Revisiting the determinants of futures contracts success: the role of market participants

The Chicago Mercantile Exchange introduced a futures contract for distillers’ dried grains (DDGs) in early 2010, but the market became inactive only four months after its inception. While many new futures contracts do not develop into high‐volume traders, interest from DDG cash market participants indicated that this contract could be successful. Prompted by the unexpected lack of trading activity in this new futures market, we empirically revisit the question of what factors contribute to a futures contract's success and extend the literature by investigating the roles of market participants and the significance of supporting futures markets. Estimation results indicate that the market participant type—hedger or speculator—affects futures contract trade volume. More importantly, we find that the viability of new futures contracts for commodities that are jointly produced with other commodities is impacted by hedgers’ trade volume of the related futures contract. These results provide important additions into the portfolio of indicators used by commodity exchanges to more cost‐effectively evaluate new futures contract products.     

Housing market spillovers through the lens of transaction volume: A new spillover index approach

Proposing and applying a new spillover index approach based on data-determined structural vector autoregression to measure connectedness, we examine the daily housing market information transmission via transaction volume among Chinese city-level housing markets from 2009 to 2018. We document substantial information transmission on Chinese housing markets even within one day and find that the role a city-level housing market may play in the information transmission network resembles a pattern observed on other financial markets, which can be generally classified into three distinctive groups: prime senders, exchange centers, and prime receivers. City hierarchy and some fundamental economic factors, such as GDP per capita and average wage, appear to be significant determinants of such a pattern. The findings extend the existing voluminous literature solely based on housing prices or price volatility spillovers and shed new light on the China’s government intervention strategy on the housing market.     

The heterogeneous volume-volatility relations in the exchange-traded fund market: Evidence from China

We decompose the trading volume of exchange-traded funds (ETFs) into specific components according to different triggers of trades: (i) private information, (ii) disagreement among investors due to their different opinions on public information or having different information, and (iii) investor impatience. Then we examine the particular impact of each type of ETF trade on the market volatility of the tracked index. Focusing on the three ETFs tracking the CSI 300, we show that ETF trades stemming from investor disagreement are a key determinant of CSI 300 volatility, dominating other factors considered. Liquidity ETF trades can partially explain CSI 300 volatility. However, little evidence supports a significant correlation between privately informed trades of ETFs and CSI 300 volatility.     

Limited attention,salience of information and stock market activity

It is now widely recognized in the literature that individuals have limited attention and that salient information plays a key role in individuals choices. We analyze the salience of two sources of information for investors: firm-specific and market. Salient information on firm and market levels is captured by 52-week highs and low indicators while investor attention is filtered by Google web searches. Results show that web searches is a predictor of volume, volatility and returns, and the effects are stronger when using market information. Our findings help to better understand the sources of information that lead individuals in making investment decisions.     

审慎推进我国银行间债券市场两类回购改革

债券回购交易兼具融资、融券属性,是金融机构重要的交易工具,与拆借、现券、衍生品市场具有较强联动效应,也是央行货币政策操作的主要工具之一。银行间债券回购作为我国银行间市场的主要组成部分,在调节流动性、传导货币政策、推动利率市场化改革等方面发挥着重要作用。与国际上转移质押物所有权的做法不同,我国债券回购以质押券冻结方式为主。随着银行间债券市场的不断发展,质押式回购冻结的债券越来越多,形成了“流动性越好的债券反而越容易被冻结”的现象,制约了债券二级市场流动性,不利于健全国债收益率曲线与货币政策传导,影响价格发现与债券估值。两类回购利率比价关系不尽合理,易造成不同类型回购利率之间利差走阔。审慎推进银行间债券市场两类回购改革,发挥市场自主选择机制,适度调整回购市场格局,完善现有回购制度逐步与国际接轨,有利于提高债券二级市场流动性,满足金融机构的债券交易型需求,更好发挥债券回购在货币市场中的稳定器和利率锚的作用,推进银行间债券市场对外开放与健康发展。     

How do firms finance their exports? – evidence from China

Using a firm-level production data over the period of 2005–2009 from China, this paper provides a new empirical evidence on how firms finance their exports when they have several financial options. The main results of the paper can be summarized as follows. First, firms who have better access to any finance are more likely to export and export more. More financial options lead to a higher export probability and capacity due to the complementary relation between financial options. Second, of all financial options, the internal finance captured by cash holdings or profit plays the most important role on firms’ export likelihood and volume. Firms rely more on the external finance through borrowing to start exporting, but depend more on issuing stocks to their shareholders to expand their exports. Third, subsample results suggest that the financial option of issuing stocks is generally more important for firms who have worse access to external finance in determining export propensity and quantity, such as private-owned firms, small-scale firms, young firms, and non-eastern firms.     

The relationship between trading activity and stock market volatility: Does the volume threshold matter?

This paper examines whether trading activity conveys valuable information about changes in market volatility dynamics. We use a modelling framework, in which the market smoothly switches from one state to another, according to the volume level. Results show that large volume drives the high volatility regime for most of the markets, quite consistently with the disagreement-in-beliefs hypothesis. The volume decomposition into normal trading activity and surprising information arrival reveals a reverse threshold linkage for emerging markets. Results support the sequential information arrival hypothesis and highlight the key role of asymmetric information and thin trading in modelling the volume-volatility relationship. The proposed volume-based models provide significant forecast improvements over competing models and offer scope for investors to earn substantial profits.     

Asymmetric multifractal features of the price–volume correlation in China’s gold futures market based on MF-ADCCA

In recent years, fractal theory has become a recognized research direction for explaining various complex phenomena that are difficult to constrain in the conventional efficient market hypothesis for financial markets. Moreover, because the gold futures prices are crucial to the futures market, research on the relationship between quantity and price is important for understanding market fluctuations. Therefore, this paper conducts an empirical analysis of the multifractal features and asymmetry in the price–volume correlation of China’s gold futures market based on the multifractal asymmetric detrended cross-correlation analysis method¹ . Results show that the cross-correlation between market price and volume is asymmetric and multifractal and that multifractal features are stronger when the price increases compared with when it declines. Moreover, the multifractal features vary over time. These findings indicate that the risk of China’s gold futures market will change with the price trend over time.     

国标GBZ/T160.45—2007方法中1,2-二氯乙烷采样体积修正的可行性研究

进行1,2-二氯乙烷作业环境检测的气相色谱测定方法学研究,通过将填充柱改为毛细管色谱柱得到的1,2-二氯乙烷检出限,远远小于GBZ/T 160.45—2007中的给出值,从而推导出修改GBZ/T 160.45—2007中规定的1,2-二氯乙烷采样体积的可行性。修改后的试验方法将降低采样和检测成本。     

The persistence of the small firm/January effect: Is it consistent with investors’ learning and arbitrage efforts?

Using improved methodology and an expanded research design, we examine whether the small firm/January effect (Keim, D. B. (1983). Size-related anomalies and stock return seasonality: further empirical evidence. Journal of Financial Economics 12:13–32), is declining over time due to market efficiency. First, we find that January returns are smaller after 1963–1979, but have simply reverted to levels that existed before that time. Second, we show that the January effect is not limited to mature markets but also appears in firms trading on the relatively new NASDAQ exchange in the 1970s. Third, trading volume for small firms in December and January is not different from other months, implying that traders are not actively arbitraging the anomaly. Together, our results suggest that this anomaly continues to defy rational explanation in an efficient market.