Journal of Futures Markets

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Oil and stock markets before and after financial crises: A local Gaussian correlation approach
Journal of Futures Markets - Tập 37 Số 12 - Trang 1179-1204 - 2017
Georgios Bampinas, Theodore Panagiotidis
The effect of financial shocks on the cross‐market linkages between oil prices (spot and futures) and stock markets is examined for four major crises. We employ the local Gaussian correlation approach and find that the two markets were regionalized for most of the 1990s and the early 2000s. Flights from stocks to oil occur in all crisis episodes, except the recent g...... hiện toàn bộ
Structural breaks and volatility forecasting in the copper futures market
Journal of Futures Markets - Tập 38 Số 3 - Trang 290-339 - 2018
Xu Gong, Boqiang Lin
This paper examines whether structural breaks contain incremental information for forecasting the volatility of copper futures. Considering structural breaks in volatility, we develop four heterogeneous autoregressive (HAR) models based on classical or latest HAR‐type models. Subsequently, we apply these models to forecast volatility in the copper futures market. Th...... hiện toàn bộ
Fundamentals, Derivatives Market Information and Oil Price Volatility
Journal of Futures Markets - Tập 36 Số 4 - Trang 317-344 - 2016
Michel A. Robe, Jonathan Wallen
We analyze empirically what drives market expectations of crude oil price volatility. Between 2000 and 2014, we investigate the links between the term structure of oil option‐implied volatilities (IVs) and global macroeconomic conditions, physical market fundamentals (OPEC surplus output capacity, oil storage) and economy‐wide financial conditions (captured by the eq...... hiện toàn bộ
The Return–Volatility Relation in Commodity Futures Markets
Journal of Futures Markets - Tập 36 Số 2 - Trang 127-152 - 2016
Carl Chiarella, Boda Kang, Christina Sklibosios Nikitopoulos, Thuy‐Duong Tô
AbstractBy employing a continuous time multi‐factor stochastic volatility model, the dynamic relation between returns and volatility in the commodity futures markets is analyzed. The model is estimated by using an extensive database of gold and crude oil futures and futures options. A positive relation in the gold futures market and a negativ...... hiện toàn bộ
Volatility dynamics of NYMEX natural gas futures prices
Journal of Futures Markets - Tập 28 Số 5 - Trang 438-463 - 2008
Hiroaki Suenaga, Aaron Smith, Jeffrey C. Williams
AbstractWe examine the volatility dynamics of NYMEX natural gas futures prices via the partially overlapping time‐series model of Smith (2005. Journal of Applied Econometrics, 20, 405–422). We show that volatility exhibits two important features: (1) volatility is greater in the winter than in the summer, and (2) the persistence of price shocks and, hence, the corr...... hiện toàn bộ
The impact of soft intervention on the Chinese financial futures market
Journal of Futures Markets - Tập 40 Số 3 - Trang 374-391 - 2020
Jimmy E. Hilliard, Haoran Zhang
AbstractDuring the 2015 financial crisis in China, participants faced the criticism that manipulators and shorts had destabilized the market. As a result, the Chinese Securities Regulatory Commission intervened sequentially in the spot market and then in the futures market. Trading volume dropped precipitously. Using the cost‐of‐carry model, we find that these acti...... hiện toàn bộ
Cointegration and error correction models: Intertemporal causality between index and futures prices
Journal of Futures Markets - Tập 13 Số 2 - Trang 193-198 - 1993
Asim Ghosh
Price discovery in the treasury futures market
Journal of Futures Markets - Tập 27 Số 11 - Trang 1021-1051 - 2007
Michael W. Brandt, Kenneth A. Kavajecz, Shane Underwood
AbstractThe paper conducts a regression analysis utilizing both futures and cash market prices and net orderflow to determine where price discovery takes place as well as the forces at play that influence the location. Specifically, given the strong theoretical linkage between the U.S. Treasury cash and futures markets, they compare how orderflow contributes to pri...... hiện toàn bộ
Testing range estimators of historical volatility
Journal of Futures Markets - Tập 26 Số 3 - Trang 297-313 - 2006
Jinghong Shu, Jin E. Zhang
AbstractThis study investigates the relative performance of various historical volatility estimators that incorporate daily trading range: M. Parkinson (1980), M. Garman and M. Klass (1980), L. C. G. Rogers and S. E. Satchell (1991), and D. Yang and Q. Zhang (2000). It is found that the range estimators all perform very well when an asset price follows a continuous...... hiện toàn bộ
The information content of implied volatility in light of the jump/continuous decomposition of realized volatility
Journal of Futures Markets - Tập 27 Số 4 - Trang 337-359 - 2007
Pierre Giot, Sébastien Laurent
AbstractIn the framework of encompassing regressions, the information content of the jump/continuous components of historical volatility is assessed when implied volatility is included as an additional regressor. The authors' empirical application focuses on daily and intradaily data for the S&P100 and S&P500 indexes, and daily data for the associated VXO a...... hiện toàn bộ
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