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Journal of Futures Markets

1981 - 2020

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Volume 40, issue 8, 2020

Editor's Note pp. 1211-1211 Downloads
Robert I. Webb
The effect of oil price shocks on asset markets: Evidence from oil inventory news pp. 1212-1230 Downloads
Ron Alquist, Reinhard Ellwanger and Jianjian Jin
Trading and information in futures markets pp. 1231-1263 Downloads
Guillermo Llorente and Jiang Wang
Characterizing the hedging policies of commodity price‐sensitive corporations pp. 1264-1281 Downloads
Raphaël H. Boroumand, Stéphane Goutte and Ehud I. Ronn
Oil jump risk pp. 1282-1311 Downloads
Nima Ebrahimi and Craig Pirrong

Volume 40, issue 7, 2020

Trader networks and options risk management pp. 1031-1048 Downloads
Naomi Boyd, Peter Locke and Li Sun
Hedging costs and joint determinants of premiums and spreads in structured financial products pp. 1049-1071 Downloads
Oliver Entrop and Georg Fischer
Return predictability of variance differences: A fractionally cointegrated approach pp. 1072-1089 Downloads
Zhenxiong Li, Marwan Izzeldin and Xingzhi Yao
Optimal futures hedging for energy commodities: An application of the GAS model pp. 1090-1108 Downloads
Yingying Xu and Donald Lien
Uncertainty and the volatility forecasting power of option‐implied volatility pp. 1109-1126 Downloads
Byounghyun Jeon, Sung Won Seo and Jun Sik Kim
Volatility forecasts embedded in the prices of crude‐oil options pp. 1127-1159 Downloads
Dudley Gilder and Leonidas Tsiaras
The theory of storage in the crude oil futures market, the role of financial conditions pp. 1160-1175 Downloads
Maryam Ahmadi, Niaz Bashiri Behmiri and Matteo Manera
The impact of trading restrictions and margin requirements on stock index futures pp. 1176-1191 Downloads
Jianqiang Hu, Tianxiang Wang, Wenwei Hu and Jun Tong
Old crop versus new crop prices: Explaining the correlation pp. 1192-1208 Downloads
Francisco Arroyo Marioli

Volume 40, issue 6, 2020

Volatility as an asset class: Holding VIX in a portfolio pp. 841-859 Downloads
James S. Doran
Return and volatility transmission between China's and international crude oil futures markets: A first look pp. 860-884 Downloads
Jian Yang and Yinggang Zhou
Bank risk‐taking and market discipline: Evidence from CoCo bonds in Korea pp. 885-894 Downloads
Younghwan Lee and Haerang Park
Does corporate hedging affect firm valuation? Evidence from the IPO market pp. 895-927 Downloads
Zheng Qiao, Chongwu Xia and Lei Zhang
Pricing VIX options with volatility clustering pp. 928-944 Downloads
Bo Jing, Shenghong Li and Yong Ma
Inferring information from the S&P 500, CBOE VIX, and CBOE SKEW indices pp. 945-973 Downloads
Jiling Cao, Xinfeng Ruan and Wenjun Zhang
Repeated Richardson extrapolation and static hedging of barrier options under the CEV model pp. 974-988 Downloads
Jia‐Hau Guo and Lung‐Fu Chang
Index options open interest and stock market returns pp. 989-1010 Downloads
Sung Won Seo, Suk Joon Byun and Jun Sik Kim
When is informed trading more prevalent?—An examination of options trading around Indian M&A announcements pp. 1011-1029 Downloads
Soniya Mohil, Reena Nayyar and Archana Patro

Volume 40, issue 5, 2020

Editor's Note pp. 709-709 Downloads
Robert I. Webb
The risk of betting on risk: Conditional variance and correlation of bank credit default swaps pp. 710-721 Downloads
Xin Huang
Impact of international energy prices on China's industries pp. 722-748 Downloads
Jin Boon Wong and Qin Zhang
Impact of algorithmic trading on speed of adjustment to new information: Evidence from interest rate derivatives pp. 749-760 Downloads
Alex Frino, Michael Garcia and Zeyang Zhou
Show me the money: Option moneyness concentration and future stock returns pp. 761-775 Downloads
Kelley Bergsma, Vivien Csapi, Dean Diavatopoulos and Andy Fodor
Informed options trading on the implied volatility surface: A cross‐sectional approach pp. 776-803 Downloads
Baeho Kim, Da‐Hea Kim and Haehean Park
Predictive abilities of speculators in energy markets pp. 804-815 Downloads
Yulia Merkoulova
The determinants of price discovery on bitcoin markets pp. 816-837 Downloads
Oliver Entrop, Bart Frijns and Marco Seruset

Volume 40, issue 4, 2020

Pricing and integration of credit default swap index tranches pp. 503-526 Downloads
Andrew Carverhill and Dan Luo
Volatility term structures in commodity markets pp. 527-555 Downloads
Fabian Hollstein, Marcel Prokopczuk and Christoph Würsig
Efficient trinomial trees for local‐volatility models in pricing double‐barrier options pp. 556-574 Downloads
U Hou Lok and Yuh‐Dauh Lyuu
Speculative pressure pp. 575-597 Downloads
John Hua Fan, Adrian Fernandez‐Perez, Ana‐Maria Fuertes and Joëlle Miffre
Estimating the connectedness of commodity futures using a network approach pp. 598-616 Downloads
Binqing Xiao, Honghai Yu, Libing Fang and Sifang Ding
Futures market hedging efficiency in a new futures exchange: Effects of trade partner diversification pp. 617-631 Downloads
Atle Oglend and Hans‐Martin Straume
Intraday time‐series momentum: Evidence from China pp. 632-650 Downloads
Muzhao Jin, Fearghal Kearney, Youwei Li and Yung Chiang Yang
Yield curve risks in currency carry forwards pp. 651-670 Downloads
Seungho Baek, Jeong Wan Lee, Kyong Joo Oh and Myoungji Lee
The untold story of commodity futures in China pp. 671-706 Downloads
John Hua Fan and Tingxi Zhang

Volume 40, issue 3, 2020

Arbitrage opportunities, liquidity provision, and trader types in an index option market pp. 279-307 Downloads
Chin‐Ho Chen, Junmao Chiu and Huimin Chung
A rare move: The effects of switching from a closing call auction to a continuous trading pp. 308-328 Downloads
Ya‐Kai Chang, Robin K. Chou and J. Jimmy Yang
Pricing VIX derivatives with infinite‐activity jumps pp. 329-354 Downloads
Jiling Cao, Xinfeng Ruan, Shu Su and Wenjun Zhang
Does trade size restriction affect trading behavior? Evidence from Indian single stock futures market pp. 355-373 Downloads
Anirban Banerjee and Ashok Banerjee
The impact of soft intervention on the Chinese financial futures market pp. 374-391 Downloads
Jimmy E. Hilliard and Haoran Zhang
Systemic risk in global volatility spillover networks: Evidence from option‐implied volatility indices pp. 392-409 Downloads
Zihui Yang, Yinggang Zhou and Xin Cheng
Analytical valuation of Asian options with counterparty risk under stochastic volatility models pp. 410-429 Downloads
Xingchun Wang
A novel risk management framework for natural gas markets pp. 430-459 Downloads
Panos Pouliasis, Ilias D. Visvikis, Nikos C. Papapostolou and Alexander A. Kryukov
Incorporating time‐varying jump intensities in the mean‐variance portfolio decisions pp. 460-478 Downloads
Chunyang Zhou, Chongfeng Wu and Weidong Xu
Risky short positions and investor sentiment: Evidence from the weekend effect in futures markets pp. 479-500 Downloads
Vijay Singal and Jitendra Tayal

Volume 40, issue 2, 2020

Editor's Note pp. 163-163 Downloads
Robert I. Webb
Flow toxicity of high‐frequency trading and its impact on price volatility: Evidence from the KOSPI 200 futures market pp. 164-191 Downloads
Jangkoo Kang, Kyung Yoon Kwon and Wooyeon Kim
Heterogeneity and netting efficiency under central clearing: A stochastic network analysis pp. 192-208 Downloads
Injun Hwang and Baeho Kim
The impact of net buying pressure on VIX option prices pp. 209-227 Downloads
Yi‐Wei Chuang, Wei‐Che Tsai and Ming‐Hung Wu
Are disposition effect and skew preference correlated? Evidence from account‐level ELW transactions pp. 228-246 Downloads
Youngsoo Choi, Woojin Kim and Eunji Kwon
Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach pp. 247-275 Downloads
Hyun Jin Jang, Kiseop Lee and Kyungsub Lee

Volume 40, issue 1, 2020

An analytical perturbative solution to the Merton–Garman model using symmetries pp. 3-22 Downloads
Xavier Calmet and Nathaniel Wiesendanger Shaw
BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness pp. 23-43 Downloads
Carol Alexander, Jaehyuk Choi, Heungju Park and Sungbin Sohn
Programs trades and trade regulation: An evidence of the Korean securities market pp. 44-66 Downloads
Cheoljun Eom, Steven J. Jordan, Woo‐Baik Lee and Jong Won Park
What do we know about individual equity options? pp. 67-91 Downloads
Alejandro Bernales, Thanos Verousis, Nikolaos Voukelatos and Mengyu Zhang
The externalities of credit default swaps on stock return synchronicity pp. 92-125 Downloads
Ran Zhao and Lu Zhu
The time‐to‐maturity pattern of futures price sensitivity to news pp. 126-144 Downloads
Hoang‐Long Phan and Ralf Zurbruegg
Return dynamics during periods of high speculation in a thinly traded commodity market pp. 145-159 Downloads
Martin T. Bohl and Martin Stefan
Page updated 2020-07-13