Trading activity and price discovery in Bitcoin futures markets

This study examines the impact of trading activities on price discovery in the Bitcoin futures markets. We find that trades of hedgers are positively correlated with the modified information shares in both CME and CBOE futures markets, suggesting that their trading promotes futures market efficiency. Retailers’ trading activity relates negatively to the price discovery of the CME Bitcoin futures and thus destabilizes the market. Speculators exert positive (negative) impact on the price discovery in the CME (CBOE) Bitcoin futures. Our finding that CME’s Bitcoin futures exhibit superior price discovery than CBOE’s provides plausible justification for CBOE’s decision in March 2019 to suspend further listings of Bitcoin futures contracts.     

A Statistical Model to Investigate the Reproducibility Rate Based on Replication Experiments

The reproducibility crisis, that is, the fact that many scientific results are difficult to replicate, pointing to their unreliability or falsehood, is a hot topic in the recent scientific literature, and statistical methodologies, testing procedures and p‐values, in particular, are at the centre of the debate. Assessment of the extent of the problem–the reproducibility rate or the false discovery rate–and the role of contributing factors are still an open problem. Replication experiments, that is, systematic replications of existing results, may offer relevant information on these issues. We propose a statistical model to deal with such information, in particular to estimate the reproducibility rate and the effect of some study characteristics on its reliability. We analyse data from a recent replication experiment in psychology finding a reproducibility rate broadly coherent with other assessments from the same experiment. Our results also confirm the expected role of some contributing factor (unexpectedness of the result and room for bias) while they suggest that the similarity between original study and the replica is not so relevant, thus mitigating some criticism directed to replication experiments.     

Settlement procedures and stock market efficiency

This study examines why most derivatives markets that settle on the day following expiration choose the opening rather than the closing price as the final settlement price (FSP), whereas most markets that settle on the expiration day select an average rather than a single price as the FSP. Four exogenous changes in the Taiwan Futures Exchange settlement procedures provide an experimental basis for studying the settlement procedures’ impact on underlying assets. Greatest market efficiency is observed when the FSP is determined by a single rather than an average price and hypothesize that manipulation is prevented at the expense of market quality.     

The price discovery role of day traders in futures market: Evidence from different types of day traders

Using proprietary account-level transaction data in the futures market where day traders are self-declared ex ante, this study investigates whether day traders enhance price discovery at the market level. From a natural classification of day traders, we find that heterogeneous day traders have differential effects on price discovery. Self-declared day traders, who benefit from low margin requirement, do not improve price discovery measured by information share. In contrast, non-declared traders, who are not self-declared as day traders, improve price discovery. Their positive impacts on price discovery are particularly significant during periods of high volatility and arrival of new information. Overall, a margin stimulating policy may encourage more day trading, but may also attract overconfident investors, especially inexperienced ones, and who do not enhance price discovery.     

Price discovery and volatility spillover in spot and futures markets: evidences from steel-related commodities in China

The price discovery and spillover effect are significant indicators in futures markets. This study examines the price discovery and spillover effects using vector error correction model and generalized autoregressive conditional heteroskedastic for seven types of steel products in Chinese spot and futures markets. The results show that the price discovery exists in all of steel futures market. It is also confirmed that futures prices in all items are mainly leading spot prices via permanent-transitory and information share. In the results of spillover effects, it is found that wire rod, coking coal, coke and silico-manganese have the effects between spot and futures market. In rebar market, there is the spillover effect from spot to futures. This information about futures prices can help the market participants to make decisions when they predict the spot prices.     

The untold story of commodity futures in China

We investigate the behavior of commodity futures risk premia in China. In the presence of retail-dominance and barriers-to-entry, the term structure and momentum premia remain persistent, whereas hedging pressure, skewness, volatility, and liquidity premia are distorted by time-varying margins and strict position limits. Furthermore, open interest, currency, and inflation premia are sensitive to institutional settings. The observed premia cannot be attributed to common risks, sentiment, transactions costs, or data-snooping, but are related to liquidity, anchoring, and regulation-induced limits-to-arbitrage. We highlight the distinctive features of Chinese futures markets and assess the challenges posed to theories of commodity risk premia.     

中美玉米期货市场功能效率比较

价格发现与套期保值是期货市场的基本功能,能够反映期货市场的运行效率。通过对比中美贸易摩擦前后期货市场的价格发现和套期保值功能,分析中美玉米期货市场效率间的差距,探究我国玉米期货市场运行效率低的原因。利用格兰杰(Granger)因果分析、协整检验、分位信息份额模型、套期保值比率及绩效分析方法,定量对中美两国2013—2019年玉米期货及现货的数据进行分析,结果表明,中国玉米期货市场存在较强的价格发现功能,但套期保值绩效不佳。使用前沿分位信息份额模型和滚动格兰杰因果法分析中美两国期现货市场动态关系的区别,发现中国仅存期货市场对现货市场的单向引导,而美国在中美贸易摩擦前表现为玉米期现货市场具有相近的引导能力,套期保值效率较高,中美贸易摩擦增强了其现货市场对期货市场的引导能力,降低了期货市场运行效率。从期现货市场双向引导关系视角来看,中国玉米期货市场效率低的原因主要是现货市场的信息不完全、发展不完善,期现货市场缺少长期稳定的双向引导关系抑制了期货市场功能发挥。中国应全面加强期货市场建设,提升期货市场定价效率,推动农产品期货市场快速健康发展。     

基于过程挖掘的物流运作风险发现研究

为了探究物流运作过程中存在的风险,提高物流运作效率,增强物流企业管理能力,以真实的事件日志为基础,运用过程挖掘方法发现物流企业运作过程中的风险。首先以Petri网理论为基础,构建了理想的工作模型,然后使用过程挖掘工具ProM,运用模糊挖掘算法和启发式挖掘算法,对物流运作过程中产生的真实事件日志进行挖掘,获得实际的客观视图,最后利用ProM工具的一致性检查发现物流运作过程中的异常行为模式,并分析物流运作过程中的偏差以及存在的风险。结果表明,过程挖掘能客观地揭示事件日志中活动之间的依赖关系,并发现物流企业自身运作过程中的偏差和风险。研究结果为全面、系统地分析物流企业潜在风险提供了新思路,有助于物流企业发现运作过程中的问题,对物流企业优化运作过程和提高管理效率具有重要的借鉴意义。     

The Effect of Political Uprisings on the Location of Price Discovery: Evidence from Egyptian Cross-Listed Equities

In this study, we aim to determine the location of price discovery for Egyptian cross-listed stocks around the political uprising that started on January 25, 2011, and resulted in a two-month stock market closure. We measure price discovery using Gonzalo and Granger's component share and Hasbrouck's information shares and find that, for some stocks, the contribution of the foreign market in pricing cross-listed equities increases in the period directly following the reopening of the Egyptian stock market. We discuss the factors that could explain the more pronounced shifts in the location of price discovery for some companies in the post-uprising period.