发布求助
文献互助 智能选刊 最新文献

Journal of Futures Markets最新文献

筛选
英文 中文
Do Price Jumps Matter in Volatility Forecasts of US Treasury Futures? 价格跳涨对美国国债期货波动率预测有影响吗？
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-01-20 DOI: 10.1002/fut.22567
Xueer Zhang, Jui-Cheng Hung, Chien-Liang Chiu
{"title":"Do Price Jumps Matter in Volatility Forecasts of US Treasury Futures?","authors":"Xueer Zhang,&nbsp;Jui-Cheng Hung,&nbsp;Chien-Liang Chiu","doi":"10.1002/fut.22567","DOIUrl":"https://doi.org/10.1002/fut.22567","url":null,"abstract":"<div>\u0000 \u0000 <p>This study investigates volatility forecasts in the US Treasury futures market and emphasizes the importance of price jumps across various maturities under moderate and sharp interest rate rising scenarios. We assess out-of-sample forecasting performance not only with statistical method but economic method based on a volatility timing strategy. Our findings indicate that models including price jumps specifications exhibit substantial enhancements in both evaluation methods over the entire out-of-sample period, particular for the period of sharp interest rate rising. Our results are robust to nonparametric jump tests used in this study, transaction costs, and portfolio rebalancing method.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 4","pages":"326-342"},"PeriodicalIF":1.8,"publicationDate":"2025-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143581957","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 Characteristics and Asset Pricing Models 商品期货特征与资产定价模型
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-01-20 DOI: 10.1002/fut.22559
Qin Yiyi, Jun Cai, Jie Zhu, Robert Webb
{"title":"Commodity Futures Characteristics and Asset Pricing Models","authors":"Qin Yiyi,&nbsp;Jun Cai,&nbsp;Jie Zhu,&nbsp;Robert Webb","doi":"10.1002/fut.22559","DOIUrl":"https://doi.org/10.1002/fut.22559","url":null,"abstract":"<div>\u0000 \u0000 <p>A latent-factor model based on the instrumented principal component analysis (IPCA) methodology of Kelly et al. outperforms existing factor models in explaining cross-sectional variations in commodity futures returns. The model allows for observed commodity futures characteristics to work as instruments for unobservable dynamic factor loadings. We find that the relationship between characteristics and commodity futures returns is driven by compensation for exposure to latent risk factors (beta) rather than compensation for exposure to mispricing (alpha). Three latent factors deliver more powerful explanations than any number of observable factors. Among a collection of 20 characteristics, only three are significantly related to latent factor betas. These three characteristics are momentum, expected shortfall, and idiosyncratic volatility.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 3","pages":"176-207"},"PeriodicalIF":1.8,"publicationDate":"2025-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143389167","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 Dependence and Optimal Asset Allocation 商品依赖与最优资产配置
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-01-20 DOI: 10.1002/fut.22563
Vianney Dequiedt, Mathieu Gomes, Kuntara Pukthuanthong, Benjamin Williams-Rambaud
{"title":"Commodity Dependence and Optimal Asset Allocation","authors":"Vianney Dequiedt,&nbsp;Mathieu Gomes,&nbsp;Kuntara Pukthuanthong,&nbsp;Benjamin Williams-Rambaud","doi":"10.1002/fut.22563","DOIUrl":"https://doi.org/10.1002/fut.22563","url":null,"abstract":"<div>\u0000 \u0000 <p>We present a model to explain the diversification benefits of incorporating commodities into a portfolio of traditional assets from the perspective of domestic investors. Utilizing a sample of 38 countries from 2000 to 2020, we show that investors in high-commodity dependence countries generally do not benefit from adding commodities to their portfolios while investors located in low-commodity dependence countries usually do. Our results thus show that local contexts matter and that commodities may augment a diversified portfolio if investors are not excessively exposed to commodity risk through their country's economic structure.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 3","pages":"224-246"},"PeriodicalIF":1.8,"publicationDate":"2025-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143389445","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 Determinants of Marginal Convenience Yield in Agricultural Commodity Markets 农产品市场边际便利产量的决定因素
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-01-14 DOI: 10.1002/fut.22562
Theodora Bermpei, Athanasios Triantafyllou
{"title":"The Determinants of Marginal Convenience Yield in Agricultural Commodity Markets","authors":"Theodora Bermpei,&nbsp;Athanasios Triantafyllou","doi":"10.1002/fut.22562","DOIUrl":"https://doi.org/10.1002/fut.22562","url":null,"abstract":"<div>\u0000 \u0000 <p>We report a significant downward trend in the convenience yield for holding physical inventory in agricultural commodity futures markets, attributing this negative trend to speculative demand shocks, which in turn, leads in decreasing agricultural convenience yields. Moreover, agricultural convenience yields appear negative on average during the recent financialization (of commodities) period. We additionally show that the response of agricultural convenience yields to commodity price uncertainty and supply shocks is much less pronounced in magnitude and persistence compared to that of hedging demand shocks. Overall, our analysis verifies the Keynesian theory of normal backwardation by showing a long-lasting positive response of agricultural convenience yields to a hedging demand shock, thereby leaving the hedging demand as the most significant factor explaining the less frequently observed backwardations in agricultural futures markets.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 4","pages":"289-307"},"PeriodicalIF":1.8,"publicationDate":"2025-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143581705","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
Price Discovery in Bitcoin Spot or Futures? The Jury Is Out 比特币现货还是期货的价格发现？尚无定论
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-01-09 DOI: 10.1002/fut.22560
Alex Frino, Robert Gaudiosi, Robert I. Webb, Z. Ivy Zhou
{"title":"Price Discovery in Bitcoin Spot or Futures? The Jury Is Out","authors":"Alex Frino,&nbsp;Robert Gaudiosi,&nbsp;Robert I. Webb,&nbsp;Z. Ivy Zhou","doi":"10.1002/fut.22560","DOIUrl":"https://doi.org/10.1002/fut.22560","url":null,"abstract":"<div>\u0000 \u0000 <p>This study clarifies discrepancies in previous research on the contribution of regulated Bitcoin futures to price discovery, where conclusions have varied between futures leading over spot markets or vice versa. We identify potential reasons behind these conflicting findings, including the choice of price discovery measures, sampling frequencies, modeling windows, futures contracts, and spot exchanges. Using 1-s sampling frequencies to accurately capture price discovery in the fast-paced markets and accounting for substantial noise differences between spot and futures markets, we find that the futures market generally leads spot markets, though this price leadership exhibits daily fluctuations. Moreover, we observe a pronounced increase in the futures market's contribution to price discovery around macroeconomic surprises and Tether stablecoin minting tweets.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 4","pages":"269-288"},"PeriodicalIF":1.8,"publicationDate":"2025-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143581841","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 2, February 2025 期货市场杂志：第45卷，第2期，2025年2月
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-01-07 DOI: 10.1002/fut.22518
{"title":"Journal of Futures Markets: Volume 45, Number 2, February 2025","authors":"","doi":"10.1002/fut.22518","DOIUrl":"https://doi.org/10.1002/fut.22518","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 2","pages":"77"},"PeriodicalIF":1.8,"publicationDate":"2025-01-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22518","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143112779","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
From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear? 从经济政策不确定性到隐含市场波动：无所畏惧？
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-12-30 DOI: 10.1002/fut.22558
Lu Yang
{"title":"From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear?","authors":"Lu Yang","doi":"10.1002/fut.22558","DOIUrl":"https://doi.org/10.1002/fut.22558","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper investigates the interdependence between economic policy uncertainty (EPU) and implied market volatility using a Bayesian copula network. The results indicate that market-implied volatilities serve as more reliable forward-looking indicators of uncertainty compared to newspaper-based EPU. Through a complex partial wavelet coherence approach, the study further explores the dynamic interdependence between these variables, revealing the specific time-domain patterns of their effects on economic uncertainty and the conditions under which they can be distinguished as measures of risk aversion and ambiguity aversion. Notably, the findings suggest that, in the short time scales, the media tends to generate ambiguity, contributing to belief divergence among market participants. However, over longer time scales, EPU increasingly reflects economic uncertainty. These insights are valuable for gaining a deeper understanding of the media's role in conveying information and the behavioral traits influencing economic decision-making.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 2","pages":"143-157"},"PeriodicalIF":1.8,"publicationDate":"2024-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143120572","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
Term Structure and Risk Premiums of Commodity Futures With Linear Regressions 基于线性回归的商品期货期限结构与风险溢价
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-12-24 DOI: 10.1002/fut.22557
Daejin Kim
{"title":"Term Structure and Risk Premiums of Commodity Futures With Linear Regressions","authors":"Daejin Kim","doi":"10.1002/fut.22557","DOIUrl":"https://doi.org/10.1002/fut.22557","url":null,"abstract":"<div>\u0000 \u0000 <p>We apply the regression-based affine term structure model to estimate the term structure of commodity futures. This model is advantageous in that it has a simple and fast algorithm, can accommodate a variety of observable and unspanned factors, and can be applied to daily and even real-time observations. The results show that the model appropriately captures time-series variations across different maturities and exhibits satisfactory performance in capturing cross-sectional variations for specific months. Furthermore, we investigate the relationship between the existing commodity risk factor returns and the risk premiums inferred by the model. Our analysis reveals that different risk factor returns explain the spot and term premiums differently. Therefore, using the advantages of the model, we can better understand the term structure and risk premiums in commodity futures.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 2","pages":"118-142"},"PeriodicalIF":1.8,"publicationDate":"2024-12-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143118608","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 1, January 2025 期货市场杂志：第45卷，第1期，2025年1月
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-12-11 DOI: 10.1002/fut.22517
{"title":"Journal of Futures Markets: Volume 45, Number 1, January 2025","authors":"","doi":"10.1002/fut.22517","DOIUrl":"https://doi.org/10.1002/fut.22517","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 1","pages":"1"},"PeriodicalIF":1.8,"publicationDate":"2024-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22517","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142851414","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 Economics of Liquid Staking Derivatives: Basis Determinants and Price Discovery 流动性投资衍生品的经济学：基础决定因素和价格发现
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-11-20 DOI: 10.1002/fut.22556
Stefan Scharnowski, Hossein Jahanshahloo
{"title":"The Economics of Liquid Staking Derivatives: Basis Determinants and Price Discovery","authors":"Stefan Scharnowski,&nbsp;Hossein Jahanshahloo","doi":"10.1002/fut.22556","DOIUrl":"https://doi.org/10.1002/fut.22556","url":null,"abstract":"<p>This paper provides a first economic analysis of liquid staking tokens, which are derivatives representing a share of staked tokens in Proof-of-Stake blockchains. We document substantial time-variation in the “liquid staking basis” as given by the price difference between a derivative staking token and its underlying cryptocurrency. We find evidence that staking rewards, concentration risks, limits to arbitrage, and behavioral factors influence this basis. The liquid staking basis is wider when the yields offered by the liquid staking protocol are low relative to the alternative of staking directly, when cryptocurrency returns are more volatile, and when secondary market liquidity is low. In contrast, it is smaller when investors pay more attention to liquid staking and when investor sentiment is positive. Furthermore, liquid staking tokens contribute a significant and overall growing amount to price discovery in the underlying cryptocurrencies.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 2","pages":"91-117"},"PeriodicalIF":1.8,"publicationDate":"2024-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22556","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143117322","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
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信