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Journal of Futures Markets

1981 - 2021

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Volume 41, issue 7, 2021

Kelly trading and option pricing pp. 987-1006 Downloads
Hans‐Peter Bermin and Magnus Holm
Valuation of bitcoin options pp. 1007-1026 Downloads
Melanie Cao and Batur Celik
Forty years of the Journal of Futures Markets: A bibliometric overview pp. 1027-1054 Downloads
H. Kent Baker, Satish Kumar and Nitesh Pandey
Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market pp. 1055-1073 Downloads
Bin Wu, Pengzhan Chen and Wuyi Ye
Pricing and calibration of the futures options market: A unified approximation pp. 1074-1091 Downloads
Xiaotong Lian and Yingda Song
Who leads in intraday gold price discovery and volatility connectedness: Spot, futures, or exchange‐traded fund? pp. 1092-1123 Downloads
Sanjay Sehgal, Neharika Sobti and Florent Diesting
Effects of structural changes on the prediction of downside volatility in futures markets pp. 1124-1153 Downloads
Xu Gong and Boqiang Lin
Portfolio of Volatility Smiles versus Volatility Surface: Implications for pricing and hedging options pp. 1154-1176 Downloads
Sol Kim

Volume 41, issue 6, 2021

VIX term structure: The role of jump propagation risks pp. 785-810 Downloads
Xinglin Yang and Ji Chen
New evidence on commodity stocks pp. 811-874 Downloads
Charoula Daskalaki
When it pays to follow the crowd: Strategy conformity and CTA performance pp. 875-894 Downloads
Nicolas P. B. Bollen, Mark C. Hutchinson and John O'Brien
Time‐varying dynamics of expected shortfall in commodity futures markets pp. 895-925 Downloads
Julia S. Mehlitz and Benjamin R. Auer
Arbitrage trading and price discovery of the regular and mini Taiwan stock index futures pp. 926-948 Downloads
Yu‐Lun Chen, Yen‐Hsien Lee, Robin K. Chou and Ya‐Kai Chang
Efficiency in the Atlantic salmon futures market pp. 949-984 Downloads
Bendik P. Andersen and Petter E. de Lange

Volume 41, issue 5, 2021

Consistent and efficient pricing of SPX and VIX options under multiscale stochastic volatility pp. 559-576 Downloads
Jaegi Jeon, Geonwoo Kim and Jeonggyu Huh
Intermediary capital risk and commodity futures volatility pp. 577-640 Downloads
Libo Yin, Jing Nie and Liyan Han
Credit risk in derivative securities: A simplified approach pp. 641-657 Downloads
Rainer Baule
Informed options trading around holidays pp. 658-685 Downloads
Doojin Ryu and Jinyoung Yu
Disproportionate costs of uncertainty: Small bank hedging and Dodd‐Frank pp. 686-709 Downloads
Raymond Kim
On the computation of hedging strategies in affine GARCH models pp. 710-735 Downloads
Maciej Augustyniak and Alexandru Badescu
Determinants of the WTI‐Brent price spread revisited pp. 736-757 Downloads
Jerome Geyer‐Klingeberg and Andreas W. Rathgeber
Managing volatility in commodity momentum pp. 758-782 Downloads
Qi Xu and Ying Wang

Volume 41, issue 4, 2021

The term structure of the VXX option smirk: Pricing VXX option with a two‐factor model and asymmetry jumps pp. 439-457 Downloads
Xiaoyu Tan, Chengxiang Wang, Wei Lin, Jin E. Zhang, Shenghong Li, Xuejun Zhao and Zili Zhang
A short cut: Directly pricing VIX futures with discrete‐time long memory model and asymmetric jumps pp. 458-477 Downloads
Fangsheng Yin, Yang Bian and Tianyi Wang
Off‐market block trades: New evidence on transparency and information efficiency pp. 478-492 Downloads
Alex Frino
Quantile information share under Markov regime‐switching pp. 493-513 Downloads
Donald Lien, Ziling Wang and Xiaojian Yu
American option pricing: Optimal Lattice models and multidimensional efficiency tests pp. 514-535 Downloads
Qianru Shang and Brian Byrne
Price discovery in chinese agricultural futures markets: A comprehensive look pp. 536-555 Downloads
Jian Yang, Zheng Li and Tao Wang
Erratum to “An analytical perturbative solution to the Merton Garman model using symmetries” pp. 556-556 Downloads
Xavier Calmet and Nathaniel Wiesendanger Shaw

Volume 41, issue 3, 2021

Editor's Note pp. 289-289 Downloads
Robert I. Webb
Semivariance and semiskew risk premiums in currency markets pp. 290-324 Downloads
José Da Fonseca and Edem Dawui
Do put warrants unwind short‐sale restrictions? Further evidence from the Taiwan Stock Exchange pp. 325-348 Downloads
Yi‐Wei Chuang, Wei-Che Tsai, Pei‐Shih Weng and Chi Yin
Estimation of stochastic volatility and option prices pp. 349-360 Downloads
Suk Joon Byun, Jung‐Soon Hyun and Woon Jun Sung
Derivatives use and the value of cash holdings: Evidence from the U.S. oil and gas industry pp. 361-383 Downloads
Sanghak Choi, Hyeonung Jang, Daejin Kim and Byoung Ki Seo
Hedging operating and financing risk with financial derivatives during the global financial crisis pp. 384-405 Downloads
Sung C. Bae and Taek Ho Kwon
The traders' rule and long‐term options pp. 406-436 Downloads
Sol Kim and In Jung Song

Volume 41, issue 2, 2021

Volatility‐managed commodity futures portfolios pp. 159-178 Downloads
Jangkoo Kang and Kyung Yoon Kwon
Stock market reactions to different types of oil shocks: Evidence from China pp. 179-193 Downloads
Jin Boon Wong
Bitcoin spot and futures market microstructure pp. 194-225 Downloads
Saketh Aleti and Bruce Mizrach
Information transmission under increasing political tensions—Evidence from the Berlin Produce Exchange 1887–1896 pp. 226-244 Downloads
Martin T. Bohl, Alexander Pütz, Pierre L. Siklos and Christoph Sulewski
Volatility‐of‐volatility risk in the crude oil market pp. 245-265 Downloads
Tai‐Yong Roh, Alireza Tourani‐Rad, Yahua Xu and Yang Zhao
Optimal portfolio allocation using option‐implied information pp. 266-285 Downloads
Maria Kyriacou, Jose Olmo and Marius Strittmatter

Volume 41, issue 1, 2021

The Chinese warrant bubble: A fundamental analysis pp. 3-26 Downloads
Yintian Wang, Guofu Zhou and Yingzi Zhu
The impact of net buying pressure on index options prices pp. 27-45 Downloads
Doojin Ryu, Doowon Ryu and Heejin Yang
Forecasting equity returns: The role of commodity futures along the supply chain pp. 46-71 Downloads
Chenchen Li, Chongfeng Wu and Chunyang Zhou
The implied volatility smirk of commodity options pp. 72-104 Downloads
Xiaolan Jia, Xinfeng Ruan and Jin E. Zhang
The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets pp. 105-114 Downloads
Takahiro Hattori and Ryo Ishida
Impact of bitcoin futures on the informational efficiency of bitcoin spot market pp. 115-134 Downloads
Andrei Shynkevich
VIX futures and its closed‐form pricing through an affine GARCH model with realized variance pp. 135-156 Downloads
Qi Wang and Zerong Wang

Volume 40, issue 12, 2020

Is the synthetic stock price really lower than actual price? pp. 1809-1824 Downloads
Jianfeng Hu
Can commodity futures risk factors predict economic growth? pp. 1825-1860 Downloads
Jangkoo Kang and Kyung Yoon Kwon
Bitcoin and sentiment pp. 1861-1879 Downloads
Hoje Jo, Haehean Park and Hersh Shefrin
Valuation of VIX and target volatility options with affine GARCH models pp. 1880-1917 Downloads
Hongkai Cao, Alexandru Badescu, Zhenyu Cui and Sarath Kumar Jayaraman
Stochastic multifactor models in risk management of energy futures pp. 1918-1934 Downloads
Zi‐Yi Guo

Volume 40, issue 11, 2020

Editor's Note pp. 1647-1647 Downloads
Robert I. Webb
Skewness and index futures return pp. 1648-1664 Downloads
Eric Jondeau, Xuewu Wang, Zhipeng Yan and Qunzi Zhang
Option trading and the cross‐listed stock returns: Evidence from Chinese A–H shares pp. 1665-1690 Downloads
Xingguo Luo, Xiaoli Yu, Shihua Qin and Qi Xu
Benchmarks in the spotlight: The impact on exchange traded markets pp. 1691-1710 Downloads
Angelo Aspris, Sean Foley and Peter O'Neill
Intermediary asset pricing in commodity futures returns pp. 1711-1730 Downloads
Libo Yin, Jing Nie and Liyan Han
Callable bull/bear contracts, call auction sessions, and price manipulations: Evidence from Hong Kong pp. 1731-1750 Downloads
Adrian C. H. Lei, Xiaorong Ma and Martin H. Y. Yick
The market quality of commodity futures markets pp. 1751-1766 Downloads
Qingfu Liu, Qian Luo, Yiuman Tse and Yuchi Xie
Volatility and jump risk in option returns pp. 1767-1792 Downloads
Biao Guo and Hai Lin
Trading protocols and price discovery: Implicit transaction costs in Indian single stock futures pp. 1793-1806 Downloads
Edward Curran, Jack Hunt and Vito Mollica

Volume 40, issue 10, 2020

When do informed traders acquire and trade on informational advantage? Evidence from Federal Reserve stress tests pp. 1459-1485 Downloads
Scott Fung and Robert Loveland
Night trading and market quality: Evidence from Chinese and US precious metal futures markets pp. 1486-1507 Downloads
Ying Jiang, Neil Kellard and Xiaoquan Liu
Modeling VXX under jump diffusion with stochastic long‐term mean pp. 1508-1534 Downloads
Sebastian A. Gehricke and Jin E. Zhang
A simple method for extracting the probability of default from American put option prices pp. 1535-1547 Downloads
Bo Young Chang and Greg Orosi
Dynamic programming for valuing American options under a variance‐gamma process pp. 1548-1561 Downloads
Hatem Ben‐Ameur, Rim Chérif and Bruno Rémillard
Enhancing managerial equity incentives with moving average payoffs pp. 1562-1583 Downloads
Yisong S. Tian
Forecasting bitcoin volatility: Evidence from the options market pp. 1584-1602 Downloads
Lai T. Hoang and Dirk G. Baur
Earnings announcement timing, uncertainty, and volatility risk premiums pp. 1603-1630 Downloads
Tom Adams and Thaddeus Neururer
The sensitivity of trading to the cost of information pp. 1631-1644 Downloads
Alex Frino, Ognjen Kovačević, Vito Mollica and Robert I. Webb

Volume 40, issue 9, 2020

Liquidity shocks, commodity financialization, and market comovements pp. 1315-1336 Downloads
Conghui Hu, Zhibing Li and Xiaoyu Liu
Bid and ask prices of index put options: Which predicts the underlying stock returns? pp. 1337-1353 Downloads
Jian Chen and Yangshu Liu
Metal prices made in China? A network analysis of industrial metal futures pp. 1354-1374 Downloads
Pierre L. Siklos, Martin Stefan and Claudia Wellenreuther
The role of financial investors in determining the commodity futures risk premium pp. 1375-1397 Downloads
Mohammad Isleimeyyeh
When trading options is not the only option: The effects of single‐stock futures trading on options market quality pp. 1398-1419 Downloads
George J. Jiang, Yoshiki Shimizu and Cuyler Strong
Samuelson hypothesis, arbitrage activity, and futures term premiums pp. 1420-1441 Downloads
Robert Brooks and Pavel Teterin
A revisit to the hedge and safe haven properties of gold: New evidence from China pp. 1442-1456 Downloads
Lei Ming, Xinran Zhang, Qianqiu Liu and Shenggang Yang

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 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
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