Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis

This paper examines the changing nature of volatility spillovers among the U.S. and eight East Asian stock markets between two financial crises: the Asian currency crisis and the U.S. subprime credit crisis. Our empirical results suggest that volatility is not always spilled over from the directly affected markets to surrounding markets in crisis periods. The East Asian markets who directly suffered from the Asian currency crisis are the ones to which volatility is spilled over from other markets during the Asian currency crisis period, whereas uni-directional volatility spillovers from the U.S. market to other markets are observed during both crisis periods. This difference can be explained by a pre-determined hierarchy in which volatility spillovers tend to start from the U.S. market regardless of the geographical origin of the crisis. Furthermore, our results reveal that the markets in three major Asian financial hubs, i.e., Japan, Hong Kong and Singapore, are the markets to which volatility is spilled over uni-directionally from several other countries during the subprime credit crisis period, but not during the Asian currency crisis period. We attribute this difference to crisis-specific (currency or credit crisis), market-specific (credit derivatives market participation and foreign currency reserves), and time-specific (more integrated global market) factors.     

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。     

Evidence of information transmission across currency futures markets using frequency domain tests

In this article, I examine the returns and volatility spillovers in the currency futures market incorporating the recently developed frequency domain tests. Such analysis allows differentiating between permanent (long-run) and transitory (short-run) linkages among the currency futures markets by investigating the causality dynamics at low and high frequencies respectively. I detect significant informational linkages between USD, EUR, GBP and JPY futures contracts in the Indian currency futures market. Evidence of innovations from USD futures market to other markets is the most significant for returns spillover and for volatility spillover, EUR is found to be the most significant compared to other currency futures contracts. The results would have implications for the market participants and policymakers.     

我国碳排放权期货产品开发研究

目前,国际碳交易市场定价权和碳计价结算货币主导权的缺失成为我国无论是在政府层面、学术领域还是实践方面,都是倍感担忧的问题。争夺碳交易定价权与推进人民币国际化有着重要的联系,两者之间可以构建一个重要的国家金融战略予以实施,其中适时推出CERs期货是该战略的重心。本文通过比较分析国外CERs期货合约设计的异同点及其对交易运行的影响,结合我国实际和市场特点,探讨了中国CERs标准期货合约的设计,并提出了我国发展碳排放权期货的战略目标、路径选择和政策建议。     

Capacity utilization of the Kazakhstani firms and the Russian financial crisis: A panel data analysis

This paper examines the evolution of capacity utilization for Kazakhstani enterprises over a 7 year period. Three main theoretical propositions are tested through panel data regressions. The results show that the Russian financial crisis (August 1998) substantially reduced capacity utilization throughout 1999 and that only from 2000 onwards did enterprises recover from the crisis. Moreover, the Russian financial crisis led to a permanent change in enterprises’ behavior, in that only after the crisis enterprises became responsive to market signals. Finally, we also find evidence of a differential impact of the Russian financial crisis for different enterprise characteristics, including ownership, size, sector and location.     

Spillovers of currency carry trade returns,market risk sentiment,and U.S. market returns

This paper examines the link between spillovers of currency carry trade returns and U.S. market returns. Following Tse and Zhao (2012), this paper hypothesizes that the magnitude of spillovers of currency carry trade returns is positively correlated with market risk sentiment and, therefore, has an impact on market returns. Using the G10 currencies and S&P 500 index futures, the empirical results present a high magnitude of spillover effects of currency carry trade markets. The empirical findings also show a significantly positive relationship between spillovers of currency carry trade returns and subsequent market returns. Furthermore, the results indicate that this relationship is stronger in bear markets than in bull markets. Finally, our findings show that spillovers of currency carry trade returns significantly affect the subsequent transition probabilities of market returns.     

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.     

Did the introduction of Bitcoin futures crash the Bitcoin market at the end of 2017?

At the end of 2017, the Bitcoin price dropped significantly by approximately 70% over the two months. Since the introduction of Bitcoin futures coincided with this market crash, it is said that the new financial instrument might have caused the market crash. The literature states that the futures enabled investors to easily take a short position and hypothesizes that the selling pressure from futures could have potentially crashed the Bitcoin market. To evaluate this assumption, we investigate the empirical relationship between futures trading and the Bitcoin price by using high-frequency data. We find that Bitcoin futures trading was not significantly related to the returns on Bitcoin futures and spot returns. Therefore, we conclude that Bitcoin futures did not lead to the crash of the Bitcoin market at the end of 2017.     

基于波动效应与价格发现的期指仿真交易研究

沪深300股指期货仿真交易的推出,对我国现货市场的影响如何以及这种影响是否有利于现货效率的改进。首次采用修正的GARCH模型和向量误差修正模型(VEC)将股指期货推出后现货市场波动性的变化和股指期货与现货市场的价格发现功能结合起来进行对比研究。结果表明,期指仿真交易的推出对于现货市场效率的改进确实存在正面的影响。其引入在短期内加大了现货市场的波动,但这一波动正是市场信息流动加速的反映,因而提高了市场信息的传递效率。同时期货价格领先于现货价格,存在由期货市场到现货市场长期的单向因果关系,说明期货价格具有引导现货价格向均衡方向调整的功能,从而在经验上支持了股指期货市场的开放政策。     

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。     

货币国际化影响因素与作用机制的实证分析

本文在利用国际货币的三大职能全面衡量货币国际化程度的基础上,采用GMM识别货币国际化的影响因素,进而借助自举法的面板Granger因果检验探究货币国际化与其显著影响因素间的相互作用机制。研究发现,货币国际地位的提升在某个阶段可能以某一职能发挥为主,不同阶段的政策着力点应该不同;货币国际化与其影响因素间存在双向因果关系,主导性国际货币对发行国经济因素的影响更为明显;长期来看,人民币国际化成果可以为我国经济增长和金融发展服务。     

Price discovery in stock index: an ARDL-ECM approach in Taiwan case

In this study, we examine the lead-lag effect between stock index futures and its spot markets in Taiwan by employing a newly developed econometrics method, ARDL-ECM approach. The advantage of applying such technique is to avoid earlier ambiguous causality testing procedure, and it can provide more clearly representation of a stable unidirectional price discovery process. By verifying intraday data, we find that the futures prices lead spot markets for about 30 min during the year 2004. Moreover, during the presidential election period which caused political turbulent in Taiwan, the function of future market supposed as the dominated role of price discovery becomes futility. Such findings are consistent with the ‘surprising election outcomes’ phenomenon.     

Cross-region risk spillover between the stock and stock index futures markets under exogenous shocks

By integrating the stock and futures markets of mainland China and Hong Kong into the same financial system, we explore the cross-region risk spillovers between the stock market and stock index futures market under the impact of exogenous events. We find evidence of significant risk spillovers between the two stock markets, and confirm that exogenous shocks, including the adjustments of regulatory policies of mainland China and 2019 Hong Kong Protest, can significantly affect the volatility spillover across assets and markets. Our findings can potentially help regulators and investors understand the cross-region risk conduction and assess portfolio risk after exogenous event.     

Dynamic spillover and connectedness between oil futures and European bonds

This paper examines the spillovers and connectedness between crude oil futures and European bond markets (EBMs) having different maturities. We also analyze the hedging effectiveness of crude oil futures-bond portfolios in tranquil and turbulent periods. Using the spillovers index of Diebold and Yilmaz (2012, 2014), we show evidence of time-varying spillovers between markets under investigations, which varies between 65% and 83%. Moreover, three-month, six-month, one-year, three-year and thirty-year bonds and crude oil futures are net receivers of risk from other markets, whereas the remaining bonds are net contributors of risk to the other markets. Crude oil futures receive more risk from long-term than short-term bonds. Moreover, the magnitude of risk transmission is low for the pre-crisis and economic recovery periods. Crude oil futures market contributes significantly to the risk of other markets during the oil crisis and Brexit period. A portfolio risk analysis shows that that most investments should be in oil rather than bonds (except the short-term bonds). The hedge ratio is sensitive to market conditions, where the cost of hedging increases during GFC and ESDC period. Finally, a crude oil futures-bond portfolio offers the best hedging effectiveness during the COVID-19 pandemic period.     

期货市场程序化交易研究

随着我国金融市场的繁荣发展,期货市场也呈现出快速发展的趋势,但是由于期货市场分布比较散乱,交易的种类和程序存在着很大的差异,导致期货市场风险居高不下。     

金融期货交易中的套期保值和基差风险分析

论述了金融期货的内涵、金融期货市场中的套期保值理论、基本操作方法和期货交易中存在的基差风险以及基差的变动对套期保值效果的影响。     

Forecasting oil futures market volatility in a financialized world: Why speculative activities matter

We analyze the relation between volatility and speculative activities in the crude oil futures market and provide short-term forecasts accordingly. By incorporating trading volume and opening interest (speculative ratio) into the volatility dynamics, we document the subtle interaction between the two measures of which the volatility-averse behavior of speculative activities plays a considerable role in the market. Moreover, by accounting for structural changes, we find significant evidence that this behavior currently becomes weaker than in the past, which implies the oil futures market is less informative and/or less risk-averse in recent time period. Our forecasts based on these features perform very well under the predictive preferences that are consistent with the volatility-averse behavior in the oil futures market. We provide discussions and policy inferences.     

International tenders and futures hedging

This paper examines the optimal bidding and hedging decisions of a risk‐averse firm that takes part in an international tender. The firm faces multiple sources of uncertainty: exchange rate risk, risk of an unsuccessful tender, and business risk. The firm is allowed to trade unbiased currency futures contracts to imperfectly hedge its contingent foreign exchange risk exposure. We show that the firm shorts less (more) of the unbiased futures contracts when its marginal utility function is convex (concave) as compared with the case that the marginal utility function is linear. We further show that the curvature of the marginal utility function plays a decisive role in determining the impact of currency futures hedging on the firm's bidding behavior. Sufficient conditions that ensure the firm bids more or less aggressively than in the case without hedging opportunities are derived. Copyright © 2006 John Wiley & Sons, Ltd.     

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.