日本商品期货市场近年衰落的原因和思考

进入21世纪以来,曾引领亚洲期货市场发展的日本商品期货市场明显衰落。在最初的要素条件、需求状况等外生比较优势逐步削弱的同时,规模经济、技术进步、产品差别等内生比较优势发展的滞后及市场分割、产业需求不足等固有矛盾的暴露,决定了日本商品期货市场发展的下行态势,日本监管当局规范和发展期货市场脱离实际的改革措施尤其加速了市场衰落的进程。本文从日本商品期货市场的现状入手,通过比较优势理论分析衰落的原因,并从大国商品期货市场的竞争和发展中探寻教训与经验,为我国商品期货市场发展提供借鉴。     

Momentum investing and the asset allocation decision

This study examines the active asset allocation decisions of Australian multisector fund managers to determine whether active fund managers engage in momentum strategies. We find evidence supporting the existence of momentum investing in active asset allocation strategies. This evidence exists in the Australian Equities, Australian Fixed Interest and Listed Property asset classes. Interestingly, balanced funds adopt contrarian strategies in the International Equities asset class. We also examine whether there is any association between a fund's market timing skill and the execution of momentum strategies. Our results show that fund managers with no market timing skill are momentum investors.     

The effectiveness of incorporating higher moments in portfolio strategies: evidence from the Chinese commodity futures markets

This paper examines portfolio strategies that incorporate individual and systematic higher-order moments, within a stochastic optimization framework with uncertain mean and covariance. Using weekly, daily, and 30-minute interval data on Chinese commodity futures, we show that incorporating higher moments into portfolio strategies generally leads to better performance. The systematic fourth-order moment, among all systematic moments considered, can lead to the most robust, and a relatively large, improvement in investment performance, while the contribution of individual moments to the improved performance depends on the data horizon. We also find that adding higher moments brings superior performance in more cases for 30-minute-interval data than for other low-frequency data, suggesting that our strategy most likely performs best in 30-minute-rebalancing investments.     

我国微观主体资产选择行为对货币需求结构的影响

我国经济开放程度日益增加,经济转型程度逐步加深,处于经济转型期的居民、企业、金融机构等微观主体的资产选择行为发生了重要变化。文章对我国经济主体的资产选择行为对货币需求影响的作用机理进行深入的研究。通过不同样本区间的比较,分析宏观大环境发生变化的条件下,我国微观主体的资产选择行为对我国货币需求的影响路径,并根据实证结果提出保持较高利率水平下合理的利率市场化形成机制的政策建议。     

Cross‐region and cross‐sector asset allocation with regimes

Cross‐region and cross‐sector asset allocation decisions are one of the most fundamental issues in international equity portfolio management. Equity returns exhibit higher volatilities and correlations, and lower expected returns, in bear markets compared to bull markets. However, static mean–variance analysis fails to capture this salient feature of equity returns. We accommodate the nonlinearity of returns using a regime switching model across both regions and sectors. The regime‐dependent asset allocation potentially adds value to the traditional static mean–variance allocation. In addition, optimal allocation across sectors provide greater benefits compared to international diversification, which is characterized by higher returns, lower risks, lower correlations with the world market and a higher Sharpe ratio.     

The role of speculation in international futures markets on commodity prices

The role of futures contracts on spot prices has been one of the key focus areas of research since the recent surge in commodity prices and increase in the volatility of commodity returns. However, no consensus arises from this literature, and hence it is difficult to link the use of futures contracts in agricultural commodities by non-hedgers and the growing food insecurity within developing countries. The purpose of this paper is to highlight causal relationships from futures contracts to spot prices of underlying assets, namely agricultural commodities. As research that focus on exchange-traded funds do not provide any clear conclusions, we focus on the imbalance between short- and long-open positions, this imbalance being caused by the exchange traded funds’ participation in futures markets. In this paper, we estimate relationships between financial variables including indicators for speculation in futures markets and the returns of cocoa, corn, soybean, wheat, coffee, rice, and sugar on a weekly basis from 1998 to 2013. Significant results lead to Granger-causality tests that in turn validate the hypothesis of a positive impact of speculation in futures markets to returns on the underlying commodities.     

Economic value of analyst recommendations in Australia: an application of the Black–Litterman asset allocation model

This study empirically examines the investment value of security analyst recommendations on constituent stocks of the S&P/ASX 50 index. We find that stocks with favourable (unfavourable) recommendations on average outperformed (underperformed) the benchmark index. An investment strategy using the Black–Litterman asset allocation model that incorporates consensus analyst recommendations, in conjunction with daily rebalancing, outperforms the market in terms of return and risk‐adjusted performance measures. The investment strategy involves high levels of trading, and no significant abnormal returns are achieved after transaction costs. Less frequent rebalancing, under most situations, causes a decrease in both performance and turnover. Filtering of dated recommendations causes an increase in turnover, while having mixed effects on investment returns.     

Monotonicity in asset returns: New tests with applications to the term structure,the CAPM,and portfolio sorts

Many theories in finance imply monotonic patterns in expected returns and other financial variables. The liquidity preference hypothesis predicts higher expected returns for bonds with longer times to maturity; the Capital Asset Pricing Model (CAPM) implies higher expected returns for stocks with higher betas; and standard asset pricing models imply that the pricing kernel is declining in market returns. The full set of implications of monotonicity is generally not exploited in empirical work, however. This paper proposes new and simple ways to test for monotonicity in financial variables and compares the proposed tests with extant alternatives such as t-tests, Bonferroni bounds, and multivariate inequality tests through empirical applications and simulations.     

我国货币替代的实证研究

货币替代是开放经济条件下特有的货币现象,对我国宏观经济的影响也随着经济金融体系的开放而不断加深。通过建立货币替代的理论模型对我国的货币替代程度及其影响因素之间的关系作了动态分析,结果表明人民币汇率波动对货币替代影响最为突出,名义有效汇率的频繁波动会造成货币替代乃至货币需求的不稳定,我国的利率管制使得国内外货币收益率的相对变化并未在货币替代过程中呈现显著作用。     

Tactical allocation in commodity futures markets: Combining momentum and term structure signals

This paper examines the combined role of momentum and term structure signals for the design of profitable trading strategies in commodity futures markets. With significant annualized alphas of 10.14% and 12.66%, respectively, the momentum and term structure strategies appear profitable when implemented individually. With an abnormal return of 21.02%, our double-sort strategy that exploits both momentum and term structure signals clearly outperforms the single-sort strategies. This double-sort strategy can additionally be utilized as a portfolio diversification tool. The abnormal performance of the combined portfolios cannot be explained by a lack of liquidity, data mining or transaction costs.     

Stock index futures hedging in the emerging Malaysian market

The paper investigates hedging effectiveness of dynamic and constant models in the emerging market of Malaysia where trading information is not readily available and market liquidity is lower compared to the developed equity markets. Using daily data from December 1995 to April 2001 and bivariate GARCH(1,1) and TGARCH models, the paper uses differing variance–covariance structures to obtain hedging ratios. Performance of models is compared in terms of variance reduction and expected utility levels for the full sample period as well as the three sub-periods which encompass the Asian financial crisis and introduction of new capital control measures in Malaysia. Findings show that rankings of the hedging models change for the in-sample period depending on evaluation criteria used. TGARCH based models provide better hedging performance but only in the period of higher information asymmetry following the imposition of capital controls in Malaysia. Overall, despite the structural breaks caused by the Asian financial crisis and new capital control regulations, out of sample hedging performance of dynamic GARCH models in the Malaysian emerging market is as good as the one reported for the highly developed markets in the previous literature. The findings suggest that changes in the composition of market agents caused by large scale retreat of foreign investors following the imposition of capital control regulations do not seem to have any material impact on the volatility characteristics of the Malaysian emerging market.     

Portfolio frontiers with restrictions to tracking error volatility and value at risk

Asset managers are often given the task of restricting their activity by keeping both the value at risk (VaR) and the tracking error volatility (TEV) under control. However, these constraints may be impossible to satisfy simultaneously because VaR is independent of the benchmark portfolio. The management of these restrictions is likely to affect portfolio performance and produces a wide variety of scenarios in the risk-return space. The aim of this paper is to analyse various interactions between portfolio frontiers when risk managers impose joint restrictions upon TEV and VaR. Specifically, we provide analytical solutions for all the intersections and we propose simple numerical methods when such solutions are not available. Finally, we introduce a new portfolio frontier.     

Asset allocation and age effects in retirement savings choices

We examine the asset allocation decisions of members of three large Australian retirement savings funds. Superannuation Guarantee legislation in 1992 made Australian employees compulsory investors by requiring employers to contribute a fixed proportion of earnings to a superannuation fund on behalf of employees. A majority of these employees can choose an investment strategy for these contributions. We examine how actual investment strategy and asset allocation choices of members change with age in view of the conventional wisdom that individuals allocate less to risky assets as they age and investments theory which provides conflicting advice on the issue.     

Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data

Most papers in the portfolio choice literature have examined linear predictability frameworks based on the idea that simple but flexible Vector Autoregressive (VAR) models can be expanded to produce portfolio allocations that hedge against the bull and bear dynamics typical of financial markets through careful selection of predictor variables that capture business cycles and market sentiment. Yet, a distinct literature exists that shows that non-linear econometric frameworks, such as Markov switching, are also natural tools to compute optimal portfolios arising from the existence of good and bad market states. This paper examines whether and how simple VARs can produce portfolio rules similar to those obtained under a simple Markov switching, by studying the effects of expanding both the order of the VAR and the number/selection of predictor variables included. In a typical stock-bond strategic asset allocation problem for UK data, we compute the out-of-sample certainty equivalent returns for a wide range of VARs and compare these measures of performance with those of non-linear models. We conclude that most VARs cannot produce portfolio rules, hedging demands or (net of transaction costs) out-of-sample performances that approximate those obtained from simple non-linear frameworks.