Journal of Futures Markets

1981 - 2025

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Volume 43, issue 12, 2023

Transfer‐entropy‐based dynamic feature selection for evaluating Bitcoin price drivers pp. 1695-1726

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

Merve Coskun

Sequential Itô–Taylor expansions and characteristic functions of stochastic volatility models pp. 1750-1769

Kailin Ding, Zhenyu Cui and Yanchu Liu

EPU spillovers and sovereign CDS spreads: A cross‐country study pp. 1770-1806

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

Pascal Albert, Michael Herold and Matthias Muck

Cross‐border and cross‐commodity volatility spillover effects of Chinese soybean futures pp. 1836-1852

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

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

Adrian Fernandez‐Perez and Raquel López

Belief distortion near 52W high and low: Evidence from Indian equity options market pp. 1531-1558

Sumit Saurav, Sobhesh Kumar Agarwalla and Jayanth Varma

The effectiveness of crude oil futures hedging during infectious disease outbreaks in the 21st century pp. 1559-1575

You‐How Go, Jia‐Jun Teo and Kam Fong Chan

Option pricing with overnight and intraday volatility pp. 1576-1614

Fang Liang, Lingshan Du and Zhuo Huang

Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach pp. 1615-1644

Sudarshan Kumar, Sobhesh Kumar Agarwalla, Jayanth Varma and Vineet Virmani

A monetary policy–based explanation of swap spreads in China pp. 1645-1667

Longzhen Fan, Xin Hou and Qian Sun

Credit default swaps and firm risk pp. 1668-1692

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

Ning Zhang, Yujing Gong and Xiaohan Xue

Herd behaviors in index futures trading: Driving factors and impact on market volatility pp. 1373-1392

Ming‐Hung Wu, Wan‐Ting Hu and Pei‐Shih Weng

Global climate change and commodity markets: A hedging perspective pp. 1393-1422

Shanghui Jia, Xinhui Chen, Liyan Han and Jiayu Jin

Commodity network and predictable returns pp. 1423-1449

Qi Xu and Yang Ye

Impact of crude oil volatility jumps on sustainable investments: Evidence from India pp. 1450-1468

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

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

Wei Jiang and Yanyu Zhang

Commodity momentum and reversal: Do they exist, and if so, why? pp. 1204-1237

Meng Han

VIX futures pricing based on high‐frequency VIX: A hybrid approach combining SVR with parametric models pp. 1238-1260

Gaoxiu Qiao and Gongyue Jiang

Climate change attention and carbon futures return prediction pp. 1261-1288

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

Mengxi He, Yudong Wang and Yaojie Zhang

Unspanned macro risks in VIX futures pp. 1305-1328

Xinglin Yang

Volume 43, issue 8, 2023

Wisdom of crowds and commodity pricing pp. 1040-1068

John Hua Fan, Sebastian Binnewies and Sanuri De Silva

The geopolitical risk premium in the commodity futures market pp. 1069-1090

Daxuan Cheng, Yin Liao and Zheyao Pan

The role of option‐based information on StockTwits, options trading volume, and stock returns pp. 1091-1125

Zin Yau Heng and Henry Leung

High‐frequency trading and market quality: Evidence from account‐level futures data pp. 1126-1160

John Coughlan and Alexei G. Orlov

An empirical investigation on risk factors in cryptocurrency futures pp. 1161-1180

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

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

Arunava Bandyopadhyay and Prabina Rajib

American strangle options with arbitrary strikes pp. 880-903

Tsvetelin S. Zaevski

Who pays the liquidity cost? Central bank announcements and adverse selection pp. 904-924

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

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

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

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

Xu Zhang, Xian Yang, Jianping Li and Jun Hao

Modeling skewness in portfolio choice pp. 734-770

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

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

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

Michail Filippidis, George Filis, Georgios Magkonis and Panagiotis Tzouvanas

Volume 43, issue 5, 2023

A tale of two premiums revisited pp. 580-614

Loïc Maréchal

Strategic trading and manipulation in trade at settlement contracts pp. 615-634

Craig Pirrong

The GameStop short squeeze: Put–call parity and the effect of frictions before, during and after the squeeze pp. 635-661

Jimmy E. Hilliard and Jitka Hilliard

Analytically pricing exchange options with stochastic liquidity and regime switching pp. 662-676

Xin‐Jiang He and Sha Lin

Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns pp. 677-701

Yu‐Sheng Lai

Volume 43, issue 4, 2023

Anger in predicting the index futures returns pp. 437-454

Zhen Cao, Jiancheng Shen, Xinbei Wei and Qunzi Zhang

Forecasting swap rate volatility with information from swaptions pp. 455-479

Xiaoxi Liu and Jinming Xie

Securitization of assets with payment delay risk: A financial innovation in the real estate market pp. 480-515

Chao Ma, Hao Zhang and Hongbiao Zhao

Probability weighting in commodity futures markets pp. 516-548

Jun Yuan, Qi Xu and Ying Wang

Temperature, storage, and natural gas futures prices pp. 549-575

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

Ziliang Yu, Jian Yang and Robert I. Webb

Who has an edge in trading index derivatives? pp. 325-348

Jeewon Jang, Jangkoo Kang and Jaeram Lee

Predictive power of the implied volatility term structure in the fixed‐income market pp. 349-383

Ren‐Raw Chen, Pei‐Lin Hsieh, Jeffrey Huang and Xiaowei Li

Option features and price discovery in convertible bonds pp. 384-403

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

Yuh‐Dauh Lyuu and Yu‐Quan Zhang

Volume 43, issue 2, 2023

The influence of oil price uncertainty on stock liquidity pp. 141-167

Qin Zhang and Jin Boon Wong

Commodity tail risks pp. 168-197

Manuel Ammann, Mathis Moerke, Marcel Prokopczuk and Christoph Matthias Würsig

Commodity momentum decomposition pp. 198-216

Yasuhiro Iwanaga and Ryuta Sakemoto

Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach pp. 217-241

Kailin Ding, Zhenyu Cui and Xiaoguang Yang

COVID‐19 and tail risk contagion across commodity futures markets pp. 242-272

Tongshuai Qiao and Liyan Han

A new option for mortality–interest rates pp. 273-293

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

Yabei Zhu, Xingguo Luo and Qi Xu

Effects of nondiscretionary trading on futures prices pp. 33-68

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

Yuting Gong, Xueqin Wang, Mo Zhu, Ying‐En Ge and Wenming Shi

Pricing risky corporate bonds: An empirical study pp. 90-121

Belal Ehsan Baaquie and Muhammad Mahmudul Karim

Changes in the options contract size and arbitrage opportunities pp. 122-137

Joonhyuk Song, Doojin Ryu and Jinyoung Yu