Futures Deliveries: Theory and Evidence From the US Corn Market","authors":"Vitor M. O. Fernandes,&nbsp;Eugene L. Kunda,&nbsp;Michel A. Robe","doi":"10.1002/fut.22585","DOIUrl":"https://doi.org/10.1002/fut.22585","url":null,"abstract":"<p>For corn futures, deliveries facilitate convergence by allowing for arbitrage between physical and “paper” markets. We explain the delivery process in detail, including the key role of Shipping Certificates. We investigate what drives deliveries and their timing and the feedback on futures prices when deliveries happen. We introduce the concept of delivery-value-equivalent (DVE) to understand whether a trader should “go for delivery.” We show theoretically and empirically, for 51 delivery periods in 2011–2021, that the difference between the DVE and the New Orleans basis is a significant factor in explaining the occurrences and magnitudes of deliveries. We document that physical market conditions and inventory levels (proxied by the cost-of-carry) explain deliveries' timing within the delivery period, and we investigate if registering new Shipping Certificates depresses the nearby futures price. We propose a public information-based proxy for redeliveries and provide evidence that redeliveries weaken the nearby calendar spread.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 7","pages":"844-876"},"PeriodicalIF":1.8,"publicationDate":"2025-04-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22585","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144245151","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
Does Trading Method Alignment Improve Market Efficiency? Evidence From Taiwan Single-Stock Futures Market 交易方法一致性能提高市场效率吗？来自台湾单一股票期货市场的证据
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-04-20 DOI: 10.1002/fut.22588
Chien-Liang Chiu, Jui-Cheng Hung, Chia-Feng Chen, Chia-Wei Hsieh
{"title":"Does Trading Method Alignment Improve Market Efficiency? Evidence From Taiwan Single-Stock Futures Market","authors":"Chien-Liang Chiu,&nbsp;Jui-Cheng Hung,&nbsp;Chia-Feng Chen,&nbsp;Chia-Wei Hsieh","doi":"10.1002/fut.22588","DOIUrl":"https://doi.org/10.1002/fut.22588","url":null,"abstract":"<div>\u0000 \u0000 <p>This study examines the impact of implementing an intraday continuous auction method in Taiwan's spot market on price discovery in the single-stock futures (SSFs) market. The findings highlight the advantages of aligning the trading method of the underlying spot market with that of the SSF market, leading to improved price discovery in SSFs. A difference-in-differences analysis validates our findings. In addition, key factors such as spread, liquidity, and information intensity significantly influence cross-sectional variation in price discovery. Notably, leverage—a fundamental feature of futures contracts—has a strong and positive effect on SSF price discovery following this alignment of trading methods.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 7","pages":"802-816"},"PeriodicalIF":1.8,"publicationDate":"2025-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144245107","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
Can Storage Momentum and Its Difference of a Nonferrous Metal Predict Price Return? 有色金属库存动量及其差异能否预测价格回报？
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-04-14 DOI: 10.1002/fut.22587
Stanley lat-Meng Ko, Chia Chun Lo, Liang Peng
{"title":"Can Storage Momentum and Its Difference of a Nonferrous Metal Predict Price Return?","authors":"Stanley lat-Meng Ko,&nbsp;Chia Chun Lo,&nbsp;Liang Peng","doi":"10.1002/fut.22587","DOIUrl":"https://doi.org/10.1002/fut.22587","url":null,"abstract":"<div>\u0000 \u0000 <p>This study contributes to nonferrous metal market predictability by introducing dynamic measures, namely storage momentum and momentum difference, as innovative predictors for future contract returns. Our exploration reveals distinct predictability patterns, with compelling evidence in copper, zinc, and nickel, while aluminum displays comparatively lower predictability. Our proposed tailored predictability test accommodates correlated, heteroscedastic, and heavy-tailed residuals, addressing the limitations of conventional tests. Out-of-sample forecasts affirm the sustained predictive performance of storage momentum and momentum difference for copper and nickel, establishing our work as a pioneering contribution to the nuanced landscape of nonferrous metal market predictability.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 7","pages":"831-843"},"PeriodicalIF":1.8,"publicationDate":"2025-04-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144244703","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
Tail Risks Everywhere and Crude Oil Returns: New Insights From Predictive Quantile Approaches 无处不在的尾部风险和原油回报：来自预测分位数方法的新见解
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-04-14 DOI: 10.1002/fut.22586
Yue-Jun Zhang, Wen Zhao
{"title":"Tail Risks Everywhere and Crude Oil Returns: New Insights From Predictive Quantile Approaches","authors":"Yue-Jun Zhang,&nbsp;Wen Zhao","doi":"10.1002/fut.22586","DOIUrl":"https://doi.org/10.1002/fut.22586","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper investigates the heterogeneous impact and predictive power of high-dimensional tail risks from global markets on crude oil returns across different market conditions. Quantile approaches are adopted allowing for flexible predictive distributions of oil returns that can depart from normality. The results demonstrate that external market tail risks significantly influence oil returns besides their own tail risks. Notably, an increase in tail risks leads to lower (higher) oil returns in bearish (bullish) markets. Using feature reduction-based quantile approaches, especially the LASSO-based quantile autoregression model, can effectively leverage high-dimensional tail risks for predicting the conditional distribution of oil returns. Furthermore, probability distortion provides a novel perspective to explain the heterogeneous impact and predictive power of tail risks. These findings help investors and regulators assess the potential risks of oil-related assets and formulate corresponding risk management strategies by accurately predicting the probability distribution of oil returns.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 7","pages":"685-704"},"PeriodicalIF":1.8,"publicationDate":"2025-04-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144244833","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 Trading and Corporate Financialization: A Quasi-Natural Experiment From the Launch of China's Crude Oil Futures 期货交易与企业金融化：从中国原油期货推出的准自然实验
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-04-14 DOI: 10.1002/fut.22584
Feng He, Longxuan Chen, Jing Hao, Dongfeng Chang
{"title":"Futures Trading and Corporate Financialization: A Quasi-Natural Experiment From the Launch of China's Crude Oil Futures","authors":"Feng He,&nbsp;Longxuan Chen,&nbsp;Jing Hao,&nbsp;Dongfeng Chang","doi":"10.1002/fut.22584","DOIUrl":"https://doi.org/10.1002/fut.22584","url":null,"abstract":"<div>\u0000 \u0000 <p>This study examines the impact of China's crude oil futures trading on corporate decision-making at the firm level. By analyzing Chinese listed companies spanning from 2010 to 2022, we identify a significant negative causality of China's crude oil futures trading on the degree of financialization in energy-dependent enterprises. Mechanism analysis further demonstrates that China's crude oil futures trading substantially strengthens corporate risk management capacity, thereby reducing precautionary motivations for financial asset holdings. Specifically, energy-dependent firms exhibit a marked propensity to reallocate short-term liquidity from financial investments to crude oil futures positions. Heterogeneity analysis shows that the impact of China's crude oil futures on the financialization level of energy-dependent firms is more pronounced among state-owned enterprises and firms facing heightened competitive pressures. This paper offers micro-level insights into the relationship between commodity futures trading and corporate decision-making, emphasizing the significance of financial innovation in supporting China's real economy development.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 7","pages":"732-751"},"PeriodicalIF":1.8,"publicationDate":"2025-04-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144244834","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 5, May 2025 期货市场杂志：第45卷，第5期，2025年5月
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-04-07 DOI: 10.1002/fut.22521
{"title":"Journal of Futures Markets: Volume 45, Number 5, May 2025","authors":"","doi":"10.1002/fut.22521","DOIUrl":"https://doi.org/10.1002/fut.22521","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 5","pages":"393"},"PeriodicalIF":1.8,"publicationDate":"2025-04-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22521","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143793635","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
Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets 气候政策不确定性与粮食商品市场之间的分位数和时频风险溢出
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-04-02 DOI: 10.1002/fut.22583
Hongjun Zeng, Mohammad Zoynul Abedin, Abdullahi D. Ahmed, Brian Lucey
{"title":"Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets","authors":"Hongjun Zeng,&nbsp;Mohammad Zoynul Abedin,&nbsp;Abdullahi D. Ahmed,&nbsp;Brian Lucey","doi":"10.1002/fut.22583","DOIUrl":"https://doi.org/10.1002/fut.22583","url":null,"abstract":"<p>This paper aims to study the dynamic risk connection between the Climate Policy Uncertainty Index (CPU) of the United States and the grain commodity market. Our findings denote that (a) quantile spillover is stronger at extreme than median levels, underscoring the value of systematic risk spillovers in extreme market conditions. (b) Wavelet coherence analysis proposes that the structure of the CPU connection with the grain commodity market is heterogeneous at time–frequency scales. (c) Under conditions of market stability, CPU's capability to predict risks in the most segmented grain commodity markets was not as pronounced as in extreme market scenarios. (d) The spillovers between CPU and major grain commodities under diverse quantile states were significantly influenced by climate change. Results from this paper have practical implications for investors managing climate-related risk exposures and will also assist policymakers in developing countries to develop a sensible policy package.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 6","pages":"659-682"},"PeriodicalIF":1.8,"publicationDate":"2025-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22583","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143930313","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 Term Structure of Credit Default Swap Spreads and the Cross Section of Options Returns 信用违约掉期价差的期限结构与期权收益的横截面
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-03-27 DOI: 10.1002/fut.22582
Hao Zhang, Yukun Shi, Dun Han, Pei Liu, Yaofei Xu
{"title":"The Term Structure of Credit Default Swap Spreads and the Cross Section of Options Returns","authors":"Hao Zhang,&nbsp;Yukun Shi,&nbsp;Dun Han,&nbsp;Pei Liu,&nbsp;Yaofei Xu","doi":"10.1002/fut.22582","DOIUrl":"https://doi.org/10.1002/fut.22582","url":null,"abstract":"<p>This paper, using the natural logarithmic form credit default swap (log CDS) slope, examines the variation in cross-sectional 1-month ATM delta-hedged straddle returns. Our analysis reveals that the log CDS slope significantly and positively predicts these returns, even when accounting for several key volatility mispricing factors. Further investigation shows that this predictive relationship exhibits a strong time-varying pattern, closely linked to market conditions. In contrast, the relationship between notable volatility mispricing factors and straddle returns remains relatively stable over time. Constructing a long-short quintile portfolio on straddle options confirms that trading performance improves when the past 12-month market return is at a historically lower level, market volatility is at a historically higher level, and the VIX is elevated. Log CDS slope, as a proxy for excess jump risk premium, significantly predicts delta-hedged option returns during periods of high volatility.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 6","pages":"637-658"},"PeriodicalIF":1.8,"publicationDate":"2025-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22582","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143930268","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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