What do movements in financial traders’ net long positions reveal about aggregate stock returns?

Previous financial economics studies have successfully identified the existence of informed trading in futures markets; however, there is no study on the specific type of strategy chosen by informed agents to maximize profits. To fill this gap in the literature, we investigate the importance of movements in futures traders’ net long positions in predicting aggregate equity market returns. This study finds that movements in the net long positions of bond, commodity, and stock futures traders are strong predictors of aggregate stock returns as they outperform a large number of popular return predictors both in and out of sample. In addition, a one-standard-deviation change in futures traders’ net long positions can lead to an increase (decrease) of up to 3.4% (4.12%) in annualized market excess equity returns. The study’s first-order autocorrelation results reveal an absence of persistence in the net long predictors. A vector autoregression decomposition shows that the economic source of financial traders’ net long position predictive power stems predominantly from the discount rate and cash flow channels. Overall, the study finds that financial traders are informed traders who are able to anticipate future aggregate cash flows and associated discount rate news.     

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.     

A threshold error-correction model for intraday futures and index returns

Index-futures arbitragers only enter into the market if the deviation from the arbitrage relation is sufficiently large to compensate for transaction costs and associated interest rate and dividend risks. We estimate the band around the theoretical futures price within which arbitrage is not profitable for most arbitragers, using a threshold autoregression model. Combining these thresholds with an error-correction model, we show that the impact of the mispricing error is increasing with the magnitude of that error and that the information effect of lagged futures returns on index returns is significantly larger when the mispricing error is negative. © 1998 John Wiley & Sons, Ltd.     

Tradability,closeness to market prices,and expected profit: their measurement for a binomial model of options pricing in a heterogeneous market

A reliable method of options pricing in real time would help various players, including hedgers and speculators, to make informed decisions. In this study, we develop an extensive simulation with multiple business environments, which includes the use of real data from the S&P 500 Index between the years 2010–2017 for the 30 days prior to expiration of the options. Forecasted tradability is computed based on the SH model: a theoretical model of real-time options pricing that takes into account players’ heterogeneity with regard to their willingness to accept offers proposed by the opposing player. The quality of the model is examined for the scenario in which the model players are speculators who act against the real market prices. We show that the equilibrium prices predicted by the SH model are close to the market prices (a deviation of up to approx. 3%) in an In-The-Money environment. Additionally, the tougher the players (i.e., the greater their level of unwillingness to accept a bid from the opposing player), the higher the average tradability. We also find that the level of willingness of the players has a greater effect on tradability than does option moneyness or the market trend.

     

基于分形理论的原油期货高频交易风险测度研究

为了捕捉原油期货高频波动规律,采用WTI原油期货五分钟数据,基于分形理论分别构建GED分布和Skew-t分布的FIGARCH、FIAPARCH和HYGARCH模型,分析其波动特征并对风险进行测度。结果显示：三种模型均较好地刻画出WTI原油期货波动的长记忆特征;基于Skew-t分布的HYGARCH模型在度量原油期货高频交易风险时尤为精确;多头与空头头寸的VaR呈现非对称性;套期保值者或高频交易者可依据模型预测波动率,防止短期波动率过大导致保证金不足而被强制平仓。高频交易在提高市场流动性和拓宽市场深度方面具有一定的作用,因此,在风险可控的条件下,政府应该鼓励高频交易,促进我国衍生品市场繁荣发展,并增强衍生品市场稳定性和国际竞争力。     

基于状态转移模型的我国股指期货走势预测方法

文章应用马尔科夫状态转移模型,假定股指期货收益服从正态分布,将中国内地股指期货品种IF1103收益分为三个状态,发现80%的收益都很平稳,波动不大,且持续时间长,少数收益波动很大,持续时间很短,这与实际基本符合。     

Spillover analysis across FinTech,ESG, and renewable energy indices before and during the Russia–Ukraine war: International evidence

This study is epicentral to analyze the impact of the Russia–Ukraine war on the financial markets, specifically focusing on the connectedness and spillover dynamics of FinTech, Environmental, Social, and Governance (ESG), renewable energy, gold, and Morgan Stanley Capital International (MSCI) indices in developed and emerging countries. Data are collected from Thomson Reuters, ranging from May 8, 2020, to May 11, 2022, and a time-varying parameter vector autoregression (TVP-VAR) and the dynamic conditional correlation (DCC) generalized autoregressive conditional heteroskedasticity (GARCH) t-Copula (DCC-GARCH t-Copula) are used to analyze the data. The results show that FinTech, ESG, and MSCI are net transmitters in developed countries, whereas gold and renewable energy are net receivers pre- and during war periods. ESG and MSCI are net transmitters in emerging countries, while FinTech, renewable energy, and gold become net receivers in both periods. The hedging ratio sheds light on the costs and weights of efficient pair investments that might change in the context of each region and under the combined scenario. The study has important implications for merchant bankers, policymakers, investors, hedgers, and risk managers.     

Time-varying higher-order conditional moments and forecasting intraday VaR and Expected Shortfall

We estimate several GARCH- and Extreme Value Theory (EVT)-based models to forecast intraday Value-at-Risk (VaR) and Expected Shortfall (ES) for S&P 500 stock index futures returns for both long and short positions. Among the GARCH-based models we consider is the so-called Autoregressive Conditional Density (ARCD) model, which allows time-variation in higher-order conditional moments. ARCD model with time-varying conditional skewness parameter has the best in-sample fit among the GARCH-based models. The EVT-based model and the GARCH-based models which take conditional skewness and kurtosis (time-varying or otherwise) into account provide accurate VaR forecasts. ARCD model with time-varying conditional skewness parameter seems to provide the most accurate ES forecasts.     

Economic freedom and the mispricing of single-state municipal bond closed-end funds

The Economic Freedom of North America Index (EFI) is a measure of the state-level institutional characteristics that promote economic activity. We use this index as a proxy for the degree of local market segmentation and test the hypothesis that single-state, municipal bond closed-end fund mispricing can be partially explained by a state’s EFI value. Using panel data analysis we find that EFI is significant in explaining observed variability in fund mispricing.     

Corporate hedging and input price risk

Input price variability is an important source of risk for corporations that process raw commodities. Models of optimal input hedging are developed in this paper based on the maximization of managerial expected utility. The relationship between hedging strategies and output decisions is examined to assess the impact of the ability to set output prices on futures market participation. As a firm's ability to set output prices diminishes in the short run, input futures positions increase although the optimal hedge ratio may either increase or decrease. For a perfectly competitive firm, however, shifts in output price caused by input price changes provide a natural cash market hedge of input price risk and reduce the firm's optimal input futures position.     

MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES

We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index. We use a new multiplicative dynamic conditional correlation (mDCC) model to separate long‐run from short‐run components. We allow for smooth changes in the unconditional volatilities and correlations through a multiplicative component that we estimate nonparametrically. For the short‐run dynamics, we use a GJR‐GARCH model for the conditional variances and augmented DCC models for the conditional correlations. We also introduce exogenous variables to account for congestion and delivery date effects in short‐term conditional variances. We find different correlation dynamics for long‐ and short‐term contracts and the new model achieves higher forecasting performance compared \to a standard DCC model. Copyright © 2012 John Wiley & Sons, Ltd.     

会计准则趋同性检验研究——基于1994—2004年A、H股上市公司的实证研究

本文选取同时发行A、H股的1994￣2004年30家上市公司作为样本公司,运用Gray’s趋同性指数(C指数)检验会计准则(CAS和H.K.SSAP或IFRS)之间的趋同性,并通过配对检验对没有通过趋同性检验的上市公司,按照不同会计准则所披露的会计信息差异的收敛性进行检验。结果发现:不同的会计准则没有通过趋同性检验,但随着时间的推移,相互之间的差异在收敛,说明我国会计准则的国际协调与趋同是富有成效的。     

The impact of margins in futures markets: evidence from the gold and silver markets

This paper investigates the impact of margin requirements on the trading activity in the gold and silver futures markets. We extend prior research in at least two ways. First, we examine the role of time to contract-expiration in the relationship between margin levels and trading activity. We make the case that such an examination will reveal the nature of the costs that margins impose on futures traders. Second, we examine the impact margins have on the makeup of traders in futures markets. The evidence indicates that trading activity becomes more sensitive to margin changes as one gets closer to contract maturity, consistent with the notion that margins impose important transaction (rather than opportunity) costs on futures traders. Further to this evidence, we find that speculators and small traders, typically illiquid, are especially sensitive to margins. The data also indicate that margins are likely to be hiked following periods of increased volatility, and reduced following periods of relative stability, suggesting that margin alterations primarily serve as insurance to the futures exchanges.     

Modelling the conditional volatility of commodity index futures as a regime switching process

Commodity index futures offer a versatile tool for gaining different forms of exposure to commodity markets. Volatility is a critical input in many of these applications. This paper examines issues in modelling the conditional variance of futures returns based on the Goldman Sachs Commodity Index (GSCI). Given that commodity markets tend to be ‘choppy’ (Webb, 1987 ), a general econometric model is proposed that allows for abrupt changes or regime shifts in volatility, transition probabilities which vary explicitly with observable fundamentals such as the basis, GARCH dynamics, seasonal variations and conditional leptokurtosis. The model is applied to daily futures returns on the GSCI over 1992–1997. The results show clear evidence of regime shifts in conditional mean and volatility. Once regime shifts are accounted for, GARCH effects are minimal. Consistent with the theory of storage, returns are more likely to switch to the high‐variance state when the basis is negative than when the basis is positive. The regime switching model also performs well in forecasting the daily volatility compared to standard GARCH models without regime switches. The model should be of interest to sophisticated traders who base their trading strategies on short‐term volatility movements, managed commodity funds interested in hedging an underlying diversified portfolio of commodities and investors of options and other derivatives tied to GSCI futures contracts. Copyright © 2001 John Wiley & Sons, Ltd.     

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。     

不同约束条件下的股指期货价格区间研究

在股指期货持有成本定价模型的基础上,结合中国沪深300股指期货合约的特点,根据无套利原理,给出了考虑交易成本、期货保证金和不同借贷利率等限制条件下的股指期货定价区间和相应的交易策略,为从事沪深300股指期货套期保值、套利和投机交易的相关人员提供借鉴意义。     

Solving the liquidity constraint by options on futures

The aim of this paper is to show that an option on futures may solve the liquidity constraint problem. I consider a consumer (or an investor) who wishes to discount her future income in order to finance her present consumption (investment). Under asymmetric information, such an agent may incur a liquidity constraint (credit rationing). However, the optimal constrained consumption, as a function of future income, resembles a short position of a put option written on future income. This implies that allocating savings to a long call option position on futures may restore the unconstrained relationship between the optimal present consumption and future income. The option on a futures contract is constructed so that the (future) agent’s income is correlated with some futures contract (but this is private information) on which the option is issued. The allocation of savings of the borrower to the option on futures turns out to be financially beneficial compared to the allocation of savings to the risk-free investment.     

Dynamic volatility connectedness between industrial metal markets

Combined with the spillover framework of Diebold and Yilmaz (2009, 2012, 2014) and the TVP-VAR-SV model of Primiceri (2005), this paper studies the dynamic volatility connectedness between six major industrial metal (i.e., aluminum, copper, lead, nickel, tin and zinc) spot and futures markets. The results show that: (1) The total volatility connectedness between industrial metal spot or futures markets has three obvious cyclical change periods with a higher connectedness level; (2) The net connectedness of zinc and copper with other metals has been at a high positive level for a long time, which indicates the two metal markets dominate the industrial metal market; (3) Zinc exhibits the strongest volatility spillovers, while tin exhibits the weakest volatility spillovers, no matter in spot markets or futures markets; (4) The connectedness of realized skewness and kurtosis have similarity with volatility connectedness but the spillover effects of skewness and kurtosis are not as obvious as the volatility spillover effects.     

RENEWABLE RESOURCE AND CAPITAL ACCUMULATION UNDER UNCERTAINTY

An economy endowed with a renewable natural resource and physical capital is considered in order to examine the characteristics of possible transformation from natural to man-made capital, as a potential means of surviving over long periods of time if the natural resource may be depleted or fall short of certain sustainable levels. Natural resource together with physical capital is utilized to produce a commodity that is either to be sold in a market to earn sales revenue or invested to accumulate physical capital. The reserve size of resource and the production technology are both subject to uncertainties that are modeled by Wiener processes. The Wiener process is used to express the intrinsic nature of uncertainty for a long planning horizon such as on natural resources, in which distant futures are more difficult to foresee than the near future. It is shown that there exists a steady-state equilibrium in this economy under certainty and that, under some plausible conditions, the expected rate of change in resource harvest over time under uncertainty is less than the rate under certainty, while that of product sales is not affected by uncertainty.     

Non-linear volatility dynamics and risk management of precious metals

In this paper, we investigate the value-at-risk predictions of four major precious metals (gold, silver, platinum, and palladium) with non-linear long memory volatility models, namely FIGARCH, FIAPARCH and HYGARCH, under normal and Student-t innovations’ distributions. For these analyses, we consider both long and short trading positions. Overall, our results reveal that long memory volatility models under Student-t distribution perform well in forecasting a one-day-ahead VaR for both long and short positions. In addition, we find that FIAPARCH model with Student-t distribution, which jointly captures long memory and asymmetry, as well as fat-tails, outperforms other models in VaR forecasting. Our results have potential implications for portfolio managers, producers, and policy makers.