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Proposes a dynamic hedging model for commercial paper that takes advantage of time dependencies present in the joint density of commercial paper and T-bill futures. Comparison of the hedging effectiveness of the dynamic model to that of the static regression model; Econometric specification.

This paper is concerned with the conceptual, discursive, and political inclination within spatial and social thought towards enacting 'new worlds', 'worlds to come', and 'possible worlds'. Against the backdrop of this diffuse habit, which I refer to as 'worldly futuring', the paper calls attention to the ongoing challenge posed by worldlessness. It asks: what is lost, existentially or politically, in prioritising world‐building over world‐ending? Articulating a response to this question, the paper examines how the investment in future worlds functions, what it secures, and what it indemnifies against. Definitionally, 'world' lacks the ethical designation required to explain its signalling function as a positive horizon of futurity. Worldly futuring instead relies on three connected affirmations: world presents the promise of (meta)stability, of commonality, and of meaning. In prioritising these affirmations, worldly futuring immunises itself against the possibility of their radical absence or violent undoing, thereby working around, against, or sublating the threat of worldlessness. However, building on the scholarship of Derrida on worldless alterity and theorists of black negativity's political calls for the 'end of the world', the central argument of the paper is that working‐away worldlessness is neither inherently possible nor necessarily desirable. Despite any attempt at immunisation, worldlessness haunts any project of worldly futuring, showing us that the assumed connection between world and futurity may well be an obstacle to radical futures. This paper is concerned with the conceptual, discursive, and political inclination within spatial and social thought towards enacting 'new worlds', 'worlds to come', and 'possible worlds'. Against the backdrop of this diffuse habit, I call attention to the ongoing challenge posed by worldlessness. What is lost, existentially or politically, in prioritising world‐building over world‐ending? [ABSTRACT FROM AUTHOR]

In this paper, I call for geographers to engage further with a so far under‐explored concept of the socio‐ecological imagination, which I define as a variant of political‐geographical imagination(s) concerned with envisioning (and progressing) the transformation of relationships between human society and the rest of the planetary environment. In response to escalating ecological breakdown, and a recent surge in environmental movement mobilisation(s) led in many places by young people, this paper seeks to contribute to expanding understandings of the socio‐ecological imagination, drawing on interviews and participant observation with young environmental activists in the North East of England. The paper performs two major tasks. First, through analysing the ways in which the environmentalists narrate their imaginaries of socio‐ecological transformation(s), it is argued that dominant oppositional tendencies within participant narratives result from a tension between antagonistic and imaginative forms of transformative politics. Second, the paper explores in more depth the main forces constraining the imagination of alternative socio‐ecological futures, proposing three major interconnected barriers that emerge from the environmentalists' narratives: crisis lock‐in; colonisation of the social imaginary; and dualistic temporal imaginaries of transformation. In sum, I suggest that these barriers warn of an imaginative gap between our current social reality and just and sustainable futures, driven by structural and psychological pressures faced by activists in the current era of multi‐dimensional crisis. Bridging this gap can be aided by a greater engagement of geographers and environmental movements with a socio‐ecological imagination and a processual understanding of space–time. [ABSTRACT FROM AUTHOR]

The spread and growth of ubiquitous smart technology to deliver public health outcomes, particularly within/at home, urgently requires greater scholarly attention. This paper uses data from interviews with professionals in Scotland who are designing and implementing Technology‐Enabled Care (TEC) for current and future homes. Theoretically informed by both critical geographies of home and futures scholarship, this paper presents a three‐part framework – "homes‐that‐are," "homes‐that‐ought," and "homes‐to‐be" – to explore the techno‐solutionist accounts of home, bringing to bear the messiness and complexity of home, both its conceptualisation and experience. It highlights prediction as an emerging form of anticipatory practice, generating new questions and conceptualisations about the openness of futures. Moreover, it demonstrates the importance of understanding the underlying assumptions of those who make decisions when planning for future TEC and housing; about who they imagine they are planning for, and how diverse these futures are. This paper presents a three‐part framework – "homes‐that‐are," "homes‐that‐ought," and "homes‐to‐be" – to explore the techno‐solutionist accounts of home, bringing to bear the messiness and complexity of home, both its conceptualisation and experience. Using data from interviews with professionals in Scotland who are designing and implementing Technology‐Enabled Care (TEC) for current and future homes, it highlights prediction as an emerging form of anticipatory practice, generating new questions on the openness of futures. It also demonstrates the importance of understanding underlying assumptions of those who make decisions when planning for future TEC and housing. [ABSTRACT FROM AUTHOR]

This paper study the exposure of Dow Jones Islamic equity indices to global risk factors while considering both effects of speculative influence and fundamental changes. The study involves future markets according to Shari'a guidelines that ban speculative trading. Nonlinear ARDL modelling approach along with dynamic asymmetric causality tests is conducted to scrutinize long‐run and short‐run asymmetries and asymmetric causalities. The used data are crude refined oil future prices to stand for fundamental chocks in speculative trading and implied volatility index to stand for speculative pressure. Obtained results approve the presence of asymmetric cointegration between Islamic equity indices and oil‐VIX future prices. The Islamic indices are sensitive to oil‐VIX future chocks both in the long run and the short run. Asymmetric causality tests indicate the existence of asymmetric causality running from crude refined oil future prices which confirm the fundamental contagion effects but the causality from VIX to Islamic indices is not pronounced at all. Results support the absence of speculative influence on Islamic indices and prove that DJIM indices corroborate with Shari'a compliant rules. In sum, the paper confirms the asymmetric cointegration and then assumes that the asymmetry is present in Islamic equity indices inherent to changes in international futures prices. The paper shows the structure of exposure to global markets' expectations and provides faith‐based investors with insights about the attitude of Islamic indices towards the future. Our findings suggest useful highlights to policymakers, portfolio managers, faith‐based investors and scholars. We then could state that if long‐run relationship occurs it is naturally asymmetrical. [ABSTRACT FROM AUTHOR]

This paper aims to investigate how different emotions affect the subsequent index futures returns. We test the forecasting regressions which predict the S&P 500 index futures returns with lagged text‐based emotion (anger, joy, fear, optimism, and gloom) indices and find asymmetric forecasting power exists between pessimism and optimism emotion indices. We show that only the text‐based anger index could reliably perform at predicting index futures return in‐sample and outperform the prevailing unconditional mean out‐of‐sample. Notably, the predictive power of the text‐based anger index persists after controlling for other emotion indices, investor sentiment indices, and fundamental variables known to predict the futures market. And the asset allocation conditioning on text‐based anger index can generate substantial economic benefits. Furthermore, the anger index influences the index futures return through both the discount rate and cash flow channels. [ABSTRACT FROM AUTHOR]

Examining stock price crash risk in emerging economies is important since emerging equity markets are characterized by excessive volatility and weak corporate governance. This paper investigates the association between foreign ownership and crash risk using a data sample of firms listed on the Ho Chi Minh City Stock Exchange over the period 2007–2015. Employing a number of econometric techniques for panel data analysis, the paper shows that foreign investors are positively associated with future stock price crash risk. Importantly, this finding highlights the critical problem of information asymmetry in emerging markets. This paper has strong implications for portfolio investment and risk management. The paper is also relevant for financial market supervisory body in maintaining safe and sound financial markets. [ABSTRACT FROM AUTHOR]

In the context of contract farming of sugarcane in an outgrower scheme in Tanzania, this paper explores how the scheme has fundamentally altered people's relationships with the land over the last 50 years, in particular, since 1999, when, after three decades, the sugar parastatal was privatized. The paper reviews the literature on the mutual relationship between contract farming and land ownership and examines the scheme with a focus on long‐term changes in the forms of land acquisitions and land use. We argue that the meaning and importance of landownership in contract farming schemes needs to be reassessed if participation in contract farming entails a departure from previous forms of acquiring land, generates new spatial patterns of agricultural production, and necessitates additional economic and social resources in order to transform land into an economic asset. [ABSTRACT FROM AUTHOR]

The impact of trade policy on foreign trade is becoming increasingly prominent. This paper chooses the Chinese soybean futures market to study the impact of Sino–US trade friction. The results show that the asymmetric effect and volatility of the Chinese soybean futures market become larger after the beginning of Sino–US trade friction. In addition, the relationship among Chinese soybean futures, Chinese soybean meal futures, and Chinese soybean oil futures is strengthened. However, the relationship between Chinese soybean meal futures and American soybean meal futures and between Chinese soybean oil futures and American soybean oil futures has weakened since Sino–US trade friction started. [ABSTRACT FROM AUTHOR]

This paper deals with the producer's optimal use of commodity futures in hedging. The framework for analysis is an intertemporal consumption and investment model. The producer makes his production decisions at the beginning of the period and realizes his return at the end of the time interval. During the period, he faces both price and output uncertainties. In applying stochastic dynamic programming methods, this paper shows the effect of these risks on his consumption behavior. Further, the paper investigates his optimal hedging positions in the futures market over time and his optimal production decisions. Finally, implications of these results on the futures markets are discussed. [ABSTRACT FROM AUTHOR]

The article presents commentary from George C. Pinches about two papers in the current issue, "Adaptation, Information, and Dependence in Commodities Markets" by Martell and Philippatos (MP), and "The Tokyo Stock Exchange and the Capital Asset Pricing Model" by Lau, Quay, and Ramsey (LQR). He believes the paper by MP needs to provide more information about the definition of filter rules, commission structure, funds required to use the filter rules described, and risk measurement. He also has reservations abut the authors' pooling of wheat and soybean futures. He also believes the paper by LQR needs to explain the existence of lower excess returns for Japanese stocks.

This Special Issue comes from the Development Studies Association (DSA) 30th Anniversary conference in 2008. The theme was ‘Development's Invisible Hands’, focusing on the forces likely to influence global change and re-shape development agendas over the next 30 years. The first section comprises brief invited thinkpieces mainly from DSA past presidents. Interestingly, while some focus on Adam Smith's original ‘invisible hand’ analogy and others discuss a range of non-market issues, several invoke Karl Polanyi on the limitations of market society. The second and third sections consist, respectively, of ‘synthesis’ papers on parallel panel themes and papers developed from the best panel presentations. The papers demonstrate the range of issues raised by questioning the future of development and development studies—while the limitations of future gazing are pointed up by the unexpected challenge to current development models presented since the conference by the global financial crisis. Copyright © 2009 John Wiley & Sons, Ltd. [ABSTRACT FROM AUTHOR]

Radically new economic arrangements are needed for just and sustainable transitions to a more environmentally and ecologically resilient world. Yet little progress is being made to imagine the new economy‐environment relations around which resources, actors, and ethics might be configured to enact the novel economic forms needed. This article uses a Social Studies of Economisation and Marketisation (SSEM) approach to examine a suite of differently scaled and structured environmentally focused economic development initiatives in New Zealand. We explore how the initiatives have assembled diverse actors and investment projects into experimental economy‐environment relations. Our account highlights experimentation as a pivotal mode of economisation, and we argue that the initiatives studied by us expose a new experimentation‐led agenda for transitioning to more environmentally and economically just futures. Working with the idea of experimentation in an SSEM framework, we also argue that the diverse initiatives are creating an experimentation infrastructure that provides a more generative platform for novel economy‐environment relations than top–down models of change such as transition pathways. The article opens up a critical politics of environmental economy that focuses attention on emergence, agency, and practice and allows us to reimagine processes of transitioning. This paper brings the Social Studies of Economisation and Marketisation to a suite of diverse environmentally‐focused economic development initiatives in New Zealand. We argue that the initiatives register an experimentation‐led agenda for societal transitioning and that not only is experimentation a pivotal mode of economisation, but it can cohere into an experimentation infrastructure that has a wider collective potentiality, offering us other ways to stimulate processes of transitioning. [ABSTRACT FROM AUTHOR]

Using a proposed quantile‐based hedging analysis framework, this paper analyzes the hedging properties and portfolio performance of 15 commodities futures in China, especially under extreme market conditions. Quantile‐on‐quantile regression results show that the dependency structures of most spot and futures prices exhibit an almost similar shape with positive coefficients, which indicates that most futures products are good hedges and safe havens for the corresponding spot prices. Quantile hedge ratios vary with the quantiles, displaying a U‐shape, so the hedge ratios of most commodities should increase moderately in both bearish and bullish markets. As for portfolio performance, metal commodities perform best; agricultural commodities second best, and energy commodities relatively poorly. Out‐of‐sample quantile hedging results are consistent with in‐sample results. Therefore, participating in the futures market can effectively manage risk. The premise is that investors pay attention to market dynamics and adjust their portfolios promptly. [ABSTRACT FROM AUTHOR]

Contracts that expire in January, May, and September attract the most trading activity for corn futures in China. Contracts that mature in other months are thinly traded, even when they are the closest to maturity. In this paper, we examine and compare the behavior and determinants of the bid–ask spreads (BASs) of active and inactive contracts using the best bid offer data set. We show that both the magnitude and volatility of BAS for inactive contracts exhibit U‐shaped patterns, whereas active contracts' BAS increase only near their expiration. Inactive contracts are also of low liquidity risk after introducing market makers. On the basis of the simultaneous equation model, we find that BAS responds negatively to volume and positively to volatility and order imbalance. The impacts are larger in inactive contracts. Moreover, introducing market makers to inactive contracts is conducive to attracting trading and lowering trading costs. [ABSTRACT FROM AUTHOR]

This paper will suggest that the cultural production made by Black (British) feminist millennial creative collectives during this period of austerity and Brexit is informed by the Black British archive(s) but seeks to move beyond those borders. The forms of Black cultural content emerging from these collectives offer clues as to what the future of creative Black British culture may become. [ABSTRACT FROM AUTHOR]

This paper investigates whether leverage effects and structural changes have positive effects on the volatility prediction of crude oil futures. On the basis of existing HAR models, this paper proposes three classes of new HAR models by considering leverage effects, structural changes, or both. The in‐sample and out‐of‐sample results show that leverage effects and structural changes contain significant information for predicting oil volatility. In most cases, structural changes have more in‐sample and out‐of‐sample incremental information than leverage effect, whereas leverage effects have more out‐of‐sample information for predicting 1‐day volatility. In addition, HAR models with leverage effects and structural changes have better in‐sample and out‐of‐sample performances than the corresponding other three classes of HAR models. The above results mean that leverage effects and structural changes should be considered while modelling and forecasting oil volatility. [ABSTRACT FROM AUTHOR]

This paper evaluates the impact of the Chicago Mercantile Exchange's (CME) decision to close the livestock futures pits on the execution quality of customer orders. Our findings suggest that, prior to its closure, the livestock futures pit offers high immediacy execution and attracts large orders. Because such high immediacy orders generally execute faster and cost more, their migration to the electronic market after the pit closure explains why the execution of electronic orders becomes on average speedier and more expensive for customers who used to be active pit users. However, our results also indicate that these pit‐user customers face a lower overall execution cost following the pit closure when we account for all their orders, pit and electronic. [ABSTRACT FROM AUTHOR]

In this paper, we find new evidence for the carbon futures volatility prediction by using the spillovers of fossil energy futures returns as a powerful predictor. The in‐sample results show that the spillovers have a significantly positive effect on carbon futures volatility. From the out‐of‐sample analysis with various loss functions, we find that fossil energy return spillovers significantly outperform the benchmark and show better forecasting performance than the competing models using dimension reduction, variable selection, and combination approaches. The predictive ability of the spillovers also holds in long‐term forecasting and does not derive from other carbon‐related variables. It can bring substantial economic gains in the portfolio exercise within carbon futures. Finally, we provide economic explanations on the predictive ability of the fossil energy return spillover by the channels of the carbon emission uncertainty and the investor sentiment on the warming climate. [ABSTRACT FROM AUTHOR]

To understand social issues and practices such as those related to climate change and technological change that are clearly future‐oriented – collectively experienced events that are "not yet" – and co‐constructed by different actors, we need nuanced conceptualizations of how people think about, negotiate and co‐create futures that allow us to understand not only what people (can) think and do about future‐related issues but also how that happens, what for and with which implications. However, so far, one of the key theoretical approaches that has conceptualised how people make meaning in situations of change and uncertainty – the socio‐psychological social representations theory (SRT) – has not often engaged with the future or with different forms of temporality. By contrast, the French pragmatic sociology of engagements and critique (PS) has engaged with these notions, conceptualising them in relation to materiality and a plurality of moral orientations – two dimensions often seen as key to how collective futures are made and imagined. To offer a more nuanced and systematic conceptualization of how people represent the future and with what consequences, this paper will present, compare and synthesise SRT and PS, as a first step towards an interdisciplinary research agenda on social change and representations of the future. [ABSTRACT FROM AUTHOR]

This paper studies the volatility dynamics of futures contracts on crude oil, natural gas, and gasoline. An appropriate Bayesian model comparison exercise between seven stochastic volatility (SV) models is estimated using daily prices for our futures contracts between 2005 and 2023. Moreover, to assess the impacts of COVID‐19 and the Russia–Ukraine conflict on volatility, we analyze these two subsamples. Overall, we find that: (i) the Bayes factor shows that the SV model with t $t$‐distributed innovations outperforms the competing models; (ii) crude oil contracts with different expiry dates may require the introduction of leverage effects; (iii) the t $t$‐distributed innovations remain the appropriate model for the COVID‐19 subsample, while jumps are needed in the conflict period; and (iv) other Bayesian criteria more appropriate to short‐term predictive ability—such as the conditional and the observed‐date deviance information criterion—suggest other rank order to model our futures contracts, despite the agreements for the best models. [ABSTRACT FROM AUTHOR]

Aspirations have gained significant attention within educational anthropology and yet the effects (and affects) of the imperative to aspire that undergird educational projects have been underexamined. This paper argues that aspirations within the context of material depravity often produce immaterial precarity, which I index as affective states of anticipation drawing on ethnographic research with non‐elite young women who were alumni of a girls' empowerment intervention in New Delhi. [ABSTRACT FROM AUTHOR]

This paper investigates the role of futures markets and their dynamic effects on the stability of commodity prices. The analysis is based on combining two econometric approaches: a quantile vector autoregression (QVAR) model of the marginal distributions of futures and spot prices, and a copula of their joint distribution. Applied to the US soybean and corn markets over the period of 1980–2019, the econometric investigation finds evidence of nonlinear price dynamics that depend on the maturity of the futures contract and documents how marginal price distributions and associated moments evolve over time. Based on the estimates of the QVAR model, we provide evidence of local instability in the upper tail of the price distributions. We find that the futures market helps stabilize the market under nearby futures contract maturity. We document the presence of nonlinear cointegration relationships between futures and spot price. Relying on a copula, we find a positive contemporaneous codependence between futures price and spot price across all quantiles, codependence that varies with the futures contract maturity. We also present evidence of a time‐varying basis that affects the convergence properties of the futures and spot price. Our findings shed new light on the joint determination of futures and spot price in commodity markets. [ABSTRACT FROM AUTHOR]

This paper considers the problems peculiar to the Value Line Index, because of its use of geometric averaging, as regards the pricing of options and futures on that index. The Value Line Composite Index (VLCI) is an equally weighted geometric average index of nearly 1700 stocks. The VLCI futures market has existed since 1982 while the VLCI options market was established in 1985. This paper provides valuation formulas and analyzes the economic properties of these contracts. Because of the geometric averaging in the VLCI, its contingent claims have special properties. For example, the futures price may fall short of the spot price and the value of a VLCI call option may decline when the volatility of the index is increased. VLCI futures are shown to provide a direct means for duplicating an equally weighted portfolio of the underlying stocks. [ABSTRACT FROM AUTHOR]

The greater availability of daily data in the U.S. has led to a number of studies of the seasonality of daily stock (index) returns. While the studies recognized the potential impacts of nontrading and price-adjustment delays in general, no formal analyses of such impacts were presented; in this paper analytic results are presented for the articulation between these phenomena. The implications of the analysis are discussed and shown to be consistent with a sample of U.K. index data. A modified form of the negative weekend effect is found to be present in the U.K. data analyzed. [ABSTRACT FROM AUTHOR]

Stock index futures prices are generally below the level predicted by simple arbitrage models. This paper suggests that the discrepancy between the actual and predicted prices is caused by taxes. Capital gains and losses are not taxed until they are realized. As Constantinides demonstrates in a recent paper, this gives stockholders a valuable timing option. If the stock price drops, the investor can pass part of the loss on to the government by selling the stock. On the other hand, if the stock price rises, the investor can postpone the tax by not realizing the gain. Since this option is not available to stock index futures traders, the futures prices will be lower than standard no-tax models predict. [ABSTRACT FROM AUTHOR]

Threshold autoregressive (TAR) models condition the first moment of a time series on lagged information using a step-function-type nonlinear structure. TAR techniques are expected to be relevant in financial time-series modeling in situations where deviations of prices from equilibrium values depend on discrete transaction costs and where market regulators follow intervention rules based on threshold values of control variables. An important finance application is in modeling the difference in prices of equivalent assets in the presence of transaction costs. The focus of this paper is on motivating the use of TAR models in this context and on the statistical estimation and testing procedures. The procedures are illustrated by modeling the difference between the prices of an index futures contract and the equivalent underlying cash index. It is found that the hypothesis of linearity is conclusively rejected in favor of threshold nonlinearity and that the estimated thresholds are largely consistent with arbitrage-related transaction costs. [ABSTRACT FROM AUTHOR]

Analyst recommendations convey valuable market‐wide information which implies analyst rating should generate reliable predictability for future market returns. This paper examines the predictive regressions which forecast the S&P 500 index futures return and volatility with lagged text‐based analyst rating index (TAR index). Empirical evidence shows that the TAR index generates superior in‐sample predictability. This substantial predictability remains after controlling the business cycles, macroeconomic factors, and economic conditions. Also, the TAR index outperforms the prevailing mean out‐of‐sample and generates significant economic performance. Notably, the TAR index also delivers consistent predictive gains on the volatility of index futures returns. [ABSTRACT FROM AUTHOR]

This paper analyses the ways that young people create new futures in Taranto, Southern Italy, a city hosting one of the largest and most polluting steel factories in Europe. It draws on ethnographic fieldwork in Taranto and uses storytelling to understand how young people – a minority of residents aged between 24 and 35 years – shape futures in industrially polluted environments. The study weaves together geographic and anthropological scholarship about futures in (post‐)industrial cities, conceptualisations of breathing as well as lived experiences in highly polluted areas. Through mobilising the notion of breathing, we highlight the embodied, entangled, and emotional dimensions of the young people's everyday practices and develop our concept of "breathing new futures." We argue that both pollution and the envisioning of a new future become visible in everything the study's participants do; the ways they promote environmental awareness, take care of animals, or seek to foster children's education. By focusing on generational differences, the study expands on recent scholarship analysing environmental pollution in relation to intersectional identities such as race, ethnicity, and gender, and sheds light on the activities of young people to imagine and live new futures in polluted environments. [ABSTRACT FROM AUTHOR]

As the volatility index (VIX) is nontradable, most investors use the exchange‐traded VIX futures to hedge their exposures in VIX options. However, the information role of VIX futures in pricing VIX options is not fully explored empirically. This paper derives two types of VIX option pricing formula using VIX index and VIX futures as state variables accordingly based on a simple discrete‐time VIX dynamics with long memory and asymmetric jumps. Empirical results show that models utilizing VIX futures significantly outperform competing models based on S&P 500 index (SPX) returns, realized volatility, or the VIX index itself. Our findings are robust in out‐of‐sample. [ABSTRACT FROM AUTHOR]

This paper examines the lead-lag relationship between futures trading activity (volume and open interest) and cash price volatility for major agricultural commodities. Granger causality tests and generalized forecast error variance decompositions show that an unexpected increase in futures trading volume unidirectionally causes an increase in cash price volatility for most commodities. Likewise, there is a weak causal feedback between open interest and cash price volatility. These findings are generally consistent with the destabilizing effect of futures trading on agricultural commodity markets. [ABSTRACT FROM AUTHOR]

This paper intends to characterize the effect of high‐frequency quoting (HFQ) on the execution risk of Eurodollar futures. We construct a unique data set to capture the quoting and trading activities within the limit order book, which allows us to classify the realised fraction of HFQ activity within the market. We then estimate the marginal effect of the HFQ fraction on the execution risk through a novel semi‐parametric regression. The results suggest that the effect of HFQ on market quality is nonlinear with critical saturation levels. The HFQ effects on market quality seem to disappear once certain critical points are reached. [ABSTRACT FROM AUTHOR]

The price discovery in finance markets has been the focus of many researches. On the basis of 1‐min high‐frequency returns, this paper sets out to examine the dynamics of price discovery between the China Securities Index 300 index and its derivative products: the futures, the index exchange‐traded fund (ETF), and the ETF options. Nonparametric nonlinear method thermal optimal path method is adopted in this study. The empirical evidence shows a clear difference in price discovery ability concerning the three products under investigation, and their rank (sorted by strength) can be presented as options, futures, and ETF. In addition, the leading phenomenon has been verified by the regression method. Furthermore, we find that out‐of‐the‐money options have the strongest price discovery ability among different moneyness option contracts. On this basis, we find that leverage is an important factor affecting the ability of price discovery. [ABSTRACT FROM AUTHOR]

Alongside the emergence of various populisms, Brexit and other contemporary geopolitical events have been presented as symptomatic of a generalising and intensifying sense of uncertainty in the midst of a crisis of (neo)liberalism. In this paper we describe what kind of event Brexit became in the impasse between the UK's EU referendum in 2016 and its anticipated exit from the EU in 2019. Based on 108 interviews with people in the North‐East of England, we trace how Brexit was variously enacted and felt as an end, advent, a harbinger of worse to come, non‐event, disaster, and betrayed promise. By following how these incommensurate versions of Brexit took form and co‐exist, we supplement explanatory and predictive approaches to the geographies of Brexit and exemplify an approach that traces what such geopolitical events become. Specifically, we use the concept of "modes of uncertainty" as a way of discerning patterns in how present uncertainties are lived. A "mode of uncertainty" is a shared set of practices animated by a distinctive mood through which futures are made present and felt. Rather than treat uncertainty as a static, explanatory context, we thus follow how different versions of Brexit are constituted through specific "modes of (un)certainty" – negative hope, national optimisms, apprehensive hopefulness and fantasies of action – that differentiate within a seemingly singular, shared sense of uncertainty. In this paper we describe what kind of event Brexit became in the impasse between the UK's EU referendum in 2016 and its anticipated exit in 2019. Based on 108 interviews with people in the North‐East of England, we trace how Brexit was variously enacted and felt as an end, advent, a harbinger of worse to come, non‐event, disaster, and betrayed promise. Specifically, we use the concept of "modes of uncertainty" as a way of discerning patterns in how present uncertainties are lived. [ABSTRACT FROM AUTHOR]

This paper uses transaction data to examine hedging efficiency in a new futures exchange; the Fish Pool salmon futures exchange in Norway. The paper utilizes data on firm‐level exporter/importer transaction prices to quantify firm‐level futures hedging efficiency. This allows us to address heterogeneity in hedging efficiency and basis risk at the firm level. The main result of this paper shows that larger firms with greater trade partner diversification have lower basis risk. Such firms align their internal transaction price closer to the common spot price in the market, which encourages greater futures market participation. Results are discussed in light of recent declines in participation in the salmon futures exchange. [ABSTRACT FROM AUTHOR]

This paper examines the effect time‐to‐maturity has on how sensitive futures prices are to news flows. Unscheduled daily news flows that relate to the underlying asset of a futures contract are related to the daily realized volatility of futures to calculate a price‐news sensitivity ratio. The observed pattern follows an inverted U‐shape relationship and has a bearing on whether the maturity effect will be noticeable in a futures contract. This paper also shows that by examining the peak‐to‐maturity of the price sensitivity to news pattern, it is possible to better identify which contracts are more likely to yield higher volatility. [ABSTRACT FROM AUTHOR]

This paper examines model specification issues and estimates diffusive and jump risk premia using S&P futures option prices from 1987 to 2003. We first develop a time series test to detect the presence of jumps in volatility, and find strong evidence in support of their presence. Next, using the cross section of option prices, we find strong evidence for jumps in prices and modest evidence for jumps in volatility based on model fit. The evidence points toward economically and statistically significant jump risk premia, which are important for understanding option returns. [ABSTRACT FROM AUTHOR]

The market for U.S. equity indexes presently comprises floor-traded index futures contracts, exchange-traded funds (ETFs), electronically traded, small-denomination futures contracts (E-minis), and sector ETFs that decompose the S&P 500 index into component industry portfolios. This paper empirically investigates price discovery in this environment. For the S&P 500 and Nasdaq-100 indexes, most of the price discovery occurs in the E-mini market. For the S&P 400 MidCap index, price discovery is shared between the regular futures contract and the ETF. The S&P 500 ETF contributes markedly to price discovery in the sector ETFs, but there are only minor effects in the reverse direction. [ABSTRACT FROM AUTHOR]

This paper investigates how to improve the prediction accuracy of stock realized volatility using a large set of predictors. Exploiting normalized positive adjusted R2 and significant t statistic of predictor obtained from the in-sample result as weight, we develop two simple and effective forecast combination methods. Using an array of 86 equity, bond, forex, futures, behavior, macroeconomic, and uncertainty predictors, we find that the proposed methodologies significantly improve stock realized volatility out-of-sample prediction performance relative to several extant forecast combinations. This result is robust for different individual forecast models, different dependent variables, and different out-of-sample periods. Furthermore, we explain that out-of-sample predictability varies significantly with changes in the number of predictors. And the existence of a strongly powerful volatility predictor affects this change. [ABSTRACT FROM AUTHOR]

This paper aims to measure the tail‐risk dependence between climate change and commodity futures markets. We utilize Morgan Stanley Capital International Climate Change Index (CCI) to serve as a proxy indicator of the stock market climate change for examining the tail‐risk spillover effect among 16 major commodity futures. Using GARCH–Copula–CoVaR framework, we show that extreme climate change has a significant tail‐risk spillover effect on commodity futures markets, in which agricultural and energy futures are affected by climate change most. We then adopt the copula‐based generalized autoregressive conditional heteroskedasticity (GARCH) model to compute the optimal hedge ratio among each pair of CCI with commodity futures, which performs well economic advantages for all 16 commodities. Compared with hedging against commodity index, CCI has a more significant hedging effect on metal and energy subindex futures. Therefore, we finally suggest an effective hedging portfolio composed of CCI and subindex futures in a significant economic sense. [ABSTRACT FROM AUTHOR]

In this paper, we first develop a theoretical and model‐free VXX formula in terms of Volatility Index (VIX) futures in both discrete and continuous forms. The discrete form of VXX can quantify the roll yield of VXX, which can be used to explain VXX's underperformance. Using the log‐normal Ornstein–Uhlenbeck (LOU) diffusion model, we show how the number of rolls of VIX futures affects the VXX option pricing formula and its implied volatility (IV). To further verify the nonflat IV of VXX, the VXX option pricing formula under the LOU with stochastic volatility model is also derived. Finally, we analyze their pricing performance, and the ability to forecast implied volatilities. [ABSTRACT FROM AUTHOR]

This paper uses three methods to estimate quality option values for CBOT Treasury bond futures contracts. It presents evidence regarding: (1) payoffs from exercising this option at delivery, (2) estimates from a T-bond futures pricing model that incorporates this option, and (3) estimates obtained from an exchange option pricing formula. The results indicate that this option is worth considerably less than reported by Kane and Marcus (1986a). For example, payoffs obtained by switching from the bond cheapest to deliver three months prior to delivery to the one cheapest at time of delivery average less than 0.30 percentage points of par. [ABSTRACT FROM AUTHOR]

This paper examines optimal hedging behavior in a market where preferences for current consumption are partly determined by the consumer's past consumption history. The model considers an individual exposed to price risk, who allocates wealth between consumption and futures contracts over a (continuous-time) finite planning horizon. The speculative component of the hedge ratio is shown to be smaller and the consumption path smoother than in models where preferences are separable over time. Some comparative-static properties of the hedge ratio are also examined. [ABSTRACT FROM AUTHOR]

This paper develops and empirically tests a two-factor model for pricing financial and real assets contingent on the price of oil. The factors are the spot price of oil and the instantaneous convenience yield. The parameters of the model are estimated using weekly oil futures contract prices from January 1984 to November 1988, and the model's performance is assessed out of sample by valuing futures contracts over the period November 1988 to May 1989. Finally, the model is applied to determine the present values of one barrel of oil deliverable in one to ten years time. [ABSTRACT FROM AUTHOR]

In this paper, we focus on the optimal demand for futures contracts by an investor with a logarithmic utility function who attempts to hedge a nontraded cash position. When the analysis is conducted in the "cash-commodity-price" space, we show that the value function associated with the Bernoulli investor program is not additively separable, thus suggesting that this investor hedges against shifts in the opportunity set as represented by the commodity price. By establishing the equivalence between the cash formulation of the problem and the wealth formulation, we are able to analyze the problem in the "wealth-commodity-price" space. In this space, we show the additive separability of the value function when the futures settlement price process is perfectly locally correlated with the commodity price process. The demand for futures in this instance is composed of (a) a mean-variance term and (b) a minimum-variance component that is a classic feature of models with nontraded assets. Since the first-best (nonmyopic) optimum is attained, however, the deviation from a mean-variance demand should not be interpreted as the expression of a nonmyopic behavior but rather as an attempt to restore a first-best optimum. On the other hand, when the correlation between the futures price and the underlying commodity price is imperfect, in general, the value function does not separate additively, the first-best solution cannot be attained, and the optimal futures trading strategy involves a hedging term against shifts in the opportunity set. [ABSTRACT FROM AUTHOR]

Option-pricing models that assume a constant interest rate may misprice futures options if the interest rate fluctuates significantly or if the price of the underlying asset is correlated with the interest rate. The futures option-pricing model of Ramaswamy and Sundaresan allows for a stochastic interest rate and correlation of the underlying asset's price with the interest rate. Using a data set of daily closing prices for Comex gold futures options, this paper tests the Ramaswamy and Sundaresan model against a constant interest rate model. Results indicate that the stochastic interest rate model is a superior predictor of market prices. [ABSTRACT FROM AUTHOR]

This paper presents tests designed to determine whether the weekly pattern in stock returns continues after the introduction of futures trading on stock indexes and whether the pattern carries over to the futures market. Using data for the SP500, I find that the “Monday effect” does persist in the cash market, but there is no evidence of a similar pattern in the futures market. [ABSTRACT FROM AUTHOR]

This paper seeks to contribute to an emerging debate in human geography concerning the spatialities of the future, and aims to address a gap in work on the geography of religion regarding the temporalities of faith. Through a focus on religious prophecy, the paper seeks to examine how different spaces, temporalities, identities, practices and dispositions (both religious and secular-scientific) are generated through and generate this religious future. The paper argues that prophecy is a particular form of making the future, and advances the dual notions cosmic-divine time and preparatory assured readiness in order to understand and underline this specificity. Through the example of the prophetess Joanna Southcott (1750-1814) and an event involving a box of her prophecies publically opened in 1927, it argues that prophetic space-times presence the future through multiple and intersecting 'not-yets', hesitancies and assurances. [ABSTRACT FROM AUTHOR]

In this paper, we study the VXX Exchange Traded Note (ETN), that has been actively traded in recent years, but has lost 99.84% of its value. Using Zhang's formula for VIX futures prices, we develop the first theoretical model for the VXX that links the SPX, VIX, and VXX. We show that the roll yield of VIX futures drives the difference between the VXX and VIX returns. The roll yield is a mostly negative process. We then provide a simple yet robust estimation of the market price of variance risk using VXX and VIX futures prices. The model can be used to price VXX options. [ABSTRACT FROM AUTHOR]

In this paper, we show that the individual skewness, defined as the average of monthly skewness across firms, performs very well at predicting the return of S&P 500 index futures. This result holds after controlling for the liquidity risk or for the current business cycle conditions. We also find that individual skewness performs very well at predicting index futures returns out‐of‐sample. [ABSTRACT FROM AUTHOR]