The influence of ETFs on the price discovery of gold, silver and oil

In this study we examine gold, silver and oil exchange traded funds (ETFs) and their relation to their respective futures instruments and underlying commodities by using intradaily data. We find that the gold, silver and oil ETFs closely track the performance of their underlying assets by using tracking error and pricing deviation metrics. It has been documented in the finance literature that price discovery occurs in the futures market. We test whether in recent times the existence of ETFs has changed the dominating role of the futures market in price discovery. We find that the availability of ETFs has shifted price discovery for gold and silver to the ETF market, while the oil market has price discovery occurring still predominantly in the futures market.     

黄金期货价格与我国黄金采选业股票价格关系的实证研究——以山东黄金股票价格为例

本文通过对我国黄金期货价格和相关股票价格之间关系的研究,试图把握其内在规律,为相关行业、企业、市场参与者和市场监管部门提供有价值的市场信息,从而可以正确认识我国目前黄金期货市场的价格发现功能,以及股票市场的运行效率。     

S&P 500 futures market and the normal backwardation hypothesis

This paper examines the behavior of near term S&P 500 index futures contract prices in the context of the theory of normal backwardation. Daily S&P 500 futures prices for 41 contracts over the 1982–1992 period are examined. There is no evidence that S&P 500 futures prices are biased estimates of the expected future spot price on expiration. Daily futures prices usually lie below the expected future spot price on expiration and usually rise over the contract period, but these price movements are not statistically significant. The surprising result of this study is the number of observations where backwardation appears not to hold. Furthermore, changes in the U.S. dollar exchange rates, the Tax Reform Act of 1986 and the switching of S&P 500 contracts quarterly expiration day had no significant effect on the behavior of S&P 500 futures prices.     

Thin trading and mispricing profit opportunities in the Canadian commodity futures

This study examines whether thin trading problems in the Canadian futures market can create mispricing profit opportunities for canola and feed wheat futures traded over the period 1981 through 1993. A forecasting model is developed using historical and publicly available information to predict futures closing prices for these contracts, then two trading rules (a confidence interval and a percentage price change filter) are used to determine their profit potentials. The size of profits generated from trading canola futures under either rule during the period 1987–1993 is consistent with C. Carter's (1989) earlier results that no market inefficiency was detected during the 1980–1987 period. Similarly, profits from the Canadian feed wheat thinly traded contracts and from a control group using the highly-liquid American soybean oil and wheat contracts do not violate the efficiency theory. The average gross profit per trade analysis further suggests that net positive profits may not be viable for marginal investors.     

Volatility of exchange rate futures and high-low price spreads

This study explores the time-series behavior and the predictability of daily percentage changes in the Japanese Yen futures contracts. The relationship between currency futures volatility and high-low price spreads in the Japanese Yen futures contracts is examined. In addition, this study explores the issue of first- and second-order dependencies in the Japanese Yen futures contract prices changes, address the issue of asymmetric volatility, and examine the extent to which the information contained in the high-low price spreads can be used to predict future Japanese Yen currency futures contract price changes. The analysis is carried out using the EGARCH model. The volatility of the Japanese Yen currency futures price changes is adequately modeled by an EGARCH process and is predictable using information contained in the high-low price spread variables constructed in this study. This study also finds a positive and significant relationship between the spread variable and the conditional mean of price changes, suggesting that current information contained in the spread variable can be used to predict future Japanese Yen currency futures contract price changes. The hypothesis that volatility is an asymmetric function of past innovations is confirmed.     

离岸与在岸股指期货市场的价格联动关系研究——基于国内股指期货市场受限的实证分析

金融资产的价格发现权是各国经济主权的重要组成部分,关系到市场秩序和国民财富的安全。从历史经验看,一旦在岸市场出现发展迟滞或过度管制等问题,竞争性离岸市场就会利用契机快速发展。以2015年国内股指期货受限事件为自然实验,分析新加坡交易所A50与国内沪深300股指期货的价格联动关系,研究表明：国内市场受限后,A50股指期货的持仓量呈明显上升趋势,承载的避险需求增大,其夜盘和盘前涨跌能有效预测沪深300指数开盘走势;在同步交易时段,沪深300股指期货在价格发现中的贡献度为64.4%,仍明显高于A50股指期货;境内熔断触发后,A50股指期货的成交量没有显著减少,表明在岸市场暂停无法显著制约离岸市场的价格发现能力。     

Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data

This study examines whether the expiration-day effects of stock options traded in Australian Stock Exchange on return, volatility, trading volume, and temporary price changes of individual stocks vary with the availability and the settlement method of individual stock futures contracts. Using transaction data of the stocks that have both options and futures contacts from 1993 to 1997, we find that options expiration has significant effects on return and volatility of the underlying stocks in absence of individual stock futures. After introduction of a cash-settled stock futures contract, the effects decrease notably. However, the switch of a futures contract from cash settlement to physical delivery promotes the expiration effects on return and volatility and boosts temporary price changes on expiration days. Finally, options expiration has little effect on trading volume. Trading activity tends to behave normally regardless whether stock futures contracts are available or not.     

钢材期货价格发现功能研究——基于印度市场信息共享模型的分析

本文借助Johansen协整检验、Granger因果检验、信息共享模型、方差分解等方法进行多层次实证研究,定量地刻画出期货市场在价格发现中作用的大小。研究结果显示：印度板材期货价格和现货价格之间存在长期均衡关系,在价格引导上仅存在现货对期货价格的单向引导关系,期货对现货没有引导关系;通过方差分解发现,现货市场在价格发现功能中处于主导地位,说明印度钢材期货市场效率有待提高,板材期货没有实现其应有的价格发现功能。     

沪深300股指期货在现货交易和非交易时段交易特征的比较研究

我国沪深300股指期货交易2010年4月16日正式推出,但沪深300股指期货市场与沪深300现货市场的交易时间存在显著的差异,即相对于股票现货市场,沪深300股指期货市场提前15分钟开盘,延迟15分钟收盘。运用日内分笔数据和分钟数据,对沪深300股指期货不同交易时段的交易特征进行比较。研究表明,不同交易时段知情交易者市场参与度存在明显差异,提前交易时段知情交易的概率最高,现货交易时段次之,延迟交易时段最低;沪深300股指期货在开盘时段的交易提供了较大的价格发现,特别是开盘的第一笔交易包含有大量的私有信息,价格贡献最大;提前交易时段私有信息的价格发现贡献度最高;尽管提前交易时段的交易提供了较大的价格发现,但定价效率较低。     

上海黄金期货市场有效性的实证分析

黄金因为其兼有货币、商品和金融三大属性的特征历来受到人们的重视。今年年初黄金期货在上海期货交易所的上市,填补了我国长期缺乏金融期货的空白。同时管理层与市场各参与主体对黄金期货给予很高的期望与关注,因此研究上海黄金期货市场的有效性具有重要意义。通过运用ADF单位根检验、协整检验、误差修正模型以及格兰杰因果检验等时间序列与计量经济方法,对上海期货交易所黄金期货市场的有效性进行实证分析。结果表明,上海黄金期货市场尚未达到有效,并且黄金现货价格单向引导期货价格。     

基于高频数据的沪深300指数期货价格发现能力研究

从股指期货和现货对新信息的反应速度、新信息融入比率两个角度,研究了沪深300股指期货的价格发现能力。研究采用了沪深300指数期货和现货的1分钟高频数据进行实证分析,使用向量误差修正模型和脉冲响应函数分析的结果表明,股指期货市场对新信息的反映速度快于现货市场。使用I-S模型和P-T模型实证分析的结果表明,新信息主要通过沪深300指数期货市场进行反映。从新信息反映速度和融入比率两方面来看,沪深300指数期货市场的价格发现能力都要强于指数现货市场。     

基于Morlet小波时频互相关的股指期货价格发现效率研究

本文采用Morlet小波时频互相关分析方法,从"时域"和"频域"两个维度检验了我国以及国际主要市场股指期货和现货价格序列的动态关联性,研究了股指期货价格发现效率的问题。研究表明,沪深300指数和股指期货在低频长周期范围内,呈现长时间高度相关、协同波动的特征;在高频短周期范围内,两者整体仍然具有协同波动特征,但时常出现短暂紊乱的情况,即期货与现货的交错引导现象。我国股指期货市场的价格发现效率较美国、英国成熟市场仍有较大差距,但强于日本。     

Production and hedging in futures markets with multiple delivery specifications

This paper examines the behavior of the competitive firm under price uncertainty. To hedge the price risk, the firm trades unbiased commodity futures contracts with multiple delivery specifications from which delivery risk prevails. We show that the firm optimally produces less in the presence than in the absence of the delivery risk. We show further that the concept of expectation dependence that describes how the delivery risk is correlated with the random spot price plays a pivotal role in determining the firm’s optimal futures position. Specifically, an under-hedge is optimal if the random spot price is positively expectation dependent on the delivery risk. The firm’s optimal futures position becomes indeterminate if the random spot price is negatively expectation dependent on the delivery risk.     

涨跌停板制度对期货市场价格发现过程及波动性的影响--基于上海期货交易所的实证研究

本文通过检验在出现涨跌停板之后一个交易日的期货价格及其波动性的变化情况，研究了涨跌停板制度对上海期货交易所期货价格变动的影响。研究结果显示，对不同的期货品种，涨跌停板制度的影响存在一定的差异，但总体而言，涨跌停板制度并没有起到防范价格过度反应和降低市场波动性的作用。相反，在一定程度上延缓了期货市场价格发现功能的发挥，增大了市场的波动性。     

我国沪深300股指期货价格发现功能的实证分析

我国股指期货的推出对证券市场产生了巨大的影响,改变了股票市场缺乏规避系统性风险工具的现状,给金融市场带来新的生机与活力。本文采用协整检验、误差修正模型、方差分解和脉冲响应函数实证分析了我国股票市场和期货市场的价格发现功能。研究发现股指期货在价格发现上占主导地位,表明我国股指期货的推出,增强了市场效率,使市场信息能够更快捷的传达。     

Partially overlapping time series: a new model for volatility dynamics in commodity futures

In commodity futures markets, contracts with various delivery dates trade simultaneously. Applied researchers typically discard the majority of the data and form a single time series by choosing only one price observation per day. This strategy precludes a full understanding of these markets and can induce complicated nonlinear dynamics in the data. In this paper, I introduce the partially overlapping time series (POTS) model to model jointly all traded contracts. The POTS model incorporates time‐to‐delivery, storability, seasonality and GARCH effects. I apply the POTS model to corn futures at the Chicago Board of Trade and the results uncover substantial inefficiency associated with delivery on corn futures. The results also support two theories of commodity pricing: the theory of storage and the Samuelson effect. Copyright © 2005 John Wiley & Sons, Ltd.     

Extreme-value and margin setting with and without price limits

Extreme-value statistical techniques have recently been applied to margin setting in futures markets. Price limits, however, may undermine the benefits associated with the extreme-value method. The purpose of this paper is to examine how price limit events impact the extreme-value parameter estimation process. This has yet to be accomplished in the literature. In addition to showing different parameter estimates for data with and without price limits, the results here also document differences in the probabilities of observing large price changes in CBOT corn and T-bond futures contracts. The latter result is especially important to consider in a margin setting context.     

Private information in futures markets: An experimental study

This paper presents the results of an experimental study on how people use their private information to estimate the “fair” futures price and how the quality of this information affects the traders' behavior and desire to trade. It finds that subjects are able to use their information correctly and that their desire to rely on it depends positively on the information precision. It shows that subjects are able to recognize that they are expected to lose money on futures trading when other traders have better quality information. However, subjects failed to recognize the symmetry of the futures contracts.     

The impact of funding liquidity on market quality

This study analyzes market quality during the 2007–2008 credit crunch, by examining the impact of funding liquidity on market liquidity and price discovery of S&P 500 exchange-traded funds (i.e., S&P 500 depositary receipts [SPYs]) and index futures (E-minis). The empirical results show that funding liquidity affects market liquidity, and that the impact of illiquidity contagion between SPYs and E-minis was significant during the subprime mortgage crisis. In particular, the contagion effects between the two markets mediate the impact of funding illiquidity on market liquidity during the credit crunch. Considering the influences of other market factors on price discovery, we suggest that E-mini index futures made less contributions to price discovery during the credit crunch compared to normal periods. The empirical finding emphasizes the importance of the contagion effect between ETF and E-mini futures markets, when they suffer from external shocks.     

Time-dependent lead-lag relationships between the VIX and VIX futures markets

We utilize the symmetric thermal optimal path (TOPS) method to examine the dynamic interaction patterns between the VIX and VIX futures markets for the period March 26, 2004 to June 19, 2017. We document that the VIX dominates the VIX futures more in the first few years, especially before the introduction of VIX options. We further observe that the TOPS paths show an alternate lead-lag relationship instead of a dominance between the VIX and VIX futures in most of the time periods. Meanwhile, we find that the VIX futures have been increasingly more important in the price discovery since the launch of several VIX ETPs.