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Journal of Futures Markets

1981 - 2022

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Volume 42, issue 12, 2022

A stochastic‐volatility equity‐price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first‐passage default model pp. 2103-2134 Downloads
Tian‐Shyr Dai, Chen‐Chiang Fan, Liang‐Chih Liu, Chuan‐Ju Wang and Jr‐Yan Wang
Forecasting variance swap payoffs pp. 2135-2164 Downloads
Jonathan Dark, Xin Gao, Thijs van der Heijden and Federico Nardari
Forecasting realized volatility: New evidence from time‐varying jumps in VIX pp. 2165-2189 Downloads
Anupam Dutta and Debojyoti Das
Bitcoin futures risk premia pp. 2190-2217 Downloads
Shimeng Shi
Understanding intraday momentum strategies pp. 2218-2234 Downloads
Carlo Rosa
Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets pp. 2235-2247 Downloads
Liwei Jin, Xianghui Yuan, Shihao Wang, Peiran Li and Feng Lian
Piecewise linear boundary crossing probabilities, barrier options, and variable annuities pp. 2248-2272 Downloads
Hangsuck Lee, Hongjun Ha and Minha Lee

Volume 42, issue 11, 2022

Petroleum market volatility tracker in China pp. 2022-2040 Downloads
Huabin Bian, Renhai Hua, Qingfu Liu and Ping Zhang
The impact of COVID‐19 on the interdependence between US and Chinese oil futures markets pp. 2041-2052 Downloads
Yongmin Zhang, Shusheng Ding and Haili Shi
Reporting delays and the information content of off‐market trades pp. 2053-2067 Downloads
Alex Frino, Luca Galati and Dionigi Gerace
Does clean energy matter? Revisiting the spillovers between energy and foreign exchange markets pp. 2068-2083 Downloads
Yang Liu, Tongshuai Qiao and Liyan Han
Analyst rating matters for index futures pp. 2084-2100 Downloads
Liyan Han, Xinbei Wei, Sen Yan and Qunzi Zhang

Volume 42, issue 10, 2022

Margin requirements based on a stochastic correlation model pp. 1797-1820 Downloads
Dávid Zoltán Szabó and Kata Váradi
Option pricing with maximum entropy densities: The inclusion of higher‐order moments pp. 1821-1836 Downloads
Omid Ardakani
Algorithmic trading and market quality: Evidence from the Taiwan index futures market pp. 1837-1855 Downloads
Ya‐Kai Chang and Robin K. Chou
Pricing callable–puttable convertible bonds with an integral equation approach pp. 1856-1911 Downloads
Sha Lin and Song‐Ping Zhu
Venturing into uncharted territory: An extensible implied volatility surface model pp. 1912-1940 Downloads
Pascal François, Rémi Galarneau‐Vincent, Geneviève Gauthier and Frédéric Godin
Hedging commodities in times of distress: The case of COVID‐19 pp. 1941-1959 Downloads
Luiz Augusto Magalhães, Thiago Silva and Benjamin Tabak
Time‐varying pure contagion effect between energy and nonenergy commodity markets pp. 1960-1986 Downloads
Xu Gong, Yujing Jin and Chuanwang Sun
The role of textual analysis in oil futures price forecasting based on machine learning approach pp. 1987-2017 Downloads
Xu Gong, Keqin Guan and Qiyang Chen

Volume 42, issue 9, 2022

Do VIX futures contribute to the valuation of VIX options? pp. 1644-1664 Downloads
Chen Tong, Zhuo Huang and Tianyi Wang
Dynamics in the VIX complex pp. 1665-1687 Downloads
Anders Merrild Posselt
Financially constrained index futures arbitrage pp. 1688-1703 Downloads
Kristoffer Glover and Hardy Hulley
Volatility model applications in China's SSE50 options market pp. 1704-1720 Downloads
Yeguang Chi, Wenyan Hao and Yifei Zhang
The information content of the volatility index options trading volume pp. 1721-1737 Downloads
Chen Gu, Xu Guo, Alexander Kurov and Raluca Stan
A systemic change of measure from central clearing pp. 1738-1754 Downloads
Injun Hwang and Baeho Kim
Are option traders more informed than Twitter users? A PVAR analysis pp. 1755-1771 Downloads
Alex Frino, Caihong Xu and Z. Ivy Zhou
Why are the prices of European‐style derivatives greater than the prices of American‐style derivatives? pp. 1772-1793 Downloads
Xuejun Jin, Jingyu Zhao and Xingguo Luo

Volume 42, issue 8, 2022

Option pricing with state‐dependent pricing kernel pp. 1409-1433 Downloads
Chen Tong, Peter Reinhard Hansen and Zhuo Huang
The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets pp. 1434-1465 Downloads
Jing Nie, Juliana Malagon and Julian Williams
Forecasting high‐yield equity and CDS index returns: Does observed cross‐market informational flow have predictive power? pp. 1466-1490 Downloads
William J. Procasky and Anwen Yin
Beta and size equity premia following a high‐VIX threshold pp. 1491-1517 Downloads
Naresh Bansal, Robert Connolly and Chris Stivers
Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX pp. 1518-1548 Downloads
Gongyue Jiang, Gaoxiu Qiao, Feng Ma and Lu Wang
The information effect of order flows in foreign currency futures and spot markets pp. 1549-1572 Downloads
Yu‐Lun Chen and Yin‐Feng Gau
Exploring the dynamics of the equity–commodity nexus: A study of base metal futures pp. 1573-1596 Downloads
Ipsita Saishree and Puja Padhi
Analyzing interactive call, default, and conversion policies for corporate bonds pp. 1597-1638 Downloads
Liang‐Chih Liu, Tian‐Shyr Dai, Lei Zhou and Hao‐Han Chang

Volume 42, issue 7, 2022

Intraday liquidity in soybean complex futures markets pp. 1189-1211 Downloads
Thomas A. P. de Boer, Cornelis Gardebroek, Joost M. E. Pennings and Andres Trujillo‐Barrera
Hedging pressure and liquidity provision in commodity options markets pp. 1212-1233 Downloads
Tianyang Zhang
Recovering subjective probability distributions pp. 1234-1263 Downloads
Akira Yamazaki
Overnight volatility, realized volatility, and option pricing pp. 1264-1283 Downloads
Tianyi Wang, Sicong Cheng, Fangsheng Yin and Mei Yu
Pricing cancellable American put options on the finite time horizon pp. 1284-1303 Downloads
Tsvetelin S. Zaevski
Trading behavior in bitcoin futures: Following the “smart money” pp. 1304-1323 Downloads
Dirk G. Baur and Lee Smales
How do firms hedge in financial distress? pp. 1324-1351 Downloads
Evan Dudley, Niclas Andrén and Håkan Jankensgård
Price discovery in the CSI 300 Index derivatives markets pp. 1352-1368 Downloads
Liwei Jin, Xianghui Yuan, Jun Long, Xiang Li and Feng Lian
Power‐type derivatives for rough volatility with jumps pp. 1369-1406 Downloads
Liang Wang and Weixuan Xia

Volume 42, issue 6, 2022

Approximate pricing of American exchange options with jumps pp. 983-1001 Downloads
Guanghua Lian, Robert J. Elliott, Petko Kalev and Zhaojun Yang
VIX option‐implied volatility slope and VIX futures returns pp. 1002-1038 Downloads
Jungah Yoon, Xinfeng Ruan and Jin E. Zhang
GARCH pricing and hedging of VIX options pp. 1039-1066 Downloads
Qiang Liu, Yuhan Jiao and Shuxin Guo
Resale options and heterogeneous beliefs pp. 1067-1083 Downloads
Kai‐Min Huang, I‐Doun Kuo and Rong‐Tsorng Wang
Nonlinear limits to arbitrage pp. 1084-1113 Downloads
Jingzhi Chen, Charlie X. Cai, Robert Faff and Yongcheol Shin
Overnight returns of industry exchange‐traded funds, investor sentiment, and futures market returns pp. 1114-1134 Downloads
Yun‐Huan Lee, Tzu‐Hsiang Liao and Hsiu‐Chuan Lee
The information in global interest rate futures contracts pp. 1135-1166 Downloads
Robert Brooks, Brandon N. Cline, Pavel Teterin and Yu You
Does offshore NDF market influence onshore forex market? Evidence from India pp. 1167-1185 Downloads
Harendra Behera, Rajiv Ranjan and Sajjid Chinoy

Volume 42, issue 5, 2022

Sheep in wolves' clothing: Using false signals of demand to execute a market power manipulation pp. 790-802 Downloads
Craig Pirrong
A trend factor in commodity futures markets: Any economic gains from using information over investment horizons? pp. 803-822 Downloads
Yufeng Han and Lingfei Kong
Effects of the Covid‐19 pandemic on derivatives markets: Evidence from global futures and options exchanges pp. 823-851 Downloads
Ekaterina E. Emm, Gerald D. Gay, Han Ma and Honglin Ren
Pricing vulnerable options under correlated skew Brownian motions pp. 852-867 Downloads
Che Guo and Xingchun Wang
Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets pp. 868-887 Downloads
Geert Dhaene, Piet Sercu and Jianbin Wu
Pricing VXX options by modeling VIX directly pp. 888-922 Downloads
Wei Lin and Jin E. Zhang
Investment horizon and option market activity pp. 923-958 Downloads
Da‐Hea Kim
A Black–Scholes user's guide to the Bachelier model pp. 959-980 Downloads
Jaehyuk Choi, Minsuk Kwak, Chyng Wen Tee and Yumeng Wang

Volume 42, issue 4, 2022

Robust information share measures with an application on the international crude oil markets pp. 555-579 Downloads
Hong Li and Yanlin Shi
Information contents of intraday SSE 50 ETF options trades pp. 580-604 Downloads
Xingguo Luo, Wenye Cai and Doojin Ryu
Information and the arrival rate of option trading volume pp. 605-644 Downloads
Mengyu Zhang, Thanos Verousis and Iordanis Kalaitzoglou
Multistep forecast of the implied volatility surface using deep learning pp. 645-667 Downloads
Nikita Medvedev and Zhiguang Wang
Option‐implied moments and the cross‐section of stock returns pp. 668-691 Downloads
Lykourgos Alexiou and Leonidas Rompolis
Multi‐step reflection principle and barrier options pp. 692-721 Downloads
Hangsuck Lee, Gaeun Lee and Seongjoo Song
Contagion or flight‐to‐quality? The linkage between oil price and the US dollar based on the local Gaussian approach pp. 722-750 Downloads
Lei Ming, Yao Shen, Shenggang Yang and Minyi Dong
Risk‐neutral skewness and commodity futures pricing pp. 751-785 Downloads
Ana‐Maria Fuertes, Zhenya Liu and Weiqing Tang

Volume 42, issue 3, 2022

Can a rational expectation storage model explain the USDA ending grain stocks forecast errors? pp. 313-337 Downloads
Tianyang Zhang and Ziran Li
Who and what drives informed options trading after the market opens? pp. 338-364 Downloads
Jongho Kang, Jangkoo Kang and Jaeram Lee
Bakshi, Kapadia, and Madan (2003) risk‐neutral moment estimators: An affine jump‐diffusion approach pp. 365-388 Downloads
Pakorn Aschakulporn and Jin E. Zhang
A Markov regime‐switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio pp. 389-412 Downloads
Hsiang‐Tai Lee
US experience with futures transaction taxes pp. 413-427 Downloads
Scott Mixon
The hedging pressure hypothesis and the risk premium in the soybean reverse crush spread pp. 428-445 Downloads
Ziran Li and Dermot Hayes
The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach pp. 446-471 Downloads
Gregor Helmut Schoenemann
Do oil shocks impact stock liquidity? pp. 472-491 Downloads
Qin Zhang and Jin Boon Wong
Arbitrage, contract design, and market structure in Bitcoin futures markets pp. 492-524 Downloads
Riccardo De Blasis and Alexander Webb
A Skellam market model for loan prime rate options pp. 525-551 Downloads
Zhanyu Chen, Kai Zhang and Hongbiao Zhao

Volume 42, issue 2, 2022

Editor's note pp. 191-191 Downloads
Robert I. Webb
One session options: Playing the announcement lottery? pp. 192-211 Downloads
Lee Smales, Zhangxin (Frank) Liu and Cameron D. Robertson
Speculation or hedging?—Options trading prior to FOMC announcements pp. 212-230 Downloads
George J. Jiang and Guanzhong Pan
Lottery and bubble stocks and the cross‐section of option‐implied tail risks pp. 231-249 Downloads
Sobhesh Kumar Agarwalla, Sumit Saurav and Jayanth R. Varma
Market uncertainty and sentiment around USDA announcements pp. 250-275 Downloads
An N. Q. Cao and Michel Robe
Warrants in the financial management decisions of innovative firms pp. 276-295 Downloads
Hyuna Park
Connectivity costs and price efficiency: An event study pp. 296-309 Downloads
Alex Frino, Ognjen Kovacevic, Vito Mollica and Robert I. Webb

Volume 42, issue 1, 2022

Editor's Note pp. 3-3 Downloads
Bart Frijns
Editor's Note pp. 4-4 Downloads
Robert I. Webb
Resiliency in the E‐mini futures market pp. 5-23 Downloads
Raymond P. H. Fishe, Richard Haynes and Esen Onur
Do enhanced derivative disclosures work? An informational perspective pp. 24-60 Downloads
Guanming He, Helen Mengbing Ren and Richard Taffler
Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity pp. 61-76 Downloads
Doojin Ryu and Jinyoung Yu
Revisiting the valuation of deposit insurance pp. 77-103 Downloads
Chuang‐Chang Chang, San‐Lin Chung, Ruey‐Jenn Ho and Yu‐Jen Hsiao
Use of high‐frequency data to evaluate the performance of dynamic hedging strategies pp. 104-124 Downloads
Yu‐Sheng Lai
Piecewise linear double barrier options pp. 125-151 Downloads
Hangsuck Lee, Hongjun Ha and Minha Lee
Option prices for risk‐neutral density estimation using nonparametric methods through big data and large‐scale problems pp. 152-171 Downloads
Ana M. Monteiro and António A. F. Santos
Market inefficiencies surrounding energy announcements pp. 172-188 Downloads
Sultan Alturki and Alexander Kurov
Page updated 2022-12-01