Journal of Futures Markets

1981 - 2025

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Volume 45, issue 9, 2025

Skewness Premium for Short‐Term Exposure to Squared Market Returns pp. 1091-1099

Martin Wallmeier

The Silent Disco—Speculation in Bearish Commodity Markets and the Role of Liquidity pp. 1100-1133

Chanaka N. Ganepola and Beyza Mina Ordu‐Akkaya

Why Do HFTs Use the Futures Market pp. 1134-1153

Anirban Banerjee and Ashok Banerjee

Understanding the Factors Driving the Demand of Structured Investment Products pp. 1154-1181

Massimo Guidolin, Giacomo Leonetti and Manuela Pedio

Generalized Modeling of Oil Futures Volatility Through Uncertainty Indicator Selection: A GARCH–MIDAS–AES Framework pp. 1182-1201

Siyue Zheng, Mingdong Xu and Min Zhu

Identifying Stock Option Mispricing at a Large Cross Section pp. 1202-1231

Yaofei Xu, Dalu Zhang, Zhiyong Li and Shuoxiang Wang

Option Return Predictability via Machine Learning: New Evidence From China pp. 1232-1252

Yuxiang Huang, Zhuo Wang and Zhengyan Xiao

Spillovers Into the German Electricity Market From the Gas, Coal, and CO2 Emissions Markets pp. 1253-1277

Filippos Ioannidis, Kyriaki Kosmidou and Panayiotis Theodossiou

Evaluating Market Downturn Connectedness Between S&P 500 Index Funds, Gold, and Oil Markets pp. 1278-1297

Waheed Ullah Shah, Ibtissem Missaoui, Ijaz Younis and Xiyu Liu

The Reaction of Corn Futures Markets to US and Brazilian Crop Reports pp. 1298-1323

Rodrigo Lanna Franco da Silveira, Renato Moraes Silva, Fabio L. Mattos, José César Cruz Júnior and Daniel Henrique Dario Capitani

Why Don't Farmers Use Futures and Options for Hedging? An Examination of Historical Basis Risk and Cash Constraints pp. 1324-1342

Daniel L. Prager, Christopher B. Burns and Ryan Williams

The Role of Speculators in the Crude Oil Futures Market: Risk Sharing or Risk Taking pp. 1343-1360

Chuang Chen and Dan Yu

Hedging Climate Change News With Commodity Futures: An Index‐Tracking Approach pp. 1361-1387

Tong Fang and Libo Yin

Analytically Pricing Variance Swaps Under the Hawkes Jump‐Diffusion Process With Liquidity Risks pp. 1388-1408

Ke Wang, Xun‐xiang Guo, Yang‐yang Wang and Hong‐yu Zhang

Detangling Risk Premiums: Common and Idiosyncratic Components of Crude Oil, Corn, and Ethanol Futures pp. 1409-1427

Xiaoli Etienne, Bingxin Li and Rui Liu

Patent Portfolios and Uncertainty pp. 1428-1447

Thaddeus Neururer, Li Wang and Yuxiang Zheng

Systemic Credit Risk Premium: Insights From Credit Derivatives Markets pp. 1448-1465

Kiwoong Byun, Baeho Kim and Dong Hwan Oh

Volume 45, issue 8, 2025

Investor Sentiment, Mispricing, and Limited Arbitrage in the Futures Market pp. 879-895

Doojin Ryu, Doowon Ryu and Heejin Yang

Information Flow Across the Futures Term Structure: Evidence From Chinese Corn Futures Market pp. 896-916

Wei Xie and Yi An

Market Consistent Valuation for Bitcoin Options With Long Memory in Conditional Volatility and Conditional Non‐Normality pp. 917-945

Tak Kuen Siu

Carbon Emission Allowance and Oil Implied Volatility pp. 946-976

Haoyu Wang, Junpeng Di, Qing Han and Kefu Lyu

Tail Risk Hedging: The Superiority of the Naïve Hedging Strategy pp. 977-1005

Min Cao and Thomas Conlon

Role of Economic Policy Uncertainty in Forecasting Gold Futures Volatility: Evidence From India pp. 1006-1022

Simran and Anil Kumar Sharma

Price Discovery and Efficiency in Uniswap Liquidity Pools pp. 1023-1048

Carol Alexander, Xi Chen, Jun Deng and Qi Fu

Greeks‐Neutral Option Excess Returns pp. 1049-1070

Yaofei Xu, Yi Hong, Pei Jose Liu and Zhendong Zhang

Black‐Scholes Meet Imitation Learning: Evidence From Deep Hedging in China pp. 1071-1087

Fuwei Jiang, Jie Kang, Ruzheng Tian and Qingdong Xu

Volume 45, issue 7, 2025

Tail Risks Everywhere and Crude Oil Returns: New Insights From Predictive Quantile Approaches pp. 685-704

Yue‐Jun Zhang and Wen Zhao

The Dynamics of Option Volatility Smirk and Option Returns Predictability: Evidence From Chinese SSE50 ETF Options pp. 705-731

Wenxin Guo, Dehong Liu, Carl R. Chen and Peter Lung

Futures Trading and Corporate Financialization: A Quasi‐Natural Experiment From the Launch of China's Crude Oil Futures pp. 732-751

Feng He, Longxuan Chen, Jing Hao and Dongfeng Chang

The Variance Risk Premium Over Trading and Nontrading Periods pp. 752-770

Lucas Papagelis and George Dotsis

Pricing VXX Options With Observable Volatility Dynamics From High‐Frequency VIX Index pp. 771-801

Shan Lu

Does Trading Method Alignment Improve Market Efficiency? Evidence From Taiwan Single‐Stock Futures Market pp. 802-816

Chien‐Liang Chiu, Jui‐Cheng Hung, Chia‐Feng Chen and Chia‐Wei Hsieh

Forecasting Oil Price Volatility: Does Oil Price Uncertainty Matter? pp. 817-830

Athanasios Triantafyllou, Nikolaos Vlastakis and Neil Kellard

Can Storage Momentum and Its Difference of a Nonferrous Metal Predict Price Return? pp. 831-843

Stanley lat‐Meng Ko, Chia Chun Lo and Liang Peng

Commodity Futures Deliveries: Theory and Evidence From the US Corn Market pp. 844-876

Vitor M. O. Fernandes, Eugene L. Kunda and Michel Robe

Volume 45, issue 6, 2025

Closed‐Form Approximation of Stock‐Based Awards With Moving‐Average Vesting Conditions pp. 497-520

Ioannis Michopoulos, Alexandros Bougias and Andrianos Tsekrekos

Forecasting the Market Returns And Portfolio Enhancement With Frequency‐Decomposed Institutional Investor Sentiment: Evidence From the Taiwan Futures Market pp. 521-546

Yi‐Hsien Wang, Shu‐Lien Chang, Hsiu‐Chuan Lee and Donald Lien

Joint Implied Willow Tree: An Approach for Joint S&P 500/VIX Calibration pp. 547-568

Bing Dong, Wei Xu and Zhenyu Cui

Real‐Time Tracking of Public Announcements in the Limit Order Book pp. 569-599

Mehdi Arzandeh, Julieta Frank and Justin Daniels

Hedging Multiple Price Uncertainty in Soybean Export pp. 600-611

Siun Lee and Dmitry Vedenov

Modeling the Implied Volatility Smirk in China: Do Non‐Affine Two‐Factor Stochastic Volatility Models Work? pp. 612-636

Yifan Ye, Zheqi Fan and Xinfeng Ruan

The Term Structure of Credit Default Swap Spreads and the Cross Section of Options Returns pp. 637-658

Hao Zhang, Yukun Shi, Dun Han, Pei Liu and Yaofei Xu

Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets pp. 659-682

Hongjun Zeng, Mohammad Zoynul Abedin, Abdullahi D. Ahmed and Brian Lucey

Volume 45, issue 5, 2025

Drilling and DUCs in the Permian Basin pp. 395-406

Asad Dossani and John Elder

Dynamic Interaction Networks and Frequency Domain Features of Speculation and Volatility in US Energy Futures Markets pp. 407-428

Jianmin Liu, Zeguang Li, Bluford Putnam and Arthur Yu

A Closed‐Form Formula for Pricing European Options With Stochastic Volatility, Regime Switching, and Stochastic Market Liquidity pp. 429-440

Xin‐Jiang He, Hang Chen and Sha Lin

Pricing Basket Spread Options With Default Risk Under GARCH‐Jump Models pp. 441-454

Dingding Dong, Xianda Qian and Xingchun Wang

Appraising Model Complexity in Option Pricing pp. 455-472

Mark Cummins and Francesco Esposito

Price Discovery in China's Crude Oil Derivatives Market pp. 473-493

Zhini Yang and Andrew Lepone

Volume 45, issue 4, 2025

Price Discovery in Bitcoin Spot or Futures? The Jury Is Out pp. 269-288

Alex Frino, Robert Gaudiosi, Robert I. Webb and Z. Ivy Zhou

The Determinants of Marginal Convenience Yield in Agricultural Commodity Markets pp. 289-307

Theodora Bermpei and Athanasios Triantafyllou

Volatility in Carbon Futures Amid Uncertainties: Considering Geopolitical and Economic Policy Factors pp. 308-325

Xiaoqing Wang, Wenxin Jin, Baochang Xu and Kaihua Wang

Do Price Jumps Matter in Volatility Forecasts of US Treasury Futures? pp. 326-342

Xueer Zhang, Jui‐Cheng Hung and Chien‐Liang Chiu

Commodity Price Crash Risk and Crash Risk Contagion pp. 343-378

Prachi Jain and Debasish Maitra

Exploring the Driving Forces of the Correlations Between China's Crude Oil Futures and Global and Regional Benchmarks pp. 379-392

Min Liu and Chien‐Chiang Lee

Volume 45, issue 3, 2025

ChatGPT and Commodity Return pp. 161-175

Shen Gao, Shijie Wang, Yuanzhi Wang and Qunzi Zhang

Commodity Futures Characteristics and Asset Pricing Models pp. 176-207

Qin Yiyi, Jun Cai, Jie Zhu and Robert Webb

USD Interest Rate Swaption Strategies During the Unconventional Monetary Policy and Pandemic Eras pp. 208-223

Hiroaki Shirokawa, Kohei Yamaguchi, Takahiro Obata and Ryuta Sakemoto

Commodity Dependence and Optimal Asset Allocation pp. 224-246

Vianney Dequiedt, Mathieu Gomes, Kuntara Pukthuanthong and Benjamin Williams‐Rambaud

Asymmetric Commodity Tails and Index Futures Returns pp. 247-265

Yuanzhi Wang, Xinbei Wei and Qunzi Zhang

Volume 45, issue 2, 2025

Which Way Does the Wind Blow Between SPX Futures and VIX Futures? pp. 79-90

Ekow A. Aikins and Alexander Kurov

The Economics of Liquid Staking Derivatives: Basis Determinants and Price Discovery pp. 91-117

Stefan Scharnowski and Hossein Jahanshahloo

Term Structure and Risk Premiums of Commodity Futures With Linear Regressions pp. 118-142

Daejin Kim

From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear? pp. 143-157

Lu Yang

Volume 45, issue 1, 2025

Optimal Versus Naive Diversification in Commodity Futures Markets pp. 3-22

Max Heide, Benjamin R. Auer and Frank Schuhmacher

Volatility of Volatility and VIX Forecasting: New Evidence Based on Jumps, the Short‐Term and Long‐Term Volatility pp. 23-46

Gaoxiu Qiao, Wanmei Cui, Yijie Zhou and Chao Liang

Pricing Vulnerable Options With Variance Gamma Systematic and Idiosyncratic Factors by Laplace Transform Inversion pp. 47-76

Fenglong Guo