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Journal of Futures Markets

1981 - 2024

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Volume 44, issue 3, 2024

Performance comparison of alternative stochastic volatility models and its determinants in energy futures: COVID‐19 and Russia–Ukraine conflict features pp. 343-383 Downloads
Mário Correia Fernandes, José Carlos Dias and João Pedro Vidal Nunes
Derivative disclosures and managerial opportunism pp. 384-419 Downloads
Guanming He and Helen Mengbing Ren
The information content of wheat derivatives regarding the Ukrainian war pp. 420-431 Downloads
Nicole Branger, Michael Hanke and Alex Weissensteiner
Hedging performance analysis of energy markets: Evidence from copula quantile regression pp. 432-450 Downloads
Xianling Ren and Xinping Yu
Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes pp. 451-483 Downloads
Anthony N. Rezitis, Panagiotis Andrikopoulos and Theodoros Daglis
Role of derivatives market in attenuating underreaction to left‐tail risk pp. 484-517 Downloads
Sumit Saurav, Sobhesh Kumar Agarwalla and Jayanth R. Varma
Left‐digit biases: Individual and institutional investors pp. 518-532 Downloads
Jinyoung Yu, Young‐Chul Kim and Doojin Ryu
Price monotonicity violations during stock market crashes: Evidence from the SSE 50 ETF options market pp. 533-554 Downloads
Xingguo Luo, Doojin Ryu, Libin Tao and Chuxin Ye

Volume 44, issue 2, 2024

Air pollution, weather factors, and realized volatility forecasts of agricultural commodity futures pp. 151-217 Downloads
Jiawen Luo and Qun Zhang
Revisiting the puzzle of jumps in volatility forecasting: The new insights of high‐frequency jump intensity pp. 218-251 Downloads
Hui Qu, Tianyang Wang, Peng Shangguan and Mengying He
Hedging pressure and oil volatility: Insurance versus liquidity demands pp. 252-280 Downloads
Christina Sklibosios Nikitopoulos, Alice Carole Thomas and Jianxin Wang
A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures? pp. 281-301 Downloads
Tao Xiong and Miao Li
Predictability of commodity futures returns with machine learning models pp. 302-322 Downloads
Shirui Wang and Tianyang Zhang
Uncertainty and investment: Evidence from domestic oil rigs pp. 323-340 Downloads
Asad Dossani and John Elder

Volume 44, issue 1, 2024

Market‐wide overconfidence and stock returns pp. 3-26 Downloads
Qiang Chen, Yu Han and Ying Huang
Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐19 pp. 27-56 Downloads
Rafael Baptista Palazzi, Ata Assaf and Marcelo Cabus Klotzle
Can technical indicators based on underlying assets help to predict implied volatility index pp. 57-74 Downloads
Shi Yafeng, Yanlong Shi and Ying Tingting
Calibration in the “real world” of a partially specified stochastic volatility model pp. 75-102 Downloads
Lorella Fatone, Francesca Mariani and Francesco Zirilli
Time‐varying price discovery in regular and microbitcoin futures pp. 103-121 Downloads
Yu‐Lun Chen and J. Jimmy Yang
Leveraging prices from credit and equity option markets for portfolio risk management pp. 122-147 Downloads
Jean‐François Bégin, Mathieu Boudreault and Mathieu Thériault

Volume 43, issue 12, 2023

Transfer‐entropy‐based dynamic feature selection for evaluating Bitcoin price drivers pp. 1695-1726 Downloads
Sasan Barak and Navid Parvini
Dynamic correlations and volatility spillovers between subsectoral clean‐energy stocks and commodity futures markets: A hedging perspective pp. 1727-1749 Downloads
Merve Coskun
Sequential Itô–Taylor expansions and characteristic functions of stochastic volatility models pp. 1750-1769 Downloads
Kailin Ding, Zhenyu Cui and Yanchu Liu
EPU spillovers and sovereign CDS spreads: A cross‐country study pp. 1770-1806 Downloads
Yuting Gong, Zhongzhi He and Wenjun Xue
Estimation of rare disaster concerns from option prices—An arbitrage‐free RND‐based smile construction approach pp. 1807-1835 Downloads
Pascal Albert, Michael Herold and Matthias Muck
Cross‐border and cross‐commodity volatility spillover effects of Chinese soybean futures pp. 1836-1852 Downloads
Sisi Qin and Wee‐Yeap Lau
The dynamics of crude oil future prices on China's energy markets: Quantile‐on‐quantile and casualty‐in‐quantiles approaches pp. 1853-1871 Downloads
Juan Meng, Bin Mo and He Nie

Volume 43, issue 11, 2023

The effect of macroeconomic news announcements on the implied volatility of commodities: The role of survey releases pp. 1499-1530 Downloads
Adrian Fernandez‐Perez and Raquel López
Belief distortion near 52W high and low: Evidence from Indian equity options market pp. 1531-1558 Downloads
Sumit Saurav, Sobhesh Kumar Agarwalla and Jayanth R. Varma
The effectiveness of crude oil futures hedging during infectious disease outbreaks in the 21st century pp. 1559-1575 Downloads
You‐How Go, Jia‐Jun Teo and Kam Fong Chan
Option pricing with overnight and intraday volatility pp. 1576-1614 Downloads
Fang Liang, Lingshan Du and Zhuo Huang
Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach pp. 1615-1644 Downloads
Sudarshan Kumar, Sobhesh Kumar Agarwalla, Jayanth R. Varma and Vineet Virmani
A monetary policy–based explanation of swap spreads in China pp. 1645-1667 Downloads
Longzhen Fan, Xin Hou and Qian Sun
Credit default swaps and firm risk pp. 1668-1692 Downloads
Hai Lin, Binh Hoang Nguyen, Junbo Wang and Cheng Zhang

Volume 43, issue 10, 2023

Less disagreement, better forecasts: Adjusted risk measures in the energy futures market pp. 1332-1372 Downloads
Ning Zhang, Yujing Gong and Xiaohan Xue
Herd behaviors in index futures trading: Driving factors and impact on market volatility pp. 1373-1392 Downloads
Ming‐Hung Wu, Wan‐Ting Hu and Pei‐Shih Weng
Global climate change and commodity markets: A hedging perspective pp. 1393-1422 Downloads
Shanghui Jia, Xinhui Chen, Liyan Han and Jiayu Jin
Commodity network and predictable returns pp. 1423-1449 Downloads
Qi Xu and Yang Ye
Impact of crude oil volatility jumps on sustainable investments: Evidence from India pp. 1450-1468 Downloads
Anupam Dutta, Kakali Kanjilal, Sajal Ghosh, Donghyun Park and Gazi Uddin
Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach pp. 1469-1496 Downloads
Yangyang Zhuang and Pan Tang

Volume 43, issue 9, 2023

Carbon assets and Bitcoin: Hedging roles in global stock markets during the tranquil and turbulent periods? pp. 1183-1203 Downloads
Wei Jiang and Yanyu Zhang
Commodity momentum and reversal: Do they exist, and if so, why? pp. 1204-1237 Downloads
Meng Han
VIX futures pricing based on high‐frequency VIX: A hybrid approach combining SVR with parametric models pp. 1238-1260 Downloads
Gaoxiu Qiao and Gongyue Jiang
Climate change attention and carbon futures return prediction pp. 1261-1288 Downloads
Xu Gong, Mengjie Li, Keqin Guan and Chuanwang Sun
The predictability of iron ore futures prices: A product‐material lead–lag effect pp. 1289-1304 Downloads
Mengxi He, Yudong Wang and Yaojie Zhang
Unspanned macro risks in VIX futures pp. 1305-1328 Downloads
Xinglin Yang

Volume 43, issue 8, 2023

Wisdom of crowds and commodity pricing pp. 1040-1068 Downloads
John Hua Fan, Sebastian Binnewies and Sanuri De Silva
The geopolitical risk premium in the commodity futures market pp. 1069-1090 Downloads
Daxuan Cheng, Yin Liao and Zheyao Pan
The role of option‐based information on StockTwits, options trading volume, and stock returns pp. 1091-1125 Downloads
Zin Yau Heng and Henry Leung
High‐frequency trading and market quality: Evidence from account‐level futures data pp. 1126-1160 Downloads
John Coughlan and Alexei G. Orlov
An empirical investigation on risk factors in cryptocurrency futures pp. 1161-1180 Downloads
Yeguang Chi, Wenyan Hao, Jiangdong Hu and Zhenkai Ran

Volume 43, issue 7, 2023

Term spreads of implied volatility smirk and variance risk premium pp. 829-857 Downloads
Wei Guo, Xinfeng Ruan, Sebastian A. Gehricke and Jin E. Zhang
The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword? pp. 858-879 Downloads
Arunava Bandyopadhyay and Prabina Rajib
American strangle options with arbitrary strikes pp. 880-903 Downloads
Tsvetelin S. Zaevski
Who pays the liquidity cost? Central bank announcements and adverse selection pp. 904-924 Downloads
Doojin Ryu, Robert I. Webb and Jinyoung Yu
Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method pp. 925-950 Downloads
Robert J. Elliott and Tak Kuen Siu
Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure pp. 951-967 Downloads
Xin‐Jiang He and Sha Lin
A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions pp. 968-1035 Downloads
Huilian Huang and Tao Xiong

Volume 43, issue 6, 2023

Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach pp. 705-733 Downloads
Xu Zhang, Xian Yang, Jianping Li and Jun Hao
Modeling skewness in portfolio choice pp. 734-770 Downloads
Trung H. Le, Apostolos Kourtis and Raphael Markellos
Trading around the clock: Revisit volatility spillover between crude oil and equity markets in different trading sessions pp. 771-791 Downloads
Jing Hao, Feng He, Feng Ma and Tong Fu
A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China pp. 792-806 Downloads
Miao Li, Tao Xiong and Ziran Li
Evaluating robust determinants of the WTI/Brent oil price differential: A dynamic model averaging analysis pp. 807-825 Downloads
Michail Filippidis, George Filis, Georgios Magkonis and Panagiotis Tzouvanas

Volume 43, issue 5, 2023

A tale of two premiums revisited pp. 580-614 Downloads
Loïc Maréchal
Strategic trading and manipulation in trade at settlement contracts pp. 615-634 Downloads
Craig Pirrong
The GameStop short squeeze: Put–call parity and the effect of frictions before, during and after the squeeze pp. 635-661 Downloads
Jimmy E. Hilliard and Jitka Hilliard
Analytically pricing exchange options with stochastic liquidity and regime switching pp. 662-676 Downloads
Xin‐Jiang He and Sha Lin
Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns pp. 677-701 Downloads
Yu‐Sheng Lai

Volume 43, issue 4, 2023

Anger in predicting the index futures returns pp. 437-454 Downloads
Zhen Cao, Jiancheng Shen, Xinbei Wei and Qunzi Zhang
Forecasting swap rate volatility with information from swaptions pp. 455-479 Downloads
Xiaoxi Liu and Jinming Xie
Securitization of assets with payment delay risk: A financial innovation in the real estate market pp. 480-515 Downloads
Chao Ma, Hao Zhang and Hongbiao Zhao
Probability weighting in commodity futures markets pp. 516-548 Downloads
Jun Yuan, Qi Xu and Ying Wang
Temperature, storage, and natural gas futures prices pp. 549-575 Downloads
Yanting Chen, Peter Hartley and Yihui Lan

Volume 43, issue 3, 2023

Price discovery in China's crude oil futures markets: An emerging Asian benchmark? pp. 297-324 Downloads
Ziliang Yu, Jian Yang and Robert I. Webb
Who has an edge in trading index derivatives? pp. 325-348 Downloads
Jeewon Jang, Jangkoo Kang and Jaeram Lee
Predictive power of the implied volatility term structure in the fixed‐income market pp. 349-383 Downloads
Ren‐Raw Chen, Pei‐Lin Hsieh, Jeffrey Huang and Xiaowei Li
Option features and price discovery in convertible bonds pp. 384-403 Downloads
Liwei Jin, Xianghui Yuan, Li Peiran, Hailun Xu and Feng Lian
Pricing multiasset time‐varying double‐barrier options with time‐dependent parameters pp. 404-434 Downloads
Yuh‐Dauh Lyuu and Yu‐Quan Zhang

Volume 43, issue 2, 2023

The influence of oil price uncertainty on stock liquidity pp. 141-167 Downloads
Qin Zhang and Jin Boon Wong
Commodity tail risks pp. 168-197 Downloads
Manuel Ammann, Mathis Moerke, Marcel Prokopczuk and Christoph Matthias Würsig
Commodity momentum decomposition pp. 198-216 Downloads
Yasuhiro Iwanaga and Ryuta Sakemoto
Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach pp. 217-241 Downloads
Kailin Ding, Zhenyu Cui and Xiaoguang Yang
COVID‐19 and tail risk contagion across commodity futures markets pp. 242-272 Downloads
Tongshuai Qiao and Liyan Han
A new option for mortality–interest rates pp. 273-293 Downloads
Tzuling Lin and Cary Chi‐Liang Tsai

Volume 43, issue 1, 2023

Industry variance risk premium, cross‐industry correlation, and expected returns pp. 3-32 Downloads
Yabei Zhu, Xingguo Luo and Qi Xu
Effects of nondiscretionary trading on futures prices pp. 33-68 Downloads
Michael J. O'Neill and Robert E. Whaley
Maximum utility portfolio construction in the forward freight agreement markets: Evidence from a multivariate skewed t copula pp. 69-89 Downloads
Yuting Gong, Xueqin Wang, Mo Zhu, Ying‐En Ge and Wenming Shi
Pricing risky corporate bonds: An empirical study pp. 90-121 Downloads
Belal Ehsan Baaquie and Muhammad Mahmudul Karim
Changes in the options contract size and arbitrage opportunities pp. 122-137 Downloads
Joonhyuk Song, Doojin Ryu and Jinyoung Yu
Page updated 2024-03-01