Alternative settlement methods and Australian individual share futures contracts

Individual share futures contracts have been introduced in Australia since 1994. Initially, the contracts were settled in cash. In 1996, cash settlement was gradually replaced by physical delivery. This study investigates the effects of the settlement method change on Australian individual stock and its futures markets. Specifically, we examine whether return and volatility of each market, correlation between the two markets, basis behavior, and hedging performance of futures markets differ across cash settlement period and physical delivery period. We find that, after the switch from cash settlement to physical delivery, the futures market, the spot market, and the basis all become more volatile. However, each individual share futures contract becomes a more effective hedging instrument. The improvement in hedging effectiveness is particularly impressive for the most recently established individual share futures contracts.     

Intraday futures market behaviour around major scheduled macroeconomic announcements: Australian evidence

This paper examines intraday futures market behaviour around major scheduled macroeconomic information announcements on the Sydney Futures Exchange (SFE). Prior literature analysing intraday price behaviour around announcements is extended to trading volume and quoted bid–ask spreads. The analysis of price volatility, trading volume and quoted bid–ask spreads indicates that the majority of adjustment to new information occurs rapidly, within 240 seconds of the scheduled time for major announcements, with some evidence of abnormal activity prior to announcements. Analysis of quoted bid–ask spreads suggests that they significantly widen in the 20 seconds prior to announcements and remain significantly wider for 30 seconds following announcements. The increase in quoted spreads is related to both expected and unexpected volatility, implying that market participants increase quoted spreads around information announcements as a consequence of adverse selection costs.     

Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets

We use the All Ordinaries Index and the corresponding Share Price Index futures contract written against the All Ordinaries Index to estimate optimal hedge ratios, adopting several specifications: an ordinary least squares‐based model, a vector autoregression, a vector error‐correction model and a diagonal‐vec multivariate generalized autoregressive conditional heteroscedasticity model. Hedging effectiveness is measured using a risk‐return comparison and a utility maximization method. We find that time‐varying generalized autoregressive conditional heteroscedasticity hedge ratios perform better than constant hedge ratios in terms of minimizing risks, but when return effects are also considered, the utility‐based measure prefers the ordinary least squares method in the in‐sample hedge, whilst both approaches favour the conditional time‐varying multivariate generalized autoregressive conditional heteroscedasticity hedge ratio estimates in out‐of‐sample analyses.     

Multiscale hedge ratio between the Australian stock and futures markets: Evidence from wavelet analysis

This paper examines the relationship between the Australian stock and futures markets over various time horizons. In contrast to methods employed in previous studies, wavelet analysis allows us to decompose data into various time scales. Using this technique and the Hurst exponent, we find that the Australian stock and futures markets are antipersistent. The wavelet correlation between the two markets varies over investment horizons, but remains very high. Furthermore, the magnitude of the correlation increases as the time scale increases, indicating that the stock market and the futures market of the All Ordinaries Index are found to be not fundamentally different. The hedge ratio increases as the wavelet time scale increases. In addition, the effectiveness of hedging strategies initially increases with the hedging horizon.     

Order imbalance,market returns and macroeconomic news: Evidence from the Australian interest rate futures market

The relationship between order imbalance, market returns and macroeconomic news is examined in the context of the Australian interest rate futures market. Contemporaneous order imbalance exerts a significant impact on market returns in the expected direction i.e. excess buy (sell) orders drive up (down) prices. Order imbalances are related to past market returns with market participants acting in a contrarian manner across all products following market rallies. Nine major macroeconomic announcements are identified with order imbalance, and returns, reacting to such announcements in a manner that correctly reflects the news component. Following a scheduled macroeconomic announcement there is an increase in the level of information asymmetry within the interest rate futures market, demonstrated by an increased sensitivity to order flow. Finally, the pattern of order imbalance immediately prior to scheduled announcements suggests that there is no information leakage.     

Examining the forward pricing function of the Australian equity index futures contract

The relationship between the Australian equity index futures and spot prices is examined. Tests indicate that futures prices with one, two and three months to maturity are unbiased predictors of the spot and hence provide an efficient hedging mechanism for Australian equity index market participants, while six‐, nine‐ and twelve‐month futures prices are biased predictors of spot prices, indicating that speculative opportunities may exist in futures contracts for these time spreads. An analysis of the short‐run dynamic properties of the long‐run equilibrium relationship found that for all time spreads the futures prices respond to changes in the long‐run equilibrium, and for the twelve‐month contract, both futures and spot prices adjust to return to the long‐run equilibrium.     

Index arbitrage and the pricing relationship between Australian stock index futures and their underlying shares

This paper examines the mispricing of Australian stock index futures. Exogenous and endogenous price volatility is confirmed to have a positive impact on the mispricing spread, after filtering out predictable time series components. More accurate pricing associated with surprise trading volume in the underlying stocks is consistent with arbitrageurs acting to narrow price disparities relative to the futures market. Ex‐ante interest rate volatility is the primary source of risk faced by arbitrageurs and fluctuations in the transaction cost of opening index arbitrage positions influence the extent to which they drive prices towards theoretical fair values.     

Robot futures: science fiction and futures studies methodologies in action

What would constitute a robot identity? Would a robot developing an identity be consciousness of the processes that could/would shape its identity? This essay explores these questions by considering images common to both, futures studies and science fiction—in particular, the now famous anti-capitalist demonstrations in Seattle in November 1999.     

The futures of science : The human context of scientific expectations

As the international scientific community faces increasingly complex global problems, there is a growing need for closer cooperation between scientists. This can only be achieved if it is based on an understanding of the cultural elements involved in the scientific enterprise, which determine how scientists interpret and strive towards the future. This article describes a research project undertaken to investigate the nature of scientists' worldviews by surveying their images of the future. No single scientific worldview emerged, but rather a structured set of alternative views of the future, running along demographic, social and cultural lines. Such diversity may theoretically provide a healthy basis for scientific enterprise, but only if used creatively; otherwise it may hinder international, ] multidisciplinary collaboration.     

Feral futures: Zen and aesthetics

Studies of ‘futures’ have hitherto focused on those that are predictable and ‘tame’, and on those that are unpredictable and ‘wild’. Here we consider a new class, the ‘feral’; which are expectations that things might be made worse by risk-based actions. The type case is the nuclear accident at Three Mile Island, where operatives assumed that what was unfolding was of a sort described in their manual, and discovered too late that responses based on that assumption were making the situation worse. In this paper we review the idea of ‘feral’ and how it applies to futures, and discuss the different modes of engagement (or non-engagement) with feral futures. To make feral futures manageable, we suggest two ideas from other spheres of activity. Zen is a practice and philosophy which enables us to drop our preconceptions and thereby to respond to emerging, unprecedented situations. Aesthetics articulates a particular way to sense and appreciate realities intuitively, again enabling a direct response. The combination of Zen and aesthetics with scenario practice in the tradition of Pierre Wack provides a promising mode of response to emerging feral futures.     

RBA monetary policy communication: The response of Australian interest rate futures to changes in RBA monetary policy

This paper examines the Australian interest rate futures market reaction to changes in Reserve Bank of Australia (RBA) monetary policy. Having determined market expectations from 30-day Interbank futures, the study finds evidence that interest rate futures react strongly to target rate announcements across the maturity spectrum, with a stronger reaction evident in short maturity futures. Further, there is evidence of an asymmetric news effect whereby volatility reacts more strongly to bad news. Disaggregation of the market reaction into target- and path-surprise factors demonstrates that the change in market expectations of future target rates plays a significant role in explaining changes in yield, particularly for bond futures. There is strong evidence that monetary policy statements drive the path-factor, while the December 2007 modification in policy communication has improved the ability of the RBA to influence market expectations.     

From change to progress: critical spirituality and the futures of futures studies

This paper argues that for futures studies (FS) to have a future that is relevant to current shifts in meaning and consciousness, then it must incorporate into its methods and practices a sense of mystery founded on a critically spiritual sensibility. Critical spirituality redefines rationality and empiricism by including within their framework both the somatic and the meditative as valid and necessary components of any research activity. In the short term this means a shift away from the current Western obsession with change and a stepping back to allow for critical distance in order to understand that it is in the appreciation of progress — a fundamental shift in consciousness to include the spiritual dimensions of human experience — that discourse will emerge to take FS to the heart of civilisational renewal. In allowing for mystery, silence and the meditative empiricism required to access these categories, critical spirituality lessens the gap between thought and action and thus enables truly transformative academic practice to emerge.The idea of progress has been central to the unfolding of the modernist project over the previous century. Yet as the century drew to a close it became increasingly hard to keep faith with the idea in the face of growing disillusionment and the obvious failure of modernism to deliver what people most wanted: happiness born of personal fulfillment. A growing range of voices in the critical futures field have been questioning the assumption that change in material terms equates with progress.These voices fall into four main areas.

• Post modernist and post structuralist thinkers;

• Feminists empowering postmodern discourse with value laden analyses of power;

• Post colonial thinkers with a debt to neo-Marxist and critical theorists;

• Neo-humanist thinkers with an investment in all three of the above, who work from a critically spiritual perspective.

In this paper I am going to argue that a Neo-humanist vision of the futures of Futures Studies is one which will fully engage the human potential by activating a critically spiritual methodology. This is important as many of the tools of futures work are actually intended for use in anticipating and managing change (uncritically) but have little relevance when considering the nature of progress. Those methods and techniques which engage with the less analytic more visionary process of futures are much more relevant to progress because they actively involve the individuals in the act of ‘futures building’ as opposed to ‘futures scanning’.‘Progress’ here is used to mean fundamental change in the consciousness of both the individual and collective mind. It is essentially spiritual and has no clear temporal or spacial restrictions being timeless, or as Joanna Macy would have it, anchored in “deep time” [1]. Change, on the other hand, is very much associated with technical and material movement, having no connection with the inner fabric of the human psyche. There is no appreciation of spirit here, though great attention is paid to gross national product and the latest technical innovation to hit the market.Futures Studies has the potential to be responsive to future human dilemmas. But to be so it will need to make the effort to embrace tools and concepts that lie beyond the narrow pall of academic rationality as it is currently constituted. A greater space is already emerging within the field that not only tolerates but promotes imaginative and creative processes that break down the intellectual prudery of those who are attached to their own discipline and have little capacity to envision beyond narrow and self imposed confines. Thus we find music and song, poetry and story, art and theatre effective vehicles for work on deeper forms of consciousness. Visioning and imaging workshops such as those run by Joanna Macy, Elise Boulding, John Seed and Warren Ziegler (to name but a few) are growing in power and sophistication. Meditation and other reflective practices — the spiritual quest — seeking to plumb the depth of the human soul become relevant when seen within a broadened definition of rationality and research.Clearly futurists need to be able to assess and describe likely changes in the short, medium and long term but their central goal should be to facilitate areas of human endeavor which can benefit from a closer linkage between action, the consciousness that informs and directs the action and the spirit that underwrites the consciousness. Equally clear is the fact that not all futures trends are as relevant to this deeper layer of operation within Futures Studies.     

Design futures in action: Documenting experiential futures for participatory audiences

The futures field demonstrates a willing openness in embracing methodologies, approaches, and influences from a diversity of disciplines and perspectives. This plurality of practice is evidenced in a growing body of work that increasingly embodies futures thinking in the design of everyday material and networked experiences. The intersection of design and futures produces artifacts, applications and interactions created to provoke dialog in an accessible manner. As part of the Futures special issue on the Emerge: Artists and Scientists Redesign the Future event, this article describes the documentation and public representation of the creative outcomes from nine Emerge design futures workshops. These workshops provided a rich opportunity to study how designers and futurists collaboratively engage, implement and communicate alternative futures. The goal of the documentation effort described is to capture the experience of creating experiential futures and extend the capacity for developing social foresight through a participatory exhibit and online social platform.     

The litany of death: a deep futures critique of the Australian Royal Commission into aboriginal deaths in custody

This article applies the futures research methodology called Causal Layered Analysis to the Australian Royal Commission into Aboriginal Deaths in Custody. Specifically the method is used to analyse the 339 recommendations of this Royal Commission that examined the causes of some 99 Aboriginal Deaths in Custody during the nine-year period from 1/1/1980. Spanning a generational period of 20 years, 10 of which since the multi million dollar Royal Commission and multi-multi million-dollar implementation process were put in place, aboriginal deaths in custody remain at the same rate. Conclusions are drawn about the inquiry, its inability to access deeper layers of cross-cultural causation and the separate implementation process. Further the failure of public administration in implementing the recommendations are also explored. Finally an ‘act of recovery’ is proposed to help us learn to prevent this happening again.     

Preparing for the professional futures field:: Observations from the UHCLC futures program

The futures field is an arena of increasing interest and activity. This article seeks to: (1) provide general information about key information sources for directed inquiry into futures studies; (2) sketch the origins and current status of the graduate program in Studies of the Future offered by the University of Houston at Clear Lake City—currently the largest and most comprehensive program of its kind; (3) Describe the methodology used in a recent strategic planning and program development project to update the UHCLC program; and (4) convey some guiding observations on teaching and research in futures studies, and on helping students find appropriate employment.     

DIYbio: Making things and making futures

http://DIYbio.org (Do It Yourself Biology) is an online site and a digital brand subscribed to local groups of amateur biologists worldwide. Despite of making up a rather heterogeneous public, DIYbio groups are organized around a concern to make biology accessible, easy and enjoyable. DIYbio combines an open source ethos, with a DIY will to do things and the joy to mess with biological matter. As biohacking is about de-composing and re-composing things, DIYbio takes on a particular approach to the making of the new and to the making of futures that this paper explores. Inspired by Heidegger's notion of the thing, I suggest that differing from institutionalized forms of biology, DIYbio produces things rather than techno-objects. I go into this point by first situating DIYbio in relation to synthetic biology and other instutionalised forms of biology. To explore how DIYbio takes on a particular approach to the making of the new, I look at a number of things that DIYbio groups have projected, designed and realized. I suggest that DIYbio combines a sort of individual craftiness and self-determination to do things with a praxis in which things are always in the making, waiting for the next realization. DIYbio take on an approach to the making of things and futures that is immediate and mundane. Yet, as an emerging public, DIYbio relies on an ambiguous relation to institutionalized science, and might be turned into a transfer of materialities and temporalities from public domains to science.     

The fragmented futures of human rights and democracy: A review of recent literature

A wide spectrum of recent futures-oriented, English-language literature on human rights and democracy is surveyed. Human rights and democracy are seldom mentioned together, and the literature on each of these two important concerns is profoundly fragmented. An appreciative framework for integrative thinking is created here. The future of both human rights and democracy is found to be profoundly ambiguous, with many threats and opportunitities. Looking at all of them through a broad overview could hasten the progress of democracy and human rights, or retard decay.     

Setting the futures margin with price limits: the case for single-stock futures

Price limits are artificial boundaries established by regulators to establish the maximum price movement permitted in a single day. We propose using a new censoring method that incorporates the effect of price limits on the futures price distribution and investigates how to set an appropriate daily margin level using single-stock futures in Taiwan. We compare our estimations with those obtained using the method in Longin (J Bus 69:383–408, 1999). The results show that (1) the margin levels derived from the Longin method, which ignore price limits in the estimation, are lower than those in our censoring method; and (2) the legal margin for single-stock futures set at 13.5 % by the Taiwan Futures Exchange to avoid default risk appears to be too high.