Are life insurance futures a safe haven during COVID‑19?

This study aims to examine whether life insurance futures can serve as a hedge against the COVID-19 pandemic and whether they have the characteristics of a safe haven under the impact of the health shocks of the COVID-19 pandemic.We chose three life insurance stock futures in India and one in Taiwan as samples,including the market index of the two countries and the number of confirmed COVID-19 cases as sample variables.We used the growth rate of COVID-19 cases as the threshold variable,esti-mated the asymmetric threshold vector autoregression model,and found that insur-ance futures in the regime with a significant growth rate of confirmed COVID-19 cases can hedge against COVID-19 risks;therefore,insurance futures are a safe haven for the market.We further estimated the time-varying parameter vector autoregression model,and the impulse response results showed that insurance futures are a safe haven for COVID-19 pandemic risks.

An Empirical Analysis of the Price Discovery Function of Shanghai Fuel Oil Futures Market

This paper analyzes the role of price discovery of Shanghai fuel oil futures market by using methods, such as unit root test, co-integration test, error correction model, Granger causality test, impulse-response fimction and variance decomposition. The results showed that there exists a strong relationship between the spot price of Huangpu fuel oil spot market and the futures price of Shanghai fuel oil futures market. In addition, the Shanghai fuel oil futures market exhibits a highly effective price discovery function.

电子学习与远程教育的实践、创新、未来——第6届“Learning Futures Festival”在线国际会议综述

2011年4月第6届"Learning Futures Festival"在线国际会议召开。会议采用英国、美国、澳大利亚三个时区国家接力的方式完成。与会专家学者特别关注开放教育资源及Web2.0背景下的教育创新。未来10年全球高等教育面临巨大的增长需求,开放教育资源运动的推进,将可能出现开放教育资源大学。开放共享理念逐步深入人心,Web2.0在教育和企业领域的广泛应用将改变人们的学习和工作环境,学习者和企业员工应当提升自我的数字素养技能以激发自身的创新潜能。我国远程教育面临资源可重用性较低和开放性不足等问题,在今后的发展中应借鉴发展中国家远程教育院校和企业学习的成功经验,加强教育资源开放共享的程度,整合电子学习技术在远程教育中的创新应用,以满足学习者个性化的学习需求。

ANALYSIS OF FINANCIAL DERIVATIVES BY MECHANICAL METHOD (Ⅰ)-BASIC EQUATION OF PRICE OF INDEX FUTURES

Similar to the method of continuum mechanics, the variation of the price of index futures is viewed to be continuous and regular. According to the characteristic of index futures, a basic equation of price of index futures was established. It is a differential equation, its solution shows that the relation between time and price forms a logarithmic circle. If the time is thought of as the probability of its corresponding price, then such a relation is perfectly coincided with the main assumption of the famous formula of option pricing, based on statistical theory, established by Black and Scholes winner of 1997 Nobel' prize on economy. In that formula, the probability of price of basic assets (they stand for index futures here) is assummed to be a logarithmic normal distribution. This agreement shows that the same result may be obtained by two analytic methods with different bases. However, the result, given by assumption by Black-Scholes, is derived from the solution of the differential equation.

Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH‑MIDAS model

This study investigates the impact of economic policy uncertainty(EPU)on the volatility of European Union(EU)carbon futures prices and whether it has predictive power for the volatility of carbon futures prices.The GARCH-MIDAS model is applied for evaluating the impact of different EPU indexes on the price volatility of European Union Allowance(EUA)futures.We then compare the predictive power for the volatility of the two GARCH-MIDAS models based on different EPU indexes and six GARCH-type models.Our empirical results show that the GARCH-MIDAS models,which exhibit superior out-of-sample predictive ability,outperform GARCH-type models.The results also indicate that EPU has noticeable effect on the volatility of EUA futures.Specifically,the forecast accuracy of the EU EPU index is significantly higher than that of the global EPU index.Robustness checks further confirm that the EPU index(especially the EPU index of the EU)has strong predictive power for EUA futures prices.Additionally,using the volatility forecasting methods that GARCH-MIDAS models combine with the EPU index,investors can construct their portfolios to realize economic returns.

The Empirical Analysis of the Dynamic Prices Relationship between Cotton Spot Market and Futures Market in Xinjiang

The thesis analyzes the causal relationship between the cotton spot,and the tendency and impact of prices of futures markets in Xinjiang by using ADF test,co-integration analysis,Granger causality test and other econometric methods in order to discuss the interacted relationship between futures market prices of cotton and spot market prices since the futures of cotton in Xinjiang go public.The results of empirical analysis show that the spot market prices of cotton and the futures market prices in Xinjiang fluctuate prominently in the short run and tend to counterpoise in the long run;the futures market of cotton plays the role of leading the spot market prices of cotton in Xinjiang,while the spot market prices of cotton in Xinjiang impacts little on the futures market prices.The corresponding countermeasures are put forward.The government should continuously perfect the construction of the futures market of cotton in Xinjiang,so as to exert the function of price discovery and the function of hedging,and promote the development of cotton industry in Xinjiang.

The Spillover Effect between Futures and Spot Price of Agricultural Products:A Case Study of Soybean Products of China

Taking soybean products as an example and using the daily price data of 2007-2015,this paper established the error correction model and BEKK-GARCH model,and made an empirical study on the spillover effect of futures and spot price of agricultural products of China. According to this study,there were mean spillover effect and two-way volatility spillover effect in futures and spot price of soybean,soybean oil,and soybean meal; soybean futures prices significantly guided the spot price; in the price linkage between the types,the price relationship between the soybean meal and soybean was closer than between the soybean oil and soybean.

Price Discovery Function of Agricultural Futures Market in China--Based on VECM-PT-IS and DCC-MGARCH-t models

Agricultural futures market plays an important role in financial system,and its function of price discovery and hedging is of great significance to the long-term price stability for agricultural products.However,in China,agricultural futures market is still in construction stage,and scholars have not fully studied its price discovery function.Hence,this study will investigate the price discovery function of China agricultural futures market.The causal relationship,price contribution degree and volatility spillover effect of futures and spot markets are studied by comparing the price discovery function of soybean,yellow corn and soybean oil futures and spot.Taking the average daily settlement price of futures and spot in Dalian Commodity Exchange as study objects,the VECM and PT-IS model is used to investigate the causal relationship and the difference in price contribution between them.Then DDC-MGARCH-t model is used to analyze their volatility spillover effect.The empirical results show that there is obvious mutual guiding relationship between agricultural futures and spot market,and the price contribution of futures is significantly higher than that of spot,proving that agricultural futures have the function of price discovery.Meanwhile,the volatility spillover effect between agricultural futures and spot is bidirectional.The impact of internal fluctuations is often greater than that of external shocks.

Relationship of Margin Rule and Volatility in Chinese Copper Futures Markets

Different from western markets, the margin rates in Chinese futures markets are raised when contract approaches maturity. This paper concentrates on the effect of this time dependent margin rule on volatility. Open interest, another candidate in the margin rule, is also included in our model to investigate its necessity as one of the factors of the rise of margin rates. With the popular copper contract in Shanghai Futures Exchange （ SHFE）, our test results suggest that margin levels have a significant positive effect on volatility, yet open interest has little to do with volatility. The implication is that the rise of margin rate approaching maturity virtually deteriorates the degree of market risks, and open interest is not a necessary factor for the margin rule. It indicates that the policy tool, represented by margin rates, has significantly greater influence on volatility than the market element, represented by open interest.

Empirical Study on Arbitrage Opportunities in China Copper Futures Market

No-arbitrage bound is established with no-arbitrage theory considering all kinds of trade costs, different deposit and loan interest rate, margin and tax in futures markets. The empirical results find that there are many lower bound arbitrage opportunities in China copper futures market from August 8th, 2003 to August 16th, 2005, Concretely, no-arbitrage opportunity is dominant and lower bound arbitrage is narrow in normal market segment. Lower bound arbitrage almost always exists with huge magnitude in inverted market segment. There is basically no-arbitrage in normal market because spot volume is enough, so that upper or lower bound arbi- trage can be realized, There is mostly lower bound arbitrage in inverted market because spot volume is lack.

Forecast on Price of Agricultural Futures in China Based on ARIMA Model

The forecast on price of agricultural futures is studied in this paper. We use the ARIMA model to estimate the price trends of agricultural futures,which can help the investors to optimize their investing plans. The soybean future contracts are taken as an example to simulate the forecast based on the auto-regression coefficient(p),differential times(d) and moving average coefficient(q). The results show that ARIMA model is better to simulate and forecast the trend of closing prices of soybean futures contract,and it is applicable to forecasting the price of agricultural futures.

Long memory and nonlinear dependence structure in crude oil futures returns and volatility

In order to investigate the nature of international crude oil futures and present evidence of long memory and nonlinear dependence for crude oil futures volatility as well as returns, a certain number of recent statistical tests, such as the powerful BDS test, the fractional integration test and other known statistics, are applied. The results show that though the returns themselves contain little serial correlation, the market volatility series have significant long-term dependence structures which may have important implications for volatility forecasts and derivative pricing. On the other hand, evidence of strong ARCH effect is also presented, and, moreover, the BDS statistics on the standardized residuals of the fitted GARCH model indicate that the ARCH-type process may generally explain the nonlinearities in the data. It seems that the crude oil futures market can be appropriately modeled by ARCH and fractal processes. These findings indicate that it would be beneficial to assess the behavior of the crude oil and price the oil derivative contracts by encompassing long memory and nonlinear structure.

Using Big Data to Discover Chaos in China’s Futures Market During COVID-19

COVID-19 was first reported in China and quickly spread throughout the world.Weak investor confidence in government efforts to control the pandemic seriously affected global financial markets.This study investigated chaos in China’s futures market during COVID-19,focusing on the degree of chaos at different periods during the pandemic.We constructed a phase diagram to observe the attractor trajectory of index futures(IFs).During the COVID-19 outbreak,overall chaos in China’s futures market was increasing,and there was a clear correlation between market volatility and the macroenvironment(mainly government regulation).The Hurst index,calculated by rescaled range(R/S)analysis,was 0.46.The price and return of IFs showed long-term correlation and fractal characteristics;the relevant dimensions of the futures market were 2.17.Overall,under the influence of an emergency(COVID-19),chaos in China’s financial market intensified,creating a need for timely government intervention and macrocontrol of the market.This study’s findings can help improve the government’s understanding of the phenomenon of financial chaos caused by emergencies.This study also provides theoretical guidance for controlling financial chaos and maintaining healthy economic development when faced with similar events in the future.

Time Series Analysis of Wheat Futures Reward in China

Different from the fact that the main researches are focused on single futures contract and lack of the comparison of different periods, this paper described the statistical characteristics of wheat futures reward time series of Zhengzhou Commodity Exchange in recent three years. Besides the basic statistic analysis, the paper used the GARCH and EGARCH model to describe the time series which had the ARCH effect and analyzed the persistence of volatility shocks and the leverage effect. The results showed that compared with that of normal one,wheat futures reward series were abnormality, leptokurtic and thick tail distribution. The study also found that two-part of the reward series had no autocorrelation. Among the six correlative series, three ones presented the ARCH effect. By using of the Auto-regressive Distributed Lag Model, GARCH model and EGARCH model, the paper demonstrates the persistence of volatility shocks and the leverage effect on the wheat futures reward time series. The results reveal that on the one hand, the statistical characteristics of the wheat futures reward are similar to the aboard mature futures market as a whole. But on the other hand, the results reflect some shortages such as the immatureness and the over-control by the government in the Chinese future market.

Risk management of stock index futures

The Hong Kong Hang Seng index futures is taken as a study object and a method of empirical analysis is adopted in order to verify the validity of the application of the value-at-risk (VaR) method in the risk measurement of the stock index futures market. The results suggest that under normal market conditions it is feasible to apply the VaR method in the measurement of the market risks of stock index futures. The daily VaR value of the stock index futures provides a foreseeable profit and loss of the stock index futures. Financial supervisors can adjust their supervising strategies according to the daily VaR value. The speculators can adjust risk capital reserve rates in the same way. The application of this method in China's stock index futures market requires the solutions to specific problems: the absence of historical data, the difficult confirmation of non-risk interest rates etc.

The volatility of returns from commodity futures:evidence from India

Background:This paper examines the pattern of the volatility of the daily return of select commodity futures in India and explores the extent to which the select commodity futures satisfy the Samuelson hypothesis.Methods:One commodity future from each group of futures is chosen for the analysis.The select commodities are potato,gold,crude oil,and mentha oil.The data are collected from MCX India over the period 2004–2012.This study uses several econometric techniques for the analysis.The GARCH model is introduced for examining the volatility of commodity futures.One of the key contributions of the paper is the use of theβterm of the GARCH model to address the Samuelson hypothesis.Result:The Samuelson hypothesis,when tested by daily returns and using standard deviation as a crude measure of volatility,is supported for gold futures only,as per the value ofβ(the GARCH effect).The values of the rolling standard deviation,used as a measure of the trend in the volatility of daily returns,exhibits a decreasing volatility trend for potato futures and an increasing volatility trend for gold futures in all contract cycles.The result of the GARCH(1,1)model suggests the presence of persistent volatility and the prevalence of long memory for the select commodity futures,except potato futures.Conclusions:The study sheds light on significant characteristics of the daily return volatility of the commodity futures under analysis.The results suggest the existence of a developed market for the gold and crude oil futures(with volatility clustering)and show that the maturity effect is only valid for the gold futures.

Deduction of Market Prices for Futures Derivatives From Projectile Physics With Effects of the Simple Harmonic Oscillations on Equilibrium Price Positions

We investigated the motions associated with prices for futures contracts within financial markets.We aimed to derive the market prices from the physics approach.We used the projectile motion models defined under two distinct conditions(perfect/horizontal and imperfect/drag implication)based on Newton’s and Galileo’s laws of motion.In addition,we applied the simple harmonic oscillatory model to present the movements of prices from the market equilibrium position.Despite that it was more theoretical,we managed to derive the futures price functions and the results showed that futures prices depend largely on market forces of demand and supply and underlying assets price behaviour.Also,we managed to find the terminal prices for the securities given the initial prices,which are a worrying matter to the trading parties.The equilibrium price analysis was done and the simple harmonic model proved to be efficient in such modelling.We managed to identify the price motions to and from the equilibrium point with markets.Results suggested that it is the market frictions(market forces of demand and supply)that propel prices to move.Also,we noted that these forces are responsible for bringing back the prices at equilibrium if the market is left to operate as free.Nevertheless,from the performance comparison of the two models used,results suggested that futures price function from a drag variable is more powerful in modelling the price behaviour for options than the one sorely controlled by market demand and supply forces.And the simple harmonic oscillator model is good at modelling the equilibrium movements of asset prices.Above all,we used the mean absolute deviation(MAD)to validate our futures derivative pricing model.Fortunately,the obtained MAD results supported the efficiency of our model.However,it should not be carelessly taken that the projectile models used are much good at price motions/movements within the market from time to time with a stunted ability to capture in other facts of interest,such as volatility coefficients which pave a research way for other scholars.

Investigating seasonality,policy intervention and forecasting in the Indian gold futures market:a comparison based on modeling non‑constant variance using two different methods

This study focuses on the Indian gold futures market where primary participants hold sentimental value for the underlying asset and are globally ranked number two in terms of the largest private holdings in the physical form.The trade of gold futures relates to seasons,festivity,and government policy.So,the paper will discuss seasonality and intervention in the analysis.Due to non-constant variance,we will also use the standard variance stabilization transformation method and the ARIMA/GARCH modelling method to compare the forecast performance on the gold futures prices.The results from the analysis show that while the standard variance transformation method may provide better point forecast values,the ARIMA/GARCH modelling method provides much shorter forecast intervals.The empirical results of this study which rationalise the effect of seasonality in the Indian bullion derivative market have not been reported in literature.

Cost-benefit analysis of trading strategies in the stock index futures market

With the introduction of many derivatives into the capital market,including stock index futures,the trading strategies in financial markets have been gradually enriched.However,there is still no theoretical model that can determine whether these strategies are effective,what the risks are,and how costly the strategies are.We built an agent-based cross-market platform that includes five stocks and one stock index future,and constructed an evaluation system for stock index futures trading strategies.The evaluation system includes four dimensions:effectiveness,risk,occupation of capital,and impact cost.The results show that the informed strategy performs well in all aspects.The risk of the technical strategy is relatively higher than that of the other strategies.Moreover,occupation of capital and impact cost are both higher for the arbitrage strategy.Finally,the wealth of noise traders is almost lost.

Intraday Lead-Lag Relationship between Index Futures and Stock Index Markets:Evidence from Malaysia

This paper investigates the lead-lag relationship between the stock index futures(known as FKLI)and its underlying index,the Kuala Lumpur Composite Index(KLCI)in the emerging Malaysian market.Using 15-second interval data,cross-correlation,and the partial adjustment model,we find a bi-directional asymmetric lead-lag relationship and that the KLCI’s lead over FKLI is much stronger.The evidence also suggests that the KLCI returns over-react to information,more so once thin trading effects are considered.Overall,the evidences suggest that traders prefer to exploit stock specific information in the underlying market despite the advantages of trading the index futures.