Search results

1 – 10 of over 23000
Open Access
Article
Publication date: 23 February 2024

Bonha Koo and Ryumi Kim

Using the next-day and next-week returns of stocks in the Korean market, we examine the association of option volume ratios – i.e. the option-to-stock (O/S) ratio, which is the…

Abstract

Using the next-day and next-week returns of stocks in the Korean market, we examine the association of option volume ratios – i.e. the option-to-stock (O/S) ratio, which is the total volume of put options and call options scaled by total underlying equity volume, and the put-call (P/C) ratio, which is the put volume scaled by total put and call volume – with future returns. We find that O/S ratios are positively related to future returns, but P/C ratios have no significant association with returns. We calculate individual, institutional, and foreign investors’ option ratios to determine which ratios are significantly related to future returns and find that, for all investors, higher O/S ratios predict higher future returns. The predictability of P/C depends on the investors: institutional and individual investors’ P/C ratios are not related to returns, but foreign P/C predicts negative next-day returns. For net-buying O/S ratios, institutional net-buying put-to-stock ratios consistently predict negative future returns. Institutions’ buying and selling put ratios also predict returns. In short, institutional put-to-share ratios predict future returns when we use various option ratios, but individual option ratios do not.

Details

Journal of Derivatives and Quantitative Studies: 선물연구, vol. 32 no. 1
Type: Research Article
ISSN: 1229-988X

Keywords

Article
Publication date: 4 December 2023

Qing Liu, Yun Feng and Mengxia Xu

This paper aims to investigate whether the establishment of commodity futures can effectively hedge systemic risk in the spot network, given the context of financialization in the…

Abstract

Purpose

This paper aims to investigate whether the establishment of commodity futures can effectively hedge systemic risk in the spot network, given the context of financialization in the commodity futures market.

Design/methodology/approach

Utilizing industry association data from the Chinese commodity market, the authors identify systemically important commodities based on their importance in the production process using multiple graph analysis methods. Then the authors analyze the effect of listing futures on the systemic risk in the spot market with the staggered difference-in-differences (DID) method.

Findings

The findings suggest that futures contracts help reduce systemic risks in the underlying spot network. Systemic risk for a commodity will decrease by approximately 5.7% with the introduction of each corresponding futures contract, since the hedging function of futures reduces the timing behavior of firms in the spot market. Establishing futures contracts for upstream commodities lowers systemic risks for downstream commodities. Energy commodities, such as crude oil and coal, have higher systemic importance, with the energy sector dominating systemic importance, while some chemical commodities also have considerable systemic importance. Meanwhile, the shortest transmission path for risk propagation is composed of the energy industry, chemical industry, agriculture/metal industry and final products.

Originality/value

The paper provides the following policy insights: (1) The role of futures contracts is still positive, and future contracts should be established upstream and at more systemically important nodes in the spot production chain. (2) More attention should be paid to the chemical industry chain, as some chemical commodities are systemically important but do not have corresponding futures contracts. (3) The risk source of the commodity spot market network is the energy industry, and therefore, energy-related commodities should continue to be closely monitored.

Details

China Finance Review International, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2044-1398

Keywords

Article
Publication date: 8 August 2023

Sivakumar Sundararajan and Senthil Arasu Balasubramanian

This study empirically explores the intraday price discovery mechanism and volatility transmission effect between the dual-listed Indian Nifty index futures traded simultaneously…

Abstract

Purpose

This study empirically explores the intraday price discovery mechanism and volatility transmission effect between the dual-listed Indian Nifty index futures traded simultaneously on the onshore Indian exchange, National Stock Exchange (NSE) and offshore Singapore Exchange (SGX) and its spot market by using high-frequency data.

Design/methodology/approach

This study applies the vector error correction model to analyze the lead-lag relationship in price discovery among three markets. The contributions of individual markets in assimilating new information into prices are measured using various measures, Hasbrouck's (1995) information share, Lien and Shrestha's (2009) modified information share and Gonzalo and Granger's (1995) component share. Additionally, the Granger causality test is conducted to determine the causal relationship. Lastly, the BEKK-GARCH specification is employed to analyze the volatility transmission.

Findings

This study provides robust evidence that Nifty futures lead the spot in price discovery. The offshore SGX Nifty futures consistently ranked first in contributing to price discovery, followed by onshore NSE Nifty futures and finally by the spot. Empirical results also show unidirectional causality and volatility transmission from Nifty futures to spot, as well as bidirectional causal relationship and volatility spillovers between NSE and SGX Nifty futures. These novel findings provide fresh insights into the informational efficiency of the dual-listed Indian Nifty futures, which is distinct from previous literature.

Practical implications

These findings can potentially help market participants, policymakers, stock exchanges and regulators.

Originality/value

Unlike previous studies in this area, this is the first study that empirically examines the intraday price discovery mechanism and volatility spillover between the dual-listed futures markets and its spot market using 5-min overlapping price data and trivariate econometric models.

Details

International Journal of Emerging Markets, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1746-8809

Keywords

Article
Publication date: 16 May 2023

Ghadi Saad

This paper attempts to investigate the impact of the Russia–Ukraine war on the returns and volatility of the United States (US) natural gas futures market.

Abstract

Purpose

This paper attempts to investigate the impact of the Russia–Ukraine war on the returns and volatility of the United States (US) natural gas futures market.

Design/methodology/approach

The study uses secondary data of 996 trading day provided by the US Department of Energy and investing.com websites and applies the event study methodology in addition to the generalized autoregressive conditional heteroscedastic (GARCH) family models.

Findings

The findings from the exponential EGARCH (1,1) estimate are the best indication of a significant positive effects of the Ukraine–Russia war on the returns and volatility of the US natural gas futures prices. The cumulative abnormal returns (CARs) of the event study show that the natural gas futures prices reacted negatively but not significantly to the Russian–Ukraine war at the event date window [−1,1] and the [−15, −4] event window. CARs for the longer pre and post-event window display significant positive values and coincides with the standard finance theory for the case of the US natural gas futures over the Russia–Ukraine conflict.

Originality/value

This is the first study to examine the impact of the Russia–Ukraine war on natural gas futures prices in the United States. Thus, it provides indications on the behavior of investors in this market and proposes new empirical evidence that help in investment analyses and decisions.

Details

Kybernetes, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 0368-492X

Keywords

Article
Publication date: 21 February 2024

Shuifeng Hong, Yimin Luo, Mengya Li and Duoping Yang

This paper aims to empirically investigate time–frequency linkages between Euramerican mature and Asian emerging crude oil futures markets in terms of correlation and risk…

Abstract

Purpose

This paper aims to empirically investigate time–frequency linkages between Euramerican mature and Asian emerging crude oil futures markets in terms of correlation and risk spillovers.

Design/methodology/approach

With daily data, the authors first undertake the MODWT method to decompose yield series into four different timescales, and then use the R-Vine Copula-CoVaR to analyze correlation and risk spillovers between Euramerican mature and Asian emerging crude oil futures markets.

Findings

The empirical results are as follows: (a) short-term trading is the primary driver of price volatility in crude oil futures markets. (b) The crude oil futures markets exhibit certain regional aggregation characteristics, with the Indian crude oil futures market playing an important role in connecting Euramerican mature and Asian emerging crude oil futures markets. What’s more, Oman crude oil serves as a bridge to link Asian emerging crude oil futures markets. (c) There are significant tail correlations among different futures markets, making them susceptible to “same fall but different rise” scenarios. The volatility behavior of the Indian and Euramerican markets is highly correlated in extreme incidents. (d) Those markets exhibit asymmetric bidirectional risk spillovers. Specifically, the Euramerican mature crude oil futures markets demonstrate significant risk spillovers in the extreme short term, with a relatively larger spillover effect observed on the Indian crude oil futures market. Compared with India and Japan in Asian emerging crude oil futures markets, China's crude oil futures market places more emphasis on changes in market fundamentals and prefers to hold long-term positions rather than short-term technical factors.

Originality/value

The MODWT model is utilized to capture the multiscale coordinated motion characteristics of the data in the time–frequency perspective. What’s more, compared to traditional methods, the R-Vine Copula model exhibits greater flexibility and higher measurement accuracy, enabling it to more accurately capture correlation structures among multiple markets. The proposed methodology can provide evidence for whether crude oil futures markets exhibit integration characteristics and can deepen our understanding of connections among crude oil futures prices.

Details

The Journal of Risk Finance, vol. 25 no. 2
Type: Research Article
ISSN: 1526-5943

Keywords

Abstract

Details

Responsible Investment Around the World: Finance after the Great Reset
Type: Book
ISBN: 978-1-80382-851-0

Article
Publication date: 25 April 2023

Liu Hong and Tianpeng Zhou

This paper aims to propose an alternative method to measure idiosyncratic volatility and test whether the idiosyncratic volatility puzzle holds in commodity futures markets.

Abstract

Purpose

This paper aims to propose an alternative method to measure idiosyncratic volatility and test whether the idiosyncratic volatility puzzle holds in commodity futures markets.

Design/methodology/approach

This paper proposes a partially new measure of idiosyncratic volatility in commodity futures markets based on the Schwartz and Smith (2000) short-term/long-term model. This model enables us to capture systematic risks of commodity futures markets in a parsimonious way.

Findings

Using a sample of futures contracts for 20 commodities from 1973 to 2022, this paper demonstrates that idiosyncratic volatility is more significant than systematic volatility in commodity futures markets, and that the idiosyncratic volatility puzzle does not hold in these markets. This paper also performs robustness tests to investigate whether the puzzle holds during subsample periods when commodity markets are more volatile and find consistent results. This study highlights the differences between commodity futures markets and equity markets and emphasizes the importance of investigating idiosyncratic volatility in commodity futures markets.

Originality/value

The contributions of this paper are threefold. First, this paper contributes to the literature by focusing on the idiosyncratic volatility of commodity futures returns. Second, this paper constructs a partially new measure of idiosyncratic volatility in commodity futures markets. Finally, this paper also contributes to the literature on the idiosyncratic volatility puzzle and demonstrates that the puzzle may not exist in commodity futures markets.

Details

Managerial Finance, vol. 49 no. 10
Type: Research Article
ISSN: 0307-4358

Keywords

Article
Publication date: 4 May 2022

Palak Dewan and Khushdeep Dharni

The study examines herding in the Indian stock and commodity futures market including agricultural, metal and energy commodities. Herding is studied under various market…

Abstract

Purpose

The study examines herding in the Indian stock and commodity futures market including agricultural, metal and energy commodities. Herding is studied under various market conditions: rising and declining, high and low volatility. The study also examines spillover effects of herding.

Design/methodology/approach

The study adapts the cross-sectional absolute deviation model given by Chang et al. (2000) to examine herding in Indian stock and commodity futures markets.

Findings

The results of the study indicate absence of herding among commodity futures under all market conditions except for the declining market where herding is present among energy futures. The investors investing in agricultural and energy commodities have a higher tendency to herd during high volatility days as compared to low volatility days. Further, the study of herding spillover effects indicates that the price fluctuations in metal commodities affect herding in agricultural and energy commodities.

Research limitations/implications

The results can help market participants to diversify the risk by investing in agricultural, metal and energy futures along with the stocks.

Originality/value

Majority of the previous studies explore herding among stocks and ignore commodities especially agricultural commodities. This study attempts to fill the gap by studying herding among various commodity futures. To the best of our knowledge this is the first study to explore herding spillover effects in the Indian stock and commodity futures market.

Details

Journal of Agribusiness in Developing and Emerging Economies, vol. 13 no. 5
Type: Research Article
ISSN: 2044-0839

Keywords

Article
Publication date: 23 October 2023

Dimitrios Panagiotou and Konstantinos Karamanis

The aim of this study is to investigate for monotonicity, linearity and symmetry for the price volatility–trading volume relationship in the futures markets of agricultural…

Abstract

Purpose

The aim of this study is to investigate for monotonicity, linearity and symmetry for the price volatility–trading volume relationship in the futures markets of agricultural commodities.

Design/methodology/approach

Empirical findings are produced with the use of a highly flexible, nonparametric approach. Data are daily prices and volumes from the commodities of corn, hard red wheat, oats, rice and soybeans.

Findings

Results reveal violations of monotonicity locally but not globally. Volume and price volatility have, in all markets, a nonlinear relationship to each other, indicating that the strength of the relationship does not remain constant over the entire joint distribution. Global symmetry is rejected for the markets of oats and hard red wheat but cannot be rejected for the remaining three markets. The latter suggests that large values of good volatility are likely to occur together with high trading volumes, as do large values of bad volatility in these markets.

Originality/value

To the best of the authors’ knowledge, this is the first empirical work to test simultaneously for monotonicity, linearity and symmetry between price volatility and trading volume in the futures markets of agricultural commodities.

Details

Studies in Economics and Finance, vol. 40 no. 5
Type: Research Article
ISSN: 1086-7376

Keywords

Open Access
Article
Publication date: 5 October 2022

Daniel William Mackenzie Wright and Santa Zascerinska

Is humanity heading to immortal living? If so, what areas of society are playing an active role in achieving this? In order to understand this, the study explores the relationship…

2931

Abstract

Purpose

Is humanity heading to immortal living? If so, what areas of society are playing an active role in achieving this? In order to understand this, the study explores the relationship between immortality and the wellness and medical tourism industry to seek potential relationships between them and ultimately, asks difficult questions about the growth of these tourism sectors and the potential need for greater regulation of them.

Design/methodology/approach

Taking a pragmatic philosophical approach and through the examination of refined information from secondary sources and published material and reports, the study presents original theoretical knowledge and a model exploring tourism and human immortality.

Findings

This paper argues that continued growth in the wellness and medical markets today could lead to a world where transhumanists and cyborgs are present in our world, even taking over from Homo sapiens. The study presents a model highlighting the potential role of wellness and medical tourism markets, illustrating the potential for future consumer services that could further fuel the search for immortality. Thus, how such markets and consumer desires are (in)directly supporting humanities desire for (non-human) immortal existence.

Originality/value

Today, individuals are driven by wellness practices and medical and cosmetic desires and are willing to travel the globe in search of companies who are either capable of carrying out the desired procedures or seeking prices more affordable to them. This research offers novel insights into these complex relationships and maps the affiliation between wellness and medical practices and the concept of immortality.

Details

Journal of Tourism Futures, vol. 9 no. 2
Type: Research Article
ISSN: 2055-5911

Keywords

1 – 10 of over 23000