中国小麦期货市场效率的协整检验

本文采用扩展恩格尔-格朗杰检验对中国小麦期货市场效率进行研究,结果显示:未来现货价格与距最后交易日前第7、14、28天期货价格协整,并且距最后交易日越近,期货价格越接近对未来现货价格的无偏估计,期货市场接近有效率市场;未来现货价格与距最后交易日前第56天的期货价格不协整,因此可推断距最后交易日超过56天的期货市场没有效率。     

How about selling commodity futures losers?

This paper explores the benefits of extending the investment universe to commodity futures, from the perspective of momentum traders. We find that the growth-optimal portfolio includes negative (positive) weights on commodity futures losers (stock winners). Motivated by this finding, we construct a joint momentum strategy, buying stock winners and selling commodity futures losers, and show that it generates an average monthly return of up to 1.91% and provides much lower skewness (0.04) and kurtosis (1.27) than a traditional stock momentum strategy. It also greatly improves profitability, especially in unfavorable market states, and thus effectively manages tail risk.     

Economic uncertainty,trading activity,and commodity futures volatility

This paper investigates the dynamics of commodity futures volatility. I derive the variance decomposition for the futures basis and show unexpected excess returns result from new information about expected future interest rates, convenience yields, and risk premia. Measures of uncertainty in economic conditions have significant predictive power for realized volatility of commodity futures returns, after controlling for lagged volatility, returns, commodity index trading, hedging pressure, and other trading activity, even during the so-called “index financialization” period. During this period, hedge fund performance predicts volatility in grain commodities, which are affected by the US ethanol mandate.     

Hedging long‐term commodity risk

This study focuses on the problem of hedging longer‐term commodity positions, which often arises when the maturity of actively traded futures contracts on this commodity is limited to a few months. In this case, using a rollover strategy results in a high residual risk, which is related to the uncertain futures basis. We use a one‐factor term structure model of futures convenience yields in order to construct a hedging strategy that minimizes both spot‐price risk and rollover risk by using futures of two different maturities. The model is tested using three commodity futures: crude oil, orange juice, and lumber. In the out‐of‐sample test, the residual variance of the 24‐month combined spot‐futures positions is reduced by, respectively, 77%, 47%, and 84% compared to the variance of a naïve hedging portfolio. Even after accounting for the higher trading volume necessary to maintain a two‐contract hedge portfolio, this risk reduction outweighs the extra trading costs for the investor with an average risk aversion. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:109–133, 2003     

浅析套期保值中棉花套利的应用

套保套利是指以规避现货价格风险为目的的期货交易行为.企业开展套保套利交易,是将期货市场当作转移价格风险的场所,利用期货合约作为将来在现货市场上买卖商品的临时替代物,对其现在买进但准备以后售出的商品或对将来需要买进的商品的价格进行"锁定"的交易活动.套保套利的本质在于"风险对冲"和"风险转移".     

Short selling,unwinding, and mispricing

This article highlights the impact of short selling restrictions and early unwinding opportunities on the relation between futures and spot prices. Within a multiperiod equilibrium model, the influence of optimal arbitrage trading on the mispricing is analyzed. Results concerning trade volume and level, mean reversion, and path dependence of the mispricing are provided. The empirical evidence suggests that short selling restrictions and early unwinding opportunities are influential factors for the mispricing behavior. They help explain empirical findings reported in the literature. © 1998 John Wiley & Sons, Inc. Jrl Fut Mark 18:903–923, 1998     

Managed futures,positive feedback trading,and futures price volatility

A major issue in recent years is the role that large, managed futures funds and pools play in futures markets. Many market participants argue that managed futures trading increases price volatility due to the size of managed futures trading and reliance on positive feedback trading systems. The purpose of this study is to provide new evidence on the impact of managed futures trading on futures price volatility. A unique data set on managed futures trading is analyzed for the period 1 December 1988 through 31 March 1989. The data set includes the daily trading volume of large commodity pools for 36 different futures markets. Regression results are unequivocal with respect to the impact of commodity pool trading on futures price volatility. For the 72 estimated regressions (two for each market), the coefficient on commodity pool trading volume is significantly different from zero in only four cases. These results constitute strong evidence that, at least for this sample period, commodity pool trading is not associated with increases in futures price volatility. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 759–776, 1999     

Price discovery in bitcoin spot or futures?

In December 2017, both the Chicago Board Options Exchange and the Chicago Mercantile Exchange introduced futures contracts on bitcoin. We investigate to what extent they provide useful information for the price discovery of bitcoin. We rely on the information share methodology of Hasbrouck (1995, J Finance, 50, pp. 1175–1199) and Gonzalo and Granger (1995, J Bus Econ Stat, 13, pp. 27–35) and find that the spot price leads the futures price. We attribute this result to the higher trading volume and the longer trading hours of the globally distributed bitcoin spot market, compared to the relatively restricted access to the US-based futures markets.     

Mispricing of index futures contracts and short sales constraints

This article examines if changes in short sales constraints affect the extent to which index futures contracts are mispriced. In particular, the study analyzes the mispricing of the Hong Kong Hang Seng Index futures contracts. Tests are conducted over three distinct regulatory regimes relating to the short selling of stocks in Hong Kong. This permits a study of how changes in short selling regulations affect the mispricing of futures contracts. The study indicates that relaxing the constraints on short selling reduces the extent of futures mispricing. Multiple regression analysis is used to test the relationship between the magnitude of mispricing and various economic factors including cash market volatility, time-to-maturity of the contract, trading cost, and dividend payout rates. The study also finds that lifting of the short selling restrictions speeds up market adjustment, especially when a long-hedge (long futures, short stock) signal is detected. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 695–715, 1999     

股指期货如何影响股市稳定性?——对全球主要市场的三角度实证检验

以全球多个市场作为实证检验对象,从股市波动率变化、系统风险变化以及股市正反馈交易行为影响三个角度,分析股指期货市场稳定作用的含义,即对股市波动的影响及其作用表现,较为全面地解读股指期货的市场稳定作用。研究发现:三个角度都支持股指期货的市场稳定作用;而抑制正反馈交易的作用最为基础、直接和显著,是股指期货市场稳定作用的更为恰当的判断标准。     

On commodity price limits

This paper examines the behavior of futures prices and trader positions around the occurrence of price limits in commodity futures markets. We ask whether limit events are the result of shocks to fundamental volatility or the result of temporary volatility induced by the trading of noncommercial market participants (speculators). We find little evidence that limits events are the result of speculative activity, but instead associated with shocks to fundamentals that lead to persistent price changes. When futures trading halts price discovery migrates to options markets, but option prices provide a biased estimate of subsequent future prices when trading resumes.     

Impact of bitcoin futures on the informational efficiency of bitcoin spot market

This study examines the informational efficiency of the bitcoin spot market by evaluating the predictive power of mechanical trading rules designed to exploit price continuation. Significant return predictability is found until the introduction of bitcoin futures in December 2017. The forecasting ability of trend‐chasing trading rules declines dramatically afterwards. Although evidence suggests that the introduction of bitcoin futures has increased the informational efficiency of the bitcoin spot market, no signs of improvement in informational efficiency are found in ethereum, the second‐largest cryptocurrency—following the introduction of bitcoin futures.     

Approximation for convenience yield in commodity futures pricing

The pricing of commodity futures contracts is important both for professionals and academics. It is often argued that futures prices include a convenience yield, and this article uses a simple trading strategy to approximate the impact of convenience yields. The approximation requires only three variables—underlying asset price volatility, futures contract price volatility, and the futures contract time to maturity. The approximation is tested using spot and futures prices from the London Metals Exchange contracts for copper, lead, and zinc with quarterly observations drawn from a 25‐year period from 1975 to 2000. Matching Euro‐Market interest rates are used to estimate the risk‐free rate. The convenience yield approximation is both statistically and economically important in explaining variation between the futures price and the spot price after adjustment for interest rates. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:1005–1017, 2002     

Are single stock futures used as an alternative during a short‐selling ban?

The response of the single stock futures (SSF) market to a short‐selling ban is investigated. The hypothesis is that traders use SSF as a substitute instrument for short‐selling. A significant increase in SSF trading activity is documented, accompanied by narrower spreads. SSF market volatility did not react during the ban, which suggests that the increased trading activity did not weaken SSF market quality. The quality of the underlying market during the ban period is also assessed, with the results suggesting that changes in SSF market activity had neither positive nor negative effects on the stocks’ liquidity, volatility, and volume.     

Do individual index futures investors destabilize the underlying spot market?

This study investigates the impact of introducing index futures trading on the volatility of the underlying stock market. We exploit a unique institutional setting in which presumably uninformed individuals are the dominant trader type in the futures markets. This enables us to investigate the destabilization hypothesis more accurately than previous studies do and to provide evidence for or against the influence of individuals trading in index futures on spot market volatility. To overcome econometric shortcomings of the existing literature we employ a Markov‐switching‐GARCH approach to endogenously identify distinct volatility regimes. Our empirical evidence for Poland suggests that the introduction of index futures trading does not destabilize the spot market. This finding is robust across three stock market indices and is corroborated by further analysis of a control group. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:81–101, 2011     

The effect of futures trading on the distribution of spot index returns: Implications for CVaR in the Spanish market

There is extensive empirical research on the potential destabilizing effects of futures trading activity on spot market volatility. Rather than just focusing on spot volatility, the authors deal with the contemporaneous relationship between futures trading volume and the overall probability distribution of spot market returns. Empirical evidence using intraday data from the Spanish stock index futures market over the period 2000–2002 is provided. Their findings reveal that the density function of spot return conditional to spot volume depends on unexpected futures trading volume.     

最低收购价政策改革背景下小麦期货市场价格发现功能再检验

通过构建最低收购价政策影响下小麦期现货市场的价格传导机制的理论框架,并选取2015年我国小麦最低收购价政策改革前后两个时期各4年的周度数据,使用ADF单位根检验、Johansen协整检验、Granger因果关系检验和方差分解对最低收购价政策改革背景下小麦期货市场的价格发现功能进行实证研究。研究结果表明:无论是强麦还是普麦,最低收购价政策改革对于小麦期货价格与现货价格均衡关系的形成均具有促进作用;在最低收购价政策改革之前,强麦期货市场不具有价格发现功能,之后这种功能才得以形成,同时普麦期货市场的价格发现功能变得更为显著;小麦期货市场的影响力强于现货市场,在价格发现功能中占据主导作用。     

The determinants of price discovery on bitcoin markets

This paper investigates whether market quality, uncertainty, investor sentiment and attention, and macroeconomic news affect bitcoin price discovery in spot and futures markets. Over the period December 2017–March 2019, we find significant time variation in the contribution to price discovery of the two markets. Increases in price discovery are mainly driven by relative trading costs and volume, and uncertainty to a lesser extent. Additionally, medium-sized trades contain most information in terms of price discovery. Finally, higher news-based bitcoin sentiment increases the informational role of the futures market, while attention and macroeconomic news have no impact on price discovery.     

Can commodity futures risk factors predict economic growth?

This paper examines whether commodity futures risk factors can predict future economic growth. We test risk factors capturing various spot or term premia and find that only three factors capturing term premia on the basis-momentum, basis, and change in slope are robust predictors for future economic growth, especially for long horizons. Our findings highlight the importance of the term premia, rather than the spot premia on which the literature has mainly focused. Moreover, we find that possible explanations for predictability of commodity factors—the intertemporal asset pricing model and information diffusion explanation—are all inconsistent with our empirical results.     

投资主体对我国农产品期货效率的影响

为了促进我国农产品期货市场的完善与发展,提高我国农产品期货市场的效率,对影响我国农产品期货市场效率的投资主体因素进行了具体分析。指出我国农产品期货市场投机者过多、套期保值者少、战略机构投资主体缺失等投资主体结构对期货市场效率的影响。提出引导农民合作组织进入期货市场、引导农业订单公司进入农产品期货市场、逐步放宽对国有企业参与期货市场的限制、积极发展我国的期货投资基金等具体政策建议。