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The information content of wheat derivatives regarding the Ukrainian war 关于乌克兰战争的小麦衍生品的信息内容
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2023-11-23 DOI: 10.1002/fut.22475
Nicole Branger, Michael Hanke, Alex Weissensteiner
{"title":"The information content of wheat derivatives regarding the Ukrainian war","authors":"Nicole Branger, Michael Hanke, Alex Weissensteiner","doi":"10.1002/fut.22475","DOIUrl":"https://doi.org/10.1002/fut.22475","url":null,"abstract":"We extract implied price densities from wheat options and futures prices during the first 17 months of the Ukrainian war. Changing differences between short- and long-term densities indicate that market expectations about the dynamics of the underlying changed over time. Before the signing of the Black Sea Grain Initiative, wheat derivatives prices showed predictive power for the further development of the conflict, and implied volatilities from wheat options were highly correlated with geopolitical risk (GPR). Afterwards, wheat prices lost their predictive power for the conflict, but instead reflected the market's opinion regarding the viability of the Black Sea Grain Initiative. By that time, correlations between wheat price risk and GPR dropped sharply.","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"59 1","pages":""},"PeriodicalIF":1.9,"publicationDate":"2023-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539667","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 information content of wheat derivatives regarding the Ukrainian war 关于乌克兰战争的小麦衍生品的信息内容
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2023-11-23 DOI: 10.1002/fut.22475
Nicole Branger, Michael Hanke, Alex Weissensteiner
{"title":"The information content of wheat derivatives regarding the Ukrainian war","authors":"Nicole Branger,&nbsp;Michael Hanke,&nbsp;Alex Weissensteiner","doi":"10.1002/fut.22475","DOIUrl":"10.1002/fut.22475","url":null,"abstract":"<p>We extract implied price densities from wheat options and futures prices during the first 17 months of the Ukrainian war. Changing differences between short- and long-term densities indicate that market expectations about the dynamics of the underlying changed over time. Before the signing of the Black Sea Grain Initiative, wheat derivatives prices showed predictive power for the further development of the conflict, and implied volatilities from wheat options were highly correlated with geopolitical risk (GPR). Afterwards, wheat prices lost their predictive power for the conflict, but instead reflected the market's opinion regarding the viability of the Black Sea Grain Initiative. By that time, correlations between wheat price risk and GPR dropped sharply.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 3","pages":"420-431"},"PeriodicalIF":1.9,"publicationDate":"2023-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539712","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
Derivative disclosures and managerial opportunism 衍生品披露和管理机会主义
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2023-11-17 DOI: 10.1002/fut.22472
Guanming He, Helen Mengbing Ren
{"title":"Derivative disclosures and managerial opportunism","authors":"Guanming He,&nbsp;Helen Mengbing Ren","doi":"10.1002/fut.22472","DOIUrl":"10.1002/fut.22472","url":null,"abstract":"<p>Derivatives are increasingly used by managers not only to hedge risks but also to pursue nonhedging activities for fulfilling opportunistic incentives. The Statement of Financial Accounting Standards No. 161 (SFAS 161) requires firms to disclose their objectives and strategies for using derivatives. Using the adoption of this standard, we examine whether and how derivative disclosures influence managerial opportunistic behavior. We employ insider trades and stock price crash risk to capture managerial opportunism. Applying a difference-in-differences research design with hand-collected data on derivative designations, we find that, after the implementation of SFAS 161, derivative users that comply with SFAS 161 experience a significantly greater decrease in both insider trades and stock price crash risk, compared with a matched control sample of nonderivative-users. We further provide evidence to suggest that SFAS 161 curbs managerial opportunism via reducing information asymmetry between corporate insiders and outside investors and enhancing the effectiveness of derivative hedging.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 3","pages":"384-419"},"PeriodicalIF":1.9,"publicationDate":"2023-11-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22472","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539668","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
Derivative disclosures and managerial opportunism 衍生品披露和管理机会主义
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2023-11-17 DOI: 10.1002/fut.22472
Guanming He, Helen Mengbing Ren
{"title":"Derivative disclosures and managerial opportunism","authors":"Guanming He, Helen Mengbing Ren","doi":"10.1002/fut.22472","DOIUrl":"https://doi.org/10.1002/fut.22472","url":null,"abstract":"Derivatives are increasingly used by managers not only to hedge risks but also to pursue nonhedging activities for fulfilling opportunistic incentives. The Statement of Financial Accounting Standards No. 161 (SFAS 161) requires firms to disclose their objectives and strategies for using derivatives. Using the adoption of this standard, we examine whether and how derivative disclosures influence managerial opportunistic behavior. We employ insider trades and stock price crash risk to capture managerial opportunism. Applying a difference-in-differences research design with hand-collected data on derivative designations, we find that, after the implementation of SFAS 161, derivative users that comply with SFAS 161 experience a significantly greater decrease in both insider trades and stock price crash risk, compared with a matched control sample of nonderivative-users. We further provide evidence to suggest that SFAS 161 curbs managerial opportunism via reducing information asymmetry between corporate insiders and outside investors and enhancing the effectiveness of derivative hedging.","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"22 1","pages":""},"PeriodicalIF":1.9,"publicationDate":"2023-11-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539713","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
Performance comparison of alternative stochastic volatility models and its determinants in energy futures: COVID-19 and Russia–Ukraine conflict features 能源期货中替代随机波动率模型及其决定因素的绩效比较:COVID-19和俄罗斯-乌克兰冲突特征
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2023-11-14 DOI: 10.1002/fut.22469
Mário Correia Fernandes, José Carlos Dias, João Pedro Vidal Nunes
{"title":"Performance comparison of alternative stochastic volatility models and its determinants in energy futures: COVID-19 and Russia–Ukraine conflict features","authors":"Mário Correia Fernandes,&nbsp;José Carlos Dias,&nbsp;João Pedro Vidal Nunes","doi":"10.1002/fut.22469","DOIUrl":"10.1002/fut.22469","url":null,"abstract":"<p>This paper studies the volatility dynamics of futures contracts on crude oil, natural gas, and gasoline. An appropriate Bayesian model comparison exercise between seven stochastic volatility (SV) models is estimated using daily prices for our futures contracts between 2005 and 2023. Moreover, to assess the impacts of COVID-19 and the Russia–Ukraine conflict on volatility, we analyze these two subsamples. Overall, we find that: (i) the Bayes factor shows that the SV model with <math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>t</mi>\u0000 </mrow>\u0000 <annotation> $t$</annotation>\u0000 </semantics></math>-distributed innovations outperforms the competing models; (ii) crude oil contracts with different expiry dates may require the introduction of leverage effects; (iii) the <math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>t</mi>\u0000 </mrow>\u0000 <annotation> $t$</annotation>\u0000 </semantics></math>-distributed innovations remain the appropriate model for the COVID-19 subsample, while jumps are needed in the conflict period; and (iv) other Bayesian criteria more appropriate to short-term predictive ability—such as the conditional and the observed-date deviance information criterion—suggest other rank order to model our futures contracts, despite the agreements for the best models.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 3","pages":"343-383"},"PeriodicalIF":1.9,"publicationDate":"2023-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539680","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
Performance comparison of alternative stochastic volatility models and its determinants in energy futures: COVID-19 and Russia–Ukraine conflict features 能源期货中替代随机波动率模型及其决定因素的绩效比较:COVID-19和俄罗斯-乌克兰冲突特征
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2023-11-14 DOI: 10.1002/fut.22469
Mário Correia Fernandes, José Carlos Dias, João Pedro Vidal Nunes
{"title":"Performance comparison of alternative stochastic volatility models and its determinants in energy futures: COVID-19 and Russia–Ukraine conflict features","authors":"Mário Correia Fernandes, José Carlos Dias, João Pedro Vidal Nunes","doi":"10.1002/fut.22469","DOIUrl":"https://doi.org/10.1002/fut.22469","url":null,"abstract":"This paper studies the volatility dynamics of futures contracts on crude oil, natural gas, and gasoline. An appropriate Bayesian model comparison exercise between seven stochastic volatility (SV) models is estimated using daily prices for our futures contracts between 2005 and 2023. Moreover, to assess the impacts of COVID-19 and the Russia–Ukraine conflict on volatility, we analyze these two subsamples. Overall, we find that: (i) the Bayes factor shows that the SV model with <math altimg=\"urn:x-wiley:02707314:media:fut22469:fut22469-math-0001\" location=\"graphic/fut22469-math-0001.png\">\u0000<semantics>\u0000<mrow>\u0000<mi>t</mi>\u0000</mrow>\u0000$t$</annotation>\u0000</semantics></math>-distributed innovations outperforms the competing models; (ii) crude oil contracts with different expiry dates may require the introduction of leverage effects; (iii) the <math altimg=\"urn:x-wiley:02707314:media:fut22469:fut22469-math-0002\" location=\"graphic/fut22469-math-0002.png\">\u0000<semantics>\u0000<mrow>\u0000<mi>t</mi>\u0000</mrow>\u0000$t$</annotation>\u0000</semantics></math>-distributed innovations remain the appropriate model for the COVID-19 subsample, while jumps are needed in the conflict period; and (iv) other Bayesian criteria more appropriate to short-term predictive ability—such as the conditional and the observed-date deviance information criterion—suggest other rank order to model our futures contracts, despite the agreements for the best models.","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"66 1","pages":""},"PeriodicalIF":1.9,"publicationDate":"2023-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539724","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
Uncertainty and investment: Evidence from domestic oil rigs 不确定性与投资：来自国内石油钻井平台的证据
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2023-11-08 DOI: 10.1002/fut.22474
Asad Dossani, John Elder
{"title":"Uncertainty and investment: Evidence from domestic oil rigs","authors":"Asad Dossani,&nbsp;John Elder","doi":"10.1002/fut.22474","DOIUrl":"10.1002/fut.22474","url":null,"abstract":"<p>We provide new evidence on the response of investment to uncertainty, using granular and high-frequency (weekly) data on domestic oil drilling and oil prices since 2012, corresponding to the period of widespread horizontal drilling and hydraulic fracturing in the United States. Weekly data permits much weaker identifying restrictions than is required with monthly data that is common in the literature. We measure domestic drilling activity by the number of rigs drilling for oil, and we measure oil uncertainty by implied volatility from options on oil futures and the return on delta-neutral straddles from options on oil futures. We show that the number of oil drilling rigs are tightly linked to both oil prices and oil uncertainty, and we find that oil uncertainty significantly decreases the number of drilling rigs, with a one standard deviation increase in uncertainty reducing the number of drilling rigs by up to 5%.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 2","pages":"323-340"},"PeriodicalIF":1.9,"publicationDate":"2023-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22474","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135342374","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
Predictability of commodity futures returns with machine learning models 利用机器学习模型预测商品期货收益
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2023-11-08 DOI: 10.1002/fut.22471
Shirui Wang, Tianyang Zhang
{"title":"Predictability of commodity futures returns with machine learning models","authors":"Shirui Wang,&nbsp;Tianyang Zhang","doi":"10.1002/fut.22471","DOIUrl":"10.1002/fut.22471","url":null,"abstract":"<p>We use prevailing machine learning models to investigate the predictability of futures returns in 22 commodities with commodity-specific and macroeconomic factors as predictors. Out-of-sample prediction errors for the majority of futures contracts are lowered compared with those obtained by the baseline models of AR(1) and forecast combinations. Using Shapley values to explain feature importance, we identify dominant predictors for each commodity. A long–short portfolio strategy based on monthly light gradient-boosting machine predictions outperforms the benchmark linear models in terms of annual return, Sharpe ratio, and max drawdown.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 2","pages":"302-322"},"PeriodicalIF":1.9,"publicationDate":"2023-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135341892","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
Revisiting the puzzle of jumps in volatility forecasting: The new insights of high-frequency jump intensity 重新审视波动率预测中的跳跃之谜：高频跳跃强度的新见解
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2023-11-06 DOI: 10.1002/fut.22468
Hui Qu, Tianyang Wang, Peng Shangguan, Mengying He
{"title":"Revisiting the puzzle of jumps in volatility forecasting: The new insights of high-frequency jump intensity","authors":"Hui Qu,&nbsp;Tianyang Wang,&nbsp;Peng Shangguan,&nbsp;Mengying He","doi":"10.1002/fut.22468","DOIUrl":"10.1002/fut.22468","url":null,"abstract":"<p>Motivated by the puzzling null impact of high-frequency-based jumps on future volatility, this paper exploits the rich information content in high-frequency jump intensity with a mark structure under the heterogeneous autoregressive framework. Our proposed model shows that harnessing jump intensity information from the marked Hawkes process leads to significantly superior in-sample fit and out-of-sample forecasting accuracy. In addition to statistical significance evidence, we also illustrate the economic significance in terms of trading efficiency. Our findings hold for a variety of competing models and under different market conditions, underlying the robustness of our results.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 2","pages":"218-251"},"PeriodicalIF":1.9,"publicationDate":"2023-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135634357","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
Hedging pressure and oil volatility: Insurance versus liquidity demands 套期保值压力与石油波动：保险与流动性需求
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2023-11-06 DOI: 10.1002/fut.22470
Christina Sklibosios Nikitopoulos, Alice Carole Thomas, Jianxin Wang
{"title":"Hedging pressure and oil volatility: Insurance versus liquidity demands","authors":"Christina Sklibosios Nikitopoulos,&nbsp;Alice Carole Thomas,&nbsp;Jianxin Wang","doi":"10.1002/fut.22470","DOIUrl":"10.1002/fut.22470","url":null,"abstract":"<p>This study evaluates the dual role of hedging pressure (HP) in oil futures markets and analyses its effects on weekly oil volatility. We find that HP driven by hedgers' insurance demands is negatively related to volatility, while HP driven by speculators' short-term liquidity demands is positively related to volatility. Oil volatility tends to be more responsive to speculators' short-term liquidity demands than variations induced by hedgers' insurance demands. These channels are also significant determinants of volatility in inverted and normal markets, with the effects being more pronounced in inverted markets. Under low financial and business-cycle risk environments, the two HP channels typically have a measurable impact on volatility. These opposing effects of HP on weekly volatility provide empirical support on the significance of the dual role of hedgers in oil markets, as price insurance seekers and as short-term liquidity providers.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 2","pages":"252-280"},"PeriodicalIF":1.9,"publicationDate":"2023-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22470","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135634948","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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