Journal of Futures Markets最新文献

Applying a no-arbitrage term structure model, we analyze how risk premiums in crude oil, corn, and ethanol futures have evolved amid their increasingly synchronized price movements. Specifically, the model estimates a common factor that summarizes the information driving the three futures prices simultaneously and one idiosyncratic factor that captures distinct information in each market. The common risk prices are more strongly linked to macroeconomic observables, whereas market-specific factors Granger cause the risk prices of both common and idiosyncratic components. We find that financialization negatively impacts the overall level of risk premiums. The risk premiums for crude oil, corn, and ethanol risk premiums all increased from the financialization period to the post-financialization period. While financialization significantly affected the level of risk premiums, its influence on their comovement across markets may have been limited. In contrast, uncertainty surrounding biofuel policy may have affected the linkage between corn and ethanol risk premiums.

We investigate variance swap pricing by incorporating a self-exciting Hawkes process into a stochastic liquidity risk model. Within this framework, we derive closed-form pricing formulas for discretely sampled variance swaps using two different methods. Through asymptotic analysis, we demonstrate that the discretely sampled pricing formulas converge to their continuously sampled counterparts as the sampling interval approaches zero. Numerical results further highlight the significant impact of jump clustering on the strike prices of variance swaps.

We propose and implement a trading strategy based on the index-tracking approach to build portfolios that hedge climate risk using commodity futures. We consider the climate change news index of Engle et al. to derive the hedge target. The empirical results suggest that the index-tracking approach performs well in constructing climate change hedge portfolios. The short-selling constraint enhances the out-of-sample hedge performance due to the alleviation of overfitting. The hedge performance indicates that commodity futures could be effective tools for hedging climate risk. We further reveal the heterogeneous roles of commodity futures in hedging climate risk. Our work provides an effective strategy for constructing climate change hedge portfolios and highlights the important and potential role of commodity futures in the era of climate change.

This study examines the differing roles played by financial speculators in the short- and long-term trading within the crude oil futures market. Inspired by microstructure theory, we utilize the predictability of crude oil futures returns to infer whether speculators in different periods act as risk sharers or risk takers. Our research finds that in the long term, speculators receive a risk premium from hedgers for providing price insurance, but due to frequent short-term trading, speculators also have to pay a liquidity premium. Specifically, impatient speculators pay higher costs for short-term liquidity demands than the long-term speculative incentives they receive from hedgers. Additionally, we find heterogeneous information focuses and time-varying risk appetite within speculator groups. These divergences motivate institutional speculators to exit the market earlier during financial crises, while small speculators sustain hedging functions through persistent participation.

This study attempts to investigate the economic motivation of high-frequency traders (HFTs) to use single-stock futures (SSFs) contracts. Using a novel intraday data set from the largest exchange of SSFs, with identifiers for algorithmic traders, we attempt to disentangle the hedging and information-based trading motivations of HFTs in using this market. We find that hedging is the primary motivation for HFTs to use the futures market. We also find that the regulatory change of upward revision of the minimum contract size in the derivative market made it more difficult for the HFTs to use the futures to hedge their spot market exposure effectively.

Agricultural producers face significant price risk, yet studies consistently find farmers use futures and options much less than predicted by optimal hedging models. Using nationally representative farm-level data, we investigate two underexplored factors that can affect the use of exchange-traded derivatives: historical basis risk and cash constraints. We show that corn and soybean farms located in counties that experienced a large, negative change in the corn basis between planting and harvest (a negative basis shock) in the last 5 years are less likely to use futures contracts (6–12 percentage points) and options contracts (3–18 percentage points), but have a greater likelihood of marketing contract use (14–24 percentage points). We also find that farms with greater cash constraints (lower cash holdings) are less likely to use futures and options. We show that crop insurance, storage, and cooperative membership are complementary when using futures and options.