Journal of Futures Markets

1981 - 2025

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Volume 35, issue 12, 2015

Where Would the EUR/CHF Exchange Rate be Without the SNB's Minimum Exchange Rate Policy? pp. 1103-1116

Michael Hanke, Rolf Poulsen and Alex Weissensteiner

Investor Beliefs and the Demand Pressure on Index Options in Taiwan pp. 1117-1132

Ging‐Ginq Pan, Yung‐Ming Shiu and Tu‐Cheng Wu

Program Trading and the Link Between the Spot and Futures Prices pp. 1133-1153

Steven J. Jordan, Woo‐Baik Lee and Jong Won Park

An Early‐Exercise‐Probability Perspective of American Put Options in the Low‐Interest‐Rate Era pp. 1154-1172

Daniel Wei‐Chung Miao, Yung‐Hsin Lee and Wan‐Ling Chao

Trading Activity in Options and Stock Around Price‐Sensitive News Announcements pp. 1173-1194

Khelifa Mazouz, Yuliang Wu and Shuxing Yin

The Demand for Warrants and Issuer Pricing Strategies pp. 1195-1219

Rainer Baule and Philip Blonski

Comment: “On Approximating Deep in‐the‐money Asian Options Under Exponential Lévy Processes” pp. 1220-1221

Xianming Sun, Dorien Haesen and Michèle Vanmaele

Volume 35, issue 11, 2015

Forecasting Volatility in the Presence of Limits to Arbitrage pp. 987-1002

Lu Hong, Tom Nohel and Steven Todd

Stock‐Versus‐Flow Distinctions, Information, and the Role of Inventory pp. 1003-1025

Bahram Adrangi, Arjun Chatrath, Rohan A. Christie‐David, Hong Miao and Sanjay Ramchander

Return‐Implied Volatility Dynamics of High and Low Yielding Currencies pp. 1026-1041

Miikka Kaurijoki, Jussi Nikkinen and Janne Äijö

Price and Volume Effects of Exchange‐Traded Barrier Options: Evidence from Callable Bull/Bear Contracts pp. 1042-1066

Adrian C. H. Lei

Carry Trades and Sovereign CDS Spreads: Evidence from Asia‐Pacific Markets pp. 1067-1087

Ivelina Pavlova and Maria E. de Boyrie

How Important is a Non‐Default Factor for CDS Valuation? pp. 1088-1101

Biao Guo, Qian Han, Jaeram Lee and Doojin Ryu

Volume 35, issue 10, 2015

Editor's Note pp. 893-893

Robert I. Webb

The Effects of Margin Changes on the Composition of Traders and Market Liquidity: Evidence from the Taiwan Futures Exchange pp. 894-915

Robin K. Chou, George H. K. Wang and Yun‐Yi Wang

Booms and Busts in Commodity Markets: Bubbles or Fundamentals? pp. 916-938

Chris Brooks, Marcel Prokopczuk and Yingying Wu

The Impact of Sampling Frequency on Intraday Correlation and Lead–Lag Relationships Between Index Futures and Individual Stocks pp. 939-952

Joseph K.W. Fung, Francis Lau and Yiuman Tse

Executive Stock Option Pricing in China Under Stochastic Volatility pp. 953-960

Terence Tai Leung Chong, Yue Ding and Yong Li

Production and Anticipatory Hedging under Time‐Inconsistent Preferences pp. 961-985

Donald Lien and Chia-Feng (Jeffrey) Yu

Volume 35, issue 9, 2015

Volatility Risk Premium in Indian Options Prices pp. 795-812

Sonia Garg and Vipul

Clustering and Mean Reversion in a Hawkes Microstructure Model pp. 813-838

José Da Fonseca and Riadh Zaatour

Ambiguity and the Value of Hedging pp. 839-848

Kit Pong Wong

Valuing Retail Credit Tranches with Structural, Double Mixture Models pp. 849-867

Taehan Bae, Ian Iscoe and Changki Kim

Do Momentum‐Based Trading Strategies Work in the Commodity Futures Markets? pp. 868-891

Paresh Narayan, Huson Ali Ahmed and Seema Narayan

Volume 35, issue 8, 2015

Editor's Note pp. 695-695

Robert I. Webb

Does Futures Speculation Destabilize Commodity Markets? pp. 696-714

Abby Kim

The Information Content of Trading Activity and Quote Changes: Evidence from VIX Options pp. 715-737

Wei-Che Tsai, Ying‐Tzu Chiu and Yaw‐Huei Wang

Price‐to‐Earnings Ratios and Option Prices pp. 738-752

Ansley Chua, Jared DeLisle, Sze‐Shiang Feng and Bong Soo Lee

Credit‐Implied Equity Volatility—Long‐Term Forecasts and Alternative Fear Gauges pp. 753-775

Hans Byström

Risk Premium in Electricity Prices: Evidence from the PJM Market pp. 776-793

Yuewen Xiao, David B. Colwell and Ramaprasad Bhar

Volume 35, issue 7, 2015

The Distribution of Uncertainty: Evidence from the VIX Options Market pp. 597-624

Clemens Völkert

A Convenience Yield Approximation Model for Mean‐Reverting Commodities pp. 625-654

Engelbert Dockner, Zehra Eksi and Margarethe Rammerstorfer

Implied Risk Neutral Densities From Option Prices: Hypergeometric, Spline, Lognormal, and Edgeworth Functions pp. 655-678

André Santos and João Guerra

Hoarding the Herd: The Convenience of Productive Stocks pp. 679-694

Frank Asche, Atle Oglend and Dengjun Zhang

Volume 35, issue 6, 2015

Editor's Note pp. 505-505

Robert I. Webb

Two Order Books are Better than One? Trading at Settlement (TAS) in VIX Futures pp. 506-521

Bujar Huskaj and Lars L. Nordén

Time Pro‐rata Matching: Evidence of a Change in LIFFE STIR Futures pp. 522-541

Angelo Aspris, Sean Foley, Drew Harris and Peter O'Neill

Depth Characteristics for the Electronic Futures Limit Order Book pp. 542-560

Alexandre Aidov and Robert T. Daigler

Exchange‐Traded Barrier Option and VPIN: Evidence from Hong Kong pp. 561-581

William M. Cheung, Robin K. Chou and Adrian C.H. Lei

Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach pp. 582-595

Minqiang Li

Volume 35, issue 5, 2015

The Impacts of Individual Day Trading Strategies on Market Liquidity and Volatility: Evidence from the Taiwan Index Futures Market pp. 399-425

Robin K. Chou, George H. K. Wang and Yun‐Yi Wang

Futures Market Volatility: What Has Changed? pp. 426-454

Nicolas P.B. Bollen and Robert E. Whaley

Dislocations in the Currency Swap and Interest Rate Swap Markets: The Case of Korea pp. 455-475

Hail Park

An Approach to the Option Market Model Based on End‐User Net Demand pp. 476-503

Hiroshi Sasaki

Volume 35, issue 4, 2015

Editor's Note pp. 299-299

Robert I. Webb

A Simple Econometric Approach for Modeling Stress Event Intensities pp. 300-320

Rainer Jobst, Daniel Rösch, Harald Scheule and Martin Schmelzle

Over the Hedge: Do Exporters Practice Selective Hedging? pp. 321-338

Richard Fabling and Arthur Grimes

A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets pp. 339-356

Sepideh Dolatabadi, Morten Nielsen and Ke Xu

A Factor Analytical Approach to the Efficient Futures Market Hypothesis pp. 357-370

Joakim Westerlund, Milda Norkute and Paresh Narayan

A Partially Linear Approach to Modeling the Dynamics of Spot and Futures Prices pp. 371-384

Jürgen Gaul and Erik Theissen

Using Multivariate Densities to Assign Lattice Probabilities When There Are Jumps pp. 385-398

Jimmy E. Hilliard and Jitka Hilliard

Volume 35, issue 3, 2015

The Information Content of Trades: An Analysis of KOSPI 200 Index Derivatives pp. 201-221

Doojin Ryu

The Impacts of Individual and Institutional Trading on Futures Returns and Volatility: Evidence from Emerging Index Futures Markets pp. 222-244

Wen‐Hsiu Kuo, San‐Lin Chung and Chiao‐Yi Chang

Analytic Approximation of Finite‐Maturity Timer Option Prices pp. 245-273

Minqiang Li and Fabio Mercurio

Commodity Strategies Based on Momentum, Term Structure, and Idiosyncratic Volatility pp. 274-297

Ana-Maria Fuertes, Joëlle Miffre and Adrian Fernandez‐Perez

Volume 35, issue 2, 2015

The Informativeness of Trades and Quotes in the FTSE 100 Index Futures Market pp. 105-126

Bart Frijns and Yiuman Tse

Implied Pricing Kernels: An Alternative Approach for Option Valuation pp. 127-147

Doojin Ryu, Jangkoo Kang and Sangwon Suh

Price Dynamics in Global Crude Oil Markets pp. 148-162

Wai‐Man Liu, Emma Schultz and John Swieringa

Petroleum Term Structure Dynamics and the Role of Regimes pp. 163-185

Nikos K. Nomikos and Panos Pouliasis

Currency Overlay for Global Equity Portfolios: Cross‐Hedging and Base Currency pp. 186-200

Wei Opie and Jonathan Dark

Volume 35, issue 1, 2015

Globally Distributed Production and the Pricing of CME Commodity Futures pp. 1-30

Nicolas Merener

High Frequency Trading in the Korean Index Futures Market pp. 31-51

Eun Jung Lee

Psychological Barriers and Option Pricing pp. 52-74

Bong‐Gyu Jang, Changki Kim, Kyeong Tae Kim, Seungkyu Lee and Dong‐Hoon Shin

Maximal Gaussian Affine Models for Multiple Commodities: A Note pp. 75-86

Jaime Casassus, Peng Liu and Ke Tang

The Impact of Monetary Policy Surprises on Energy Prices pp. 87-103

Arabinda Basistha and Alexander Kurov