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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 39, issue 12, 2019

How about selling commodity futures losers? pp. 1489-1514 Downloads
Jangkoo Kang and Kyung Yoon Kwon
Time‐series momentum in China's commodity futures market pp. 1515-1528 Downloads
Hyuna Ham, Hoon Cho, Hyeongjun Kim and Doojin Ryu
Flexible covariance dynamics, high‐frequency data, and optimal futures hedging pp. 1529-1548 Downloads
Yu‐Sheng Lai
Oil price volatility and real options: 35 years of evidence pp. 1549-1564 Downloads
John Elder
Multivariate realized volatility forecasts of agricultural commodity futures pp. 1565-1586 Downloads
Jiawen Luo and Langnan Chen
Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions pp. 1587-1612 Downloads
Shan Lu
Hedging performance of multiscale hedge ratios pp. 1613-1632 Downloads
Jahangir Sultan, Antonios K. Alexandridis, Mohammad Hasan and Xuxi Guo

Volume 39, issue 11, 2019

Editor's Note pp. 1347-1347 Downloads
Robert I. Webb
Volatility index and the return–volatility relation: Intraday evidence from Chinese options market pp. 1348-1359 Downloads
Jupeng Li, Xiaoli Yu and Xingguo Luo
A smiling bear in the equity options market and the cross‐section of stock returns pp. 1360-1382 Downloads
Haehean Park, Baeho Kim and Hyeongsop Shim
Market quality and the connectedness of steel rebar and other industrial metal futures in China pp. 1383-1393 Downloads
Ivan Indriawan, Qingfu Liu and Yiuman Tse
High‐Frequency Price Discovery and Price Efficiency on Interest Rate Futures pp. 1394-1434 Downloads
Jing Nie
Can skewness of the futures‐spot basis predict currency spot returns? pp. 1435-1449 Downloads
Xue Jiang, Liyan Han and Libo Yin
How do US options traders “smirk” on China? Evidence from FXI options pp. 1450-1470 Downloads
Jianhui Li, Sebastian A. Gehricke and Jin E. Zhang
Derivatives pricing with liquidity risk pp. 1471-1485 Downloads
Yongmin Zhang, Shusheng Ding and Meryem Duygun

Volume 39, issue 10, 2019

Instantaneous squared VIX and VIX derivatives pp. 1193-1213 Downloads
Xingguo Luo, Jin E. Zhang and Wenjun Zhang
A dimension‐invariant cascade model for VIX futures pp. 1214-1227 Downloads
Zhiguang Wang and Brice Dupoyet
Illiquidity transmission from spot to futures markets pp. 1228-1249 Downloads
Olaf Korn, Paolo Krischak and Erik Theissen
Options pricing and short‐selling in the underlying: Evidence from India pp. 1250-1268 Downloads
Alok Dixit, Vipul and Shivam Singh
Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk, and transaction costs pp. 1269-1300 Downloads
Jieye Qin, Christopher Green and Kavita Sirichand
Does maturity matter? The case of treasury futures volume pp. 1301-1321 Downloads
Doina Chichernea, Kershen Huang and Alex Petkevich
Information share and its predictability in the Indian stock market pp. 1322-1343 Downloads
Madhusudan Karmakar and Sarveshwar Inani

Volume 39, issue 9, 2019

Derivatives pricing when supply and demand matter: Evidence from the term structure of VIX futures pp. 1035-1055 Downloads
Scott Mixon and Esen Onur
Pricing executive stock options with averaging features under the Heston–Nandi GARCH model pp. 1056-1084 Downloads
Zhiwei Su and Xingchun Wang
Is options trading informed? Evidence from credit rating change announcements pp. 1085-1106 Downloads
Jun Zhang
Price discovery in commodity derivatives: Speculation or hedging? pp. 1107-1121 Downloads
Marc J. M. Bohmann, David Michayluk and Vinay Patel
The evolution of price discovery in us equity and derivatives markets pp. 1122-1136 Downloads
Damien Wallace, Petko S. Kalev and Guanhua Lian
Robust estimation of risk‐neutral moments pp. 1137-1166 Downloads
Manuel Ammann and Alexander Feser
Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities pp. 1167-1189 Downloads
Frantisek Cech and Jozef Baruník

Volume 39, issue 8, 2019

Editor's Note pp. 919-919 Downloads
Robert I. Webb
Economic uncertainty, trading activity, and commodity futures volatility pp. 921-945 Downloads
Sumudu W. Watugala
On commodity price limits pp. 946-961 Downloads
Rajkumar Janardanan, Xiao Qiao and K. Rouwenhorst
An analysis of illiquidity in commodity markets pp. 962-984 Downloads
Sungjun Cho, Chanaka N. Ganepola and Ian Garrett
Block trades in options markets pp. 985-1007 Downloads
Eleni Gousgounis and Sayee Srinivasan
The formation of forward freight agreement rates in dry bulk shipping: Spot rates, risk premia, and heterogeneous expectations pp. 1008-1031 Downloads
Ioannis C. Moutzouris and Nikos K. Nomikos

Volume 39, issue 7, 2019

The impact of the US stock market opening on price discovery of government bond futures pp. 779-802 Downloads
Ivan Indriawan, Feng Jiao and Yiuman Tse
Price discovery in bitcoin spot or futures? pp. 803-817 Downloads
Dirk G. Baur and Thomas Dimpfl
The quantile dependence of commodity futures markets on news sentiment pp. 818-837 Downloads
Akihiro Omura and Neda Todorova
Corporate risk exposures, disclosure, and derivatives use: A longitudinal study pp. 838-864 Downloads
Ekaterina E. Emm, Gerald D. Gay and Honglin Ren
Can limits‐to‐arbitrage from bounded storage improve commodity term‐structure modeling? pp. 865-889 Downloads
Tore Kleppe and Atle Oglend
Jump variance risk: Evidence from option valuation and stock returns pp. 890-915 Downloads
Hsuan‐Ling Chang, Yen‐Cheng Chang, Hung‐Wen Cheng, Po‐Hsiang Peng and Kevin Tseng

Volume 39, issue 6, 2019

Pricing variance swaps under the Hawkes jump‐diffusion process pp. 635-655 Downloads
Weiyi Liu and Song‐Ping Zhu
The impacts of public news announcements on intraday implied volatility dynamics pp. 656-685 Downloads
Jieun Lee and Doojin Ryu
Institutional quality and sovereign credit default swap spreads pp. 686-703 Downloads
Wei Huang, Shu Lin and Jian Yang
Valuation and applications of compound basket options pp. 704-720 Downloads
Kwangil Bae
Losers and prospectors in the short‐term options market pp. 721-743 Downloads
Arjun Chatrath, Rohan A. Christie‐David, Hong Miao and Sanjay Ramchander
Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model pp. 744-776 Downloads
Zhiyuan Pan, Yudong Wang, Li Liu and Qing Wang

Volume 39, issue 5, 2019

Editor's Note pp. 537-537 Downloads
Robert I. Webb
Regime switching rough Heston model pp. 538-552 Downloads
Mesias Alfeus, Ludger Overbeck and Erik Schlogl
Contrarians or momentum chasers? Individual investors’ behavior when trading exchange‐traded funds pp. 553-578 Downloads
Carlo Da Dalt, David Feldman, Gerald Garvey and Joakim Westerholm
Informed trading around earnings announcements—Spot, futures, or options? pp. 579-589 Downloads
Sonali Jain, Sobhesh Kumar Agarwalla, Jayanth Varma and Ajay Pandey
Depths and spreads in futures markets: Relationship with order execution, submission, and cancellation pp. 590-599 Downloads
Alex Frino, Ognjen Kovačević and Vito Mollica
Volatility of volatility is (also) rough pp. 600-611 Downloads
José Da Fonseca and Wenjun Zhang
Properties and the predictive power of implied volatility in the New Zealand dairy market pp. 612-631 Downloads
Adrian Fernandez‐Perez, Bart Frijns, Ilnara Gafiatullina and Alireza Tourani‐Rad

Volume 39, issue 4, 2019

Speculation and volatility—A time‐varying approach applied on Chinese commodity futures markets pp. 405-417 Downloads
Claudia Wellenreuther and Jan Voelzke
Semistatic hedging and pricing American floating strike lookback options pp. 418-434 Downloads
San‐Lin Chung, Yi‐Ta Huang, Pai‐Ta Shih and Jr‐Yan Wang
The term structure of systematic and idiosyncratic risk pp. 435-460 Downloads
Fabian Hollstein, Marcel Prokopczuk and Chardin Wese Simen
Economic policy uncertainty, CDS spreads, and CDS liquidity provision pp. 461-480 Downloads
Xinjie Wang, Weike Xu and Zhaodong (Ken) Zhong
How to hedge if the payment date is uncertain? pp. 481-498 Downloads
Olaf Korn and Alexander Merz
Improving momentum strategies using residual returns and option‐implied information pp. 499-521 Downloads
Ming‐Yu Liu
The trilogy of China cotton markets: The lead–lag relationship among spot, forward, and futures markets pp. 522-534 Downloads
Mert Demir, Terrence F. Martell and Jun Wang

Volume 39, issue 3, 2019

When stock futures dominate price discovery pp. 263-278 Downloads
Nidhi Aggarwal and Susan Thomas
Why and how do foreign institutional investors outperform domestic investors in futures trading: Evidence from Taiwan pp. 279-301 Downloads
Yi‐Wei Chuang, Yu‐Fen Lin and Pei‐Shih Weng
Variance and skew risk premiums for the volatility market: The VIX evidence pp. 302-321 Downloads
José Da Fonseca and Yahua Xu
Long‐term dynamics of the VIX index and its tradable counterpart VXX pp. 322-341 Downloads
Milan Bašta and Peter Molnár
Pricing and issuance dependencies in structured financial product portfolios pp. 342-365 Downloads
Matthias Pelster and Andrea Schertler
Do country risk and financial uncertainty matter for energy commodity futures? pp. 366-383 Downloads
Chien‐Chiang Lee, Chi‐Chuan Lee and Donald Lien
Market openness and market quality in gold markets pp. 384-401 Downloads
Caihong Xu and Dong Zhang

Volume 39, issue 2, 2019

Indian equity options: Smile, risk premiums, and efficiency pp. 150-163 Downloads
Sonali Jain, Jayanth Varma and Sobhesh Kumar Agarwalla
Settlement procedures and stock market efficiency pp. 164-185 Downloads
Emily Lin and Carl R. Chen
Hyperbolic normal stochastic volatility model pp. 186-204 Downloads
Jaehyuk Choi, Chenru Liu and Byoung Ki Seo
Do hedge funds time market tail risk? Evidence from option‐implied tail risk pp. 205-237 Downloads
Jung‐Soon Shin, Minki Kim, Dongjun Oh and Tong Suk Kim
Price discovery among SSE 50 Index‐based spot, futures, and options markets pp. 238-259 Downloads
Kwangwon Ahn, Yingyao Bi and Sungbin Sohn

Volume 39, issue 1, 2019

Robust upper bounds for American put options pp. 3-14 Downloads
Ye Du, Shan Xue and Yanchu Liu
Withdrawn: A general jump‐diffusion process to price volatility derivatives pp. 15-37 Downloads
Cheng Yan and Bo Zhao
Quantile information share pp. 38-55 Downloads
Donald Lien and Zijun Wang
Volatility information implied in the term structure of VIX pp. 56-71 Downloads
Kai‐Jiun Chang, Mao‐Wei Hung, Yaw‐Huei Wang and Kuang‐Chieh Yen
VIX term structure and VIX futures pricing with realized volatility pp. 72-93 Downloads
Zhuo Huang, Chen Tong and Tianyi Wang
Option‐implied betas and the cross section of stock returns pp. 94-108 Downloads
Richard Harris, Xuguang Li and Fang Qiao
Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge? pp. 109-127 Downloads
Benjamin Cheng, Christina Nikitopoulos-Sklibosios and Erik Schlogl
Correlation risk and international portfolio choice pp. 128-146 Downloads
Nicole Branger, Matthias Muck and Stefan Weisheit
Page updated 2020-08-10