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Financialization of commodity markets: New evidence from temporal and spatial domains 商品市场的金融化：来自时空领域的新证据
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-05-20 DOI: 10.1002/fut.22514
Libo Yin, Hong Cao
{"title":"Financialization of commodity markets: New evidence from temporal and spatial domains","authors":"Libo Yin,&nbsp;Hong Cao","doi":"10.1002/fut.22514","DOIUrl":"10.1002/fut.22514","url":null,"abstract":"<p>To address the ongoing contention surrounding the impact of financialization, this study adopts a ripple-spreading network model to analyze the transmission of information across 13 globally significant commodity markets. By juxtaposing the pre- and postfinancialization periods, notable disparities in spillover magnitude are discerned, with overall effects registering at 58% and 85%, respectively. Moreover, the postfinancialization period exhibits accelerated spillover dynamics, necessitating a reduced timeframe (less than 1000 units) in contrast to the prefinancialization period (approximately 2000 units). Furthermore, a heightened interconnectedness among energy, metal, and agricultural futures is evident in the postfinancialization period. These findings furnish compelling evidence regarding the ramifications of financialization on commodity markets.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 8","pages":"1357-1382"},"PeriodicalIF":1.8,"publicationDate":"2024-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141122195","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 asymmetry in day and night option returns: Evidence from an emerging market 日间和夜间期权收益的不对称性：新兴市场的证据
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-05-09 DOI: 10.1002/fut.22512
Aparna Bhat, Piyush Pandey, S. V. D. Nageswara Rao
{"title":"The asymmetry in day and night option returns: Evidence from an emerging market","authors":"Aparna Bhat,&nbsp;Piyush Pandey,&nbsp;S. V. D. Nageswara Rao","doi":"10.1002/fut.22512","DOIUrl":"10.1002/fut.22512","url":null,"abstract":"<p>Delta-hedged option selling strategies typically yield positive returns, owing to the volatility risk premium embedded in the option price. Recent research based on S&amp;P 500 options has found a day–night asymmetry in option returns. We find a similar disparity in the returns for short Nifty option strategies. Positive and significant overnight option returns are accompanied by negative intraday returns. The day–night asymmetry is robust across option categories and subsamples but weaker on days with significant jumps in the underlying. We confirm that the variance risk premium earned by option sellers is mainly a reward for overnight risk.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 8","pages":"1320-1337"},"PeriodicalIF":1.8,"publicationDate":"2024-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140942566","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
High–low volatility spillover network between economic policy uncertainty and commodity futures markets 经济政策不确定性与商品期货市场之间的高低波动溢出网络
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-05-05 DOI: 10.1002/fut.22511
Youtao Xiang, Sumuya Borjigin
{"title":"High–low volatility spillover network between economic policy uncertainty and commodity futures markets","authors":"Youtao Xiang,&nbsp;Sumuya Borjigin","doi":"10.1002/fut.22511","DOIUrl":"10.1002/fut.22511","url":null,"abstract":"<p>Based on the formation and evolution of systemic risk, we study the high-low volatility spillovers between economic policy uncertainty (EPU) and commodity futures and identify the source of risk accumulation and risk outbreak, as well as the corresponding contagion mechanisms. Upon comparing topological characteristics on each volatility layer, our results demonstrate that high and low volatility spillover networks have different network characteristics and evolution behaviors. At the system level, high volatility spillovers are relatively stronger than spillovers in in low volatility network, while the risk propagation efficiency in the low volatility network is higher. At the market level, EPU is not only an important risk-emitter but also a risk-recipient most of the time. Additionally, compared with high volatility network, low volatility network characteristics have greater predictive ability for risk spillover among commodity futures, which means that it contains additional information and provides early warning signals for financial stress.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 8","pages":"1295-1319"},"PeriodicalIF":1.8,"publicationDate":"2024-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140939938","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 6, June 2024 期货市场期刊》：第 44 卷第 6 号，2024 年 6 月
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-04-30 DOI: 10.1002/fut.22432
{"title":"Journal of Futures Markets: Volume 44, Number 6, June 2024","authors":"","doi":"10.1002/fut.22432","DOIUrl":"https://doi.org/10.1002/fut.22432","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 6","pages":"877"},"PeriodicalIF":1.9,"publicationDate":"2024-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22432","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140814304","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
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
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