THE PROPOSED INTRODUCTION OF FUTURES‐STYLE MARGINING IN THE UNITED STATES: AN AUSTRALIAN COMPARISON

We extend the quadratic approximation method to examine American‐style options traded using futures‐style margining and show that an early exercise premium can exist when the cost of carry is negative. Empirical results based on a reduced form of the model using futures‐style call options traded on the Australian All Ordinaries Share Price Index are consistent with previous research: call option early exercise premiums are economically zero. Full option prices are examined by comparing observed futures‐style with theoretical stock‐style values. We find futures‐style values exceed stock‐style values and argue that the increase results from improvements in liquidity. The findings are particularly relevant given the pending decision at the Commodity Futures Trading Commission to introduce a futures‐style system in the United States. JEL classification: G13, C13     

An Investigation into the Equilibrium Structure of the Commodity Futures Market Anomaly

Commodity futures contracts are shown to be characterized by indivisibility problems and tax disadvantages. An empirical test demonstrates that long futures investors were compensated for these drawbacks prior to the mid-1970s. However, compensation for the investment disadvantages of commodity futures ceased to exist after 1974. The year 1974 is significant because barriers to institutional investment in the futures market were removed in that year.     

国外著名商品指数编制比较及其对我国的启示

商品期货指数,是商品期货的金融化,是期货市场发展到一定阶段的必然产物。为了更好编制和开发我国商品指数及其衍生品,本文对国外著名商品指数的编制方法从编制目的和原则、品种选择、权重设计、合约选择、指数计算等五个方面进行全方位比较研究,进而提出编制我国相关商品指数的总体思路。     

中国大宗商品期货市场定价机制研究

大宗商品期货市场是我国资本市场的重要组成部分,其定价有效性关系到投资者套期保值和价格发现等功能的实现。本文对国际前沿研究中常用的定价因子进行全面系统梳理,并对这些因子对我国商品期货合约收益率的解释和预测能力进行检验。在此基础上,本文构建了适用于我国大宗商品期货市场的包含市场、基差以及基差动量的三因子定价模型。进一步研究表明,基于大宗商品存储理论和现货存货数据构建的投资组合收益率可以被本文三因子模型有效解释,验证了经典的存储理论在我国的适用性。此外,本文对基差与基差动量两个重要因子的经济学意义进行了阐释。本文研究为进一步厘清大宗商品期货市场定价机制提供了一定参考。     

Commodities and Macroeconomic Factors: Unconditional Volatility Measures

Abstract:

This study focuses on the measurement of spillover effects from macroeconomic factors to commodity volatility. It argues that such measurement is sensitive to volatility computation and to causality testing. To this end, I analyze two commodity data sets-gold and the Continuous Commodity Index (1969-2011), and twenty-four Dow Jones futures indexes (1991-2011)-and various macroeconomic indicators. I conclude that the macroeconomic factors that influence volatility generally depend on the commodity under consideration. I also explore whether commodities of the same class experience volatility shifts around the same dates, and find that this is not the case except for energy commodities.     

美国CFTC对期货交易的信息监管及其启示

美国商品期货交易委员会(CFTC)建立了完整的期货信息监管体系.该体系包括期货交易信息的报告与披露体系、监测体系以及交流与合作机制.信息监管模式的构筑已成为CFTC维护期货市场公平和提高市场效率的基本保障.与美国监管模式相比,我国期货交易的信息监管体制存在诸多不足.本研究以美国模式为参考,提出了我国期货交易信息监管体系的若干改进方向.     

中国饲料工业期货的价格发现实证研究

本文借助向量自回归模型、协整检验、误差修正模型、方差分解、脉冲响应函数等方法,以中国唯一的饲料工业期货———大连商品交易所豆粕期货品种为例,研究了期货价格与现货价格之间的动态关系,定量刻画了期货市场在价格发现中的作用。研究结果显示:豆粕期货价格与现货价格存在相互引导关系,并且期货与现货价格之间存在长期均衡关系,对豆粕期货来说,期货市场在价格发现功能中起到主导作用。     

Market sentiment in commodity futures returns

We identify a strong presence of sentiment exposure in commodity futures returns. Sentiment is able to provide additional explanatory power for comovement among commodity futures beyond the macro- and equity-related sources. Commodity futures with low open interest growth, high volatilities, low momentum, or low futures basis are more sensitive to change in sentiment. Similar to Baker and Wurgler (2006), we construct a market sentiment index by Partial Least Squares regressions (PLS) with non-return based stock market proxies, in particular higher moments of the option implied return distribution. Moreover, our sentiment index can be built on a daily basis.     

Trading activities and price discovery in foreign currency futures markets

This study investigates the relation between trading activities and the price discovery efficacy of the futures markets for EUR–USD and JPY–USD. According to data pertaining to weekly positions, collected from the Commitments of Traders reports distributed by the Commodity Futures Trading Commission, the information share of currency futures markets declines with hedgers’ positions but increases with speculators’ positions. In addition, both hedgers’ expected and unexpected positions have negative impacts on the contribution of the futures market; the futures market’s information share relates positively to speculators’ expected positions but is uncorrelated with speculators’ unexpected positions.     

信息传导与市场整合——基于商品期货上市的准自然实验

从制度设计上打破市场分割、促进市场整合,对提高市场效率、促进经济有序健康发展具有重要意义。本文以商品期货上市作为准自然实验,构建双重差分模型,实证检验了商品期货上市交易对现货商品市场价格整合的影响。研究发现,现货商品市场价格整合程度在相应商品期货上市后显著提升,这是因为商品期货上市显著地促进了价格信息在全国范围内的传导,且这种提升效应主要体现在价格信息传导比较顺畅的地区。此外,商品期货上市提高了现货商品市场价格同步性,缓解了现货商品价格信息滞后程度,降低了现货商品交易成本。进一步研究发现,商品期货市场的交易信息质量越高,越有利于提高现货商品市场的整合程度。本研究为当前我国建设全国统一大市场提供了一定参考。     

Commodity prices and GDP growth

This paper explores the extent to which commodity prices can predict GDP growth rates of various countries using indices of 27 commonly traded commodity futures. Commodity returns can strongly predict the next quarter's GDP growth, while the basis shows a reasonable level of predictive power. Overall, commodity prices can be considered a leading indicator of economic growth; increasing commodity prices and basis values indicate a stronger future economy.     

股指期货与股票现货市场竞争关系研究——来自中国的经验证据

本文利用模拟生态学中种群间动态关系的Lotka-Volterra模型,对沪深300股指期货同股票现货市场在交易规模方面的竞争关系进行实证分析。研究结果表明,沪深300股指期货推出初期,股指期货市场与股票现货市场在交易规模方面存在竞争性的交易转移效应;随着股指期货市场相关规则的不断健全和完善,股指期货市场与股票现货市场在交易规模方面由竞争关系转变为共存关系,出现交易引资效应。同时,研究还发现,股指期货市场与股票现货市场之间关系由竞争性转变为共存性的重要原因是股指期货市场监管力度的加大,股指期货市场投资者结构的优化,以及股指期货市场期现套利交易的盛行。     

Studies of the 1987 stock market crash: Review and appraisal

Within four months of the stock market crash on October 19, 1987, there were six studies of what happened. The Brady Commission, the Commodity Futures Trading Commission, the Securities and Exchange Commission, the General Accounting Office, the New York Stock Exchange, and the Chicago Mercantile Exchange all produced reports that described and analyzed the Crash, and in some cases made recommendations for additional regulation. This paper examines the conclusions and analyses contained in these reports and provides a summary of their recommendations. Particular attention is given to the allegation that stock index futures trading was a significant factor in the Crash. In addition, the recommendations that higher margins be imposed on futures transactions and that formal trading halts be instituted in both the futures and stock markets are discussed in depth. A major conclusion of this review is that new market-making procedures are needed to cope with the growing institutionalization of trading in equity and equity-derivative markets. Columbia University     

Who influences the fundamental value of commodity futures in Japan?

We present evidence on the asymmetric information content of six investor groups' transactions in the gold, platinum, gasoline and rubber futures markets on the Tokyo Commodity Exchange. Microstructure theory suggests that traders with superior information regarding the efficient price should be more profitable in the long run. We find that foreign investors have the greatest influence over the efficient price in the gold market, domestic retail investors in the gasoline market and domestic investment funds in the platinum and rubber markets. Differences in the relative influence of investor groups over commodity futures are likely to reflect the degree of contract homogeneity and associated market liquidity. Foreign (domestic retail) investors have larger information shares for the homogeneous liquid (heterogeneous illiquid) contracts than for the heterogeneous illiquid (homogeneous liquid) contracts.     

Arbitraging American Gold Spot and Futures Options

This study empirically tests rational pricing conditions applicable to American gold spot and futures options. A number of ancillary pricing relations also are tested. Transactions data supplied by the Montreal Stock Exchange and the New York Commodity Exchange are used in these tests. Arbitrage trading strategies designed to exploit violations of these conditions also are provided. The results indicate potential intermarket inefficiency: a substantial number of violations of a condition applicable to call options are found, and most of these violations are sufficient in magnitude to cover the relevant transaction costs of arbitrage.     

Regulatory reform and market efficiency: The case of Indian agricultural commodity futures markets

We present the results of two efficiency measures that include intraday return predictability measure based on order imbalance and measures of several variance ratio tests on intraday subsamples of nine major Indian agricultural commodity futures (castor seed, cotton oil cake, rape mustard seed, soybean, refined soya oil, crude palm oil, jeera, chana, and turmeric) quoted in the National Commodity and Derivatives Exchange (NCDEX). We perform the efficiency measures on five subsamples with holding periods of 5, 10, 15, 30, and 60 min over two sample periods following the announcement of the merger between the Forward Market Commission (FMC) and Securities Exchange Board of India (SEBI). We compare results of tests of weak-form market efficiency of futures markets between two periods (pre-merger period and post-merger period). Our results confirm that Indian agricultural commodity futures markets continue to remain inefficient in the short-term during both pre-merger and post-merger periods. Based on these findings, it is likely that profitable trading strategies in the short intraday intervals will be available for traders and market participants during post-merger period. Thus, regulators must focus more on policy initiative so as to enhance market quality in order to address such inefficiencies in Indian commodity futures markets.     

Optimal clearing margin,capital and price limits for futures clearinghouses

We provide a model for a futures clearinghouse to use for setting optimal levels of clearing margin, capital and price limits, which minimizes the costs to clearing firms and simultaneously protects the clearinghouse from default by clearing firms. We show how to estimate the capital requirement, which supports the clearinghouse’s residual default risk that is not covered by the clearing margin. We apply our model to the Winnipeg Commodity Exchange and demonstrate that price limits reduce the sum of optimal clearing margin and capital to a level that is substantially lower than that required in the absence of price limits.     

The Pricing of Futures and Options Contracts on the Value Line Index

This paper considers the problems peculiar to the Value Line Index, because of its use of geometric averaging, as regards the pricing of options and futures on that index. The Value Line Composite Index (VLCI) is an equally weighted geometric average index of nearly 1700 stocks. The VLCI futures market has existed since 1982 while the VLCI options market was established in 1985. This paper provides valuation formulas and analyzes the economic properties of these contracts. Because of the geometric averaging in the VLCI, its contingent claims have special properties. For example, the futures price may fall short of the spot price and the value of a VLCI call option may decline when the volatility of the index is increased. VLCI futures are shown to provide a direct means for duplicating an equally weighted portfolio of the underlying stocks.     

A further analysis of the lead-lag relationship between the cash market and stock index futures market

The intraday lead-lag relation between returns of the MajorMarket cash index and returns of the Major Market Index futuresand S&P 500 futures is investigated. Empirical results showstrong evidence that the futures leads the cash index and weakevidence that the cash index leads the futures. The asymmetriclead-lag relation holds between the futures and all componentstocks, including. those that trade in almost every five-minuteinterval. Evidence indicates that when more stocks move together(market-wide information) the futures leads the cash index toa greater degree. This suggests that the futures market is themain source of market-wide information.     

Economic linkages across commodity futures: Hedging and trading implications

We investigate cross-market trading dynamics in futures contracts written on seemingly unrelated commodities that are consumed by a common industry. On the Tokyo Commodity Exchange, we find such evidence in natural rubber (NR), palladium (PA) and gasoline (GA) futures markets. The automobile industry is responsible for more than 50% of global demand for each of these commodities. VAR estimation reveals short-run cross-market interaction between NR and GA, and from NR to PA. Cross-market influence exerted by PA is felt in longer dynamics, with PA volatility (volume) affecting NR (GA) volume (volatility). Our findings are robust to lag-specification, volatility measure, and consistent with full BEKK-GARCH estimation results. Further analysis, which benchmarks against silver futures market, TOCOM index and TOPIX transportation index, confirms that our results are driven by a common industry exposure, and not a commodity market factor. A simple trading rule that incorporates short-run GA and long-run PA dynamics to predict NR return yields positive economic profit. Our study offers new insights into how commodity and equity markets relate at an industry level, and implications for multi-commodity hedging.